# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004487
**Filing Date:** 2025-11
**Character Count:** 503837
**Document Hash:** 452a6d8bfa40e5daf383c0e13d14f2ab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004487.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004487

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528314

**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 Fund (Series ID: S000009681)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026529 | Institutional | PXTIX           |
| C000026531 | A             | PIXAX           |
| C000026532 | C             | PIXCX           |
| C000064135 | I-2           | PIXPX           |
| C000200440 | I-3           | PXTNX           |

## 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 Fund

- **b. EDGAR series identifier (if any):** S000009681

- **c. LEI of Series:** FI3TYFAC6Z35DQG3Y659

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2980567021.27

**Total Liabilities:** $1885817466.23

**Net Assets:** $1094749555.04

**Delayed Delivery Securities:** $19626265.50

**Cash Not Reported:** $10079564.21

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 77867.662600 | **1-Year:** 169260.437500 | **5-Year:** 215252.677500 | **10-Year:** 12600.219500 | **30-Year:** 40.077600

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

- **3-Month:** 9965.513900 | **1-Year:** 12341.887700 | **5-Year:** 52469.597500 | **10-Year:** 12098.578200 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026531 | -0.28%               | 5.47%                | 3.34%                |
| Class ID C000026532 | -0.35%               | 5.40%                | 3.26%                |
| Class ID C000064135 | -0.26%               | 5.49%                | 3.31%                |
| Class ID C000200440 | -0.31%               | 5.50%                | 3.35%                |
| Class ID C000026529 | -0.25%               | 5.49%                | 3.36%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1561052.77              | $-6750136.94                               |
| Month 2  | $4950217.55              | $5462648.88                                |
| Month 3  | $4322211.46              | $676899.53                                 |

**Designated Index Information**

- **Index Name:** Russell 1000 Value Index

- **Index Identifier:** RLV

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA PASS THRU POOLS                                              | FNMA POOL 555800 FN 10/33 FIXED VAR                     | CUSIP: 31385XNR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144 | PA      | $147.88       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A        | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698316 | PA      | $712850.30    | 0.07%             | 2035-03-19      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-117.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $4372.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6       | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |  45400000 | PA      | $13829671.23  | 1.26%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194594 | PA      | $194903.89    | 0.02%             | 2032-01-26      | Fixed         | 7.13%                 | 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      | $15924.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0195 FR 11/53 FIXED 6.5             | CUSIP: 3142GQGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6769105 | PA      | $7121684.69   | 0.65%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                               | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3          | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       330 | PA      | $292.65       | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK7012 GN 04/45 FIXED 3.5                     | CUSIP: 36183QYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27049 | PA      | $25300.09     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  24100000 | PA      | $24100000.00  | 2.20%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                            | OZLM LTD OZLM 2019 24A A1CR 144A                        | CUSIP: 67113DBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2512068.93   | 0.23%             | 2032-07-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0380 FN 03/26 FIXED VAR                     | CUSIP: 3138EGM68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.33         | 0.00%             | 2026-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4200.10     | -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      | $113540.66    | 0.01%             |  |  |  | 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      | $9537.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5470 GN 09/44 FIXED 3.5                     | CUSIP: 36183BCF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40656 | PA      | $38027.80     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16170000 | PA      | $15674669.08  | 1.43%             | 2055-11-20      | Fixed         | 4.50%                 | 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        |    800000 | PA      | $813876.00    | 0.07%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS ZAR 7.20500 08/26/25-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $-15742.25    | -0.00%            |  |  |  | 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        |    198898 | PA      | $183011.20    | 0.02%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.25000 11/22/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-23733.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ1835 GN 09/44 FIXED 3.5                     | CUSIP: 36182WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283911 | PA      | $265553.79    | 0.02%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1004596 | PA      | $763768.10    | 0.07%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP       | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $316662.13    | 0.03%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2057685 | PA      | $1535931.21   | 0.14%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-20907.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A1      | CUSIP: 12667GAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2461181 | PA      | $1831990.34   | 0.17%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 830817 FN 10/35 FIXED 6                       | CUSIP: 31407HAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13803 | PA      | $14300.29     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | 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      | $-9690.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-7972.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN3073 FN 02/49 FIXED 3.5                     | CUSIP: 3140JKMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12833 | PA      | $12477.91     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH7058 FN 12/47 FIXED 3.5                     | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1212550 | PA      | $1130632.58   | 0.10%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638767 GN 07/37 FIXED 6                       | CUSIP: 36291UTY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27824 | PA      | $28950.37     | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A    | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1694450 | PA      | $1692382.16   | 0.15%             | 2055-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $500430.71    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10046 | PA      | $4650.29      | 0.00%             | 2037-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  41210000 | PA      | $39956573.54  | 3.65%             | 2055-11-13      | Fixed         | 4.50%                 | 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        |   4700000 | PA      | $4777549.44   | 0.44%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $10057.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH6827 FN 03/26 FIXED 4                       | CUSIP: 3138A8SR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       443 | PA      | $441.69       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $3645.21      | 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        | -10840000 | NC      | $-280799.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2622703 | PA      | $2353619.28   | 0.21%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    400000 | PA      | $393537.63    | 0.04%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-11449.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A51074 FG 08/36 FIXED 6               | CUSIP: 3128KDFP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56341 | PA      | $58671.75     | 0.01%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $313490.23    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                 | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $289758.58    | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-2332.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY40 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $21555.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.28000 03/04/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7975.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9867 FN 11/30 FIXED 5.3                     | CUSIP: 3140LL6D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4900000 | PA      | $5137983.05   | 0.47%             | 2030-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                               | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5         | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39728 | PA      | $23900.11     | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.12800 12/04/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-20335.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03156 FG 08/37 FIXED 5.5             | CUSIP: 3128M4ZV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       888 | PA      | $925.53       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2605.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   5134045 | PA      | $50370115.08  | 4.60%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677098 GN 07/38 FIXED 5                       | CUSIP: 36295QGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23923 | PA      | $24332.11     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1       | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372766 | PA      | $323946.40    | 0.03%             | 2037-01-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-42029.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 3A A 144A       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138611 | PA      | $138654.10    | 0.01%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                 | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251092 | PA      | $260386.88    | 0.02%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $24283.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336863 | PA      | $1292834.30   | 0.12%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 10/25 ZCP                                  | CUSIP: 22823PXP3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   6200000 | PA      | $6181673.42   | 0.56%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $2371.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $21.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $6625.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8650000 | PA      | $8722610.00   | 0.80%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $7769.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $279003.59    | 0.03%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-5779.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2720.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1779.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3         | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7233475 | PA      | $3915253.69   | 0.36%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 872236 FN 05/36 FLOATING VAR                  | CUSIP: 31409JBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12133 | PA      | $12521.96     | 0.00%             | 2036-05-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3439                                                  | FREDDIE MAC FHR 3439 FN                                 | CUSIP: 31397TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1455 | PA      | $1440.31      | 0.00%             | 2037-02-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97000 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4928.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735805 FN 07/35 FLOATING VAR                  | CUSIP: 31402RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3531 | PA      | $3562.96      | 0.00%             | 2035-07-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-340.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $18791.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $1899.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $10293.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-5623.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                            | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3        | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883012 | PA      | $874157.67    | 0.08%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                     | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8349 | PA      | $7751.15      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | 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      | $-4948.69     | -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        |     10419 | PA      | $4405.03      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $32320.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-4749.28     | -0.00%            |  |  |  | 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        |   1300000 | NC      | $10032.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A          | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70078 | PA      | $69348.17     | 0.01%             | 2036-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2      | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4321 | PA      | $2474.81      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3618.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI8506 FN 08/26 FIXED 4                       | CUSIP: 3138ANNY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6642 | PA      | $6615.45      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-239.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0383 FN 04/30 FIXED 4.5                     | CUSIP: 31417YM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5623 | PA      | $5641.78      | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271JXF9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   6390000 | PA      | $6378598.96   | 0.58%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20 | PA      | $20.14        | 0.00%             | 2033-02-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39268 | PA      | $38326.87     | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | 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        |   7758128 | PA      | $7785669.31   | 0.71%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                         | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A            | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1790936 | PA      | $2104786.67   | 0.19%             | 2032-07-15      | Floating      | 2.83%                 | 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        | -19000000 | NC      | $-12426.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A       | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320593 | PA      | $208133.54    | 0.02%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RK89 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -3210000 | NC      | $-5871.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                              | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A       | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054712 | PA      | $1055378.33   | 0.10%             | 2067-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXM0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1894857.27   | 0.17%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $926.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A1        | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199420 | PA      | $183024.24    | 0.02%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A      | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7295658 | PA      | $6971692.58   | 0.64%             | 2046-11-25      | Floating      | 4.67%                 | 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      | $1988832.21   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $544.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                        | NAVESINK CLO, LIMITED NAVS 2024 2A A1 144A              | CUSIP: 63942YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2702414.23   | 0.25%             | 2036-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $83717.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5192.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-246.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 156 JF          | CUSIP: 38383BBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10108545 | PA      | $10112737.01  | 0.92%             | 2055-09-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $74.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1196.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254693 FN 04/33 FIXED 5.5                     | CUSIP: 31371K3A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       503 | PA      | $515.01       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA SR UNSECURED 08/30 VAR             | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $511848.01    | 0.05%             | 2030-08-02      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT4                                | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT4 M1        | CUSIP: 40430KAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872576 | PA      | $7129998.11   | 0.65%             | 2036-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                               | FANNIE MAE FNR 2009 111 FE                              | CUSIP: 31398GRA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4167 | PA      | $4172.96      | 0.00%             | 2040-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $3621.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-212095.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $9563.40      | 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        |    400000 | PA      | $9740.23      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST 2023-1A                                     | THEOREM FUNDING TRUST THRM 2023 1A A 144A               | CUSIP: 88338QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21803 | PA      | $21828.46     | 0.00%             | 2029-04-15      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $17510.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7829 | PA      | $7750.65      | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $3069.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                       | OCEAN TRAILS CLO OCTR 2020 10A BR2 144A                 | CUSIP: 67516CAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003866.02   | 0.18%             | 2034-10-15      | Floating      | 6.02%                 | 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        |  13500000 | NC      | $125948.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.3475 04/11/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $45474.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C            | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2479665 | PA      | $1055687.07   | 0.10%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756226 FN 01/34 FIXED 5.5                     | CUSIP: 31403SD78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68844 | PA      | $70595.77     | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | 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      | $28351.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.0* 9/15/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2858977.46   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15470000 | PA      | $15576671.84  | 1.42%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    989712 | PA      | $977480.59    | 0.09%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $221.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                          | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/33 5.35        | CUSIP: 63633DAG9<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99228.06     | 0.01%             | 2033-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1         | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2056 | PA      | $2024.39      | 0.00%             | 2033-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                 | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    300000 | PA      | $7302.86      | 0.00%             | 2026-08-19      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1        | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599075 | PA      | $546257.71    | 0.05%             | 2036-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3        | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285502 | PA      | $276405.46    | 0.03%             | 2037-02-25      | Floating      | 4.53%                 | 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        |   1600000 | PA      | $1611811.89   | 0.15%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.51000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $6911.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4780 | PA      | $4561.61      | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $10993.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-6                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 6 A1 144A      | CUSIP: 69549BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3300362.34   | 0.30%             | 2026-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1729 FN 11/28 FIXED 4                       | CUSIP: 31418A4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21157 | PA      | $21050.89     | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAM6A5 PIMCO SWAPTION 3.758 PUT USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6500000 | NC      | $48170.85     | 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        |    800000 | NC      | $8402.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-52691.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $3085.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-46335.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A       | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94450 | PA      | $87731.39     | 0.01%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A        | CUSIP: 61753NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687769 | PA      | $615617.39    | 0.06%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    800000 | PA      | $682326.60    | 0.06%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270986 | PA      | $675464.56    | 0.06%             | 2046-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE8050 FN 11/40 FIXED 4.5                     | CUSIP: 31419J5L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32853 | PA      | $32676.70     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    300000 | PA      | $312949.30    | 0.03%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS MXN TIIE1/9.39000 12/12/25-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-78714.63    | -0.01%            |  |  |  | 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      | $97038.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C            | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391540 | PA      | $196747.73    | 0.02%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-197546.89   | -0.02%            |  |  |  | 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        |    386209 | PA      | $398634.08    | 0.04%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3400000 | NC      | $194460.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1065.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FC                                 | CUSIP: 3137HMXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10868309 | PA      | $10900650.90  | 1.00%             | 2055-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $2642.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS5068 FN 06/45 FIXED 3.5                     | CUSIP: 3138WET25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2094 | PA      | $1969.83      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | 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      | $-464570.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-17220.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RJH1 PIMCO CDSOPT PUT USD 0.7 20251217             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        | -63800000 | NC      | $-26889.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $13974.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-8929.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782562 GN 02/39 FIXED 5                       | CUSIP: 36241KZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       421 | PA      | $431.34       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5           | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121274 | PA      | $115205.82    | 0.01%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3389.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $648.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7192.25      | 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      | $-161865.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RDK0 OTC EPUT FN 5.5 OCT25 97.976563 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  52300000 | NC      | $0.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV42 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $1621878.01   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-3F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 3F 3A5                 | CUSIP: 3622MWAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171234 | PA      | $123646.92    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A        | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5107658.50   | 0.47%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7963 FN 05/54 FIXED VAR                     | CUSIP: 3140XPZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2704358 | PA      | $2844858.29   | 0.26%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                            | HARLEY DAVIDSON FND CP                                  | CUSIP: 41282JZ20<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1488334.50   | 0.14%             | 2025-12-02      | None          | 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      | $-93133.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RE94 OTC EPUT FN 5.5 OCT25 98.0625 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  41300000 | NC      | $0.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO3036 FN 05/42 FIXED 4.5                     | CUSIP: 3138LTLS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89770 | PA      | $89592.92     | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | 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        |   2200000 | PA      | $2262026.58   | 0.21%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                              | GSAMP TRUST GSAMP 2007 FM2 A2B                          | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020335 | PA      | $1239946.28   | 0.11%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $5049.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CC MORTGAGE FUNDING CORP 2005-AA                                  | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 AA A2 144A    | CUSIP: 16678RDC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88114 | PA      | $84147.07     | 0.01%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $21783.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   5100000 | NC      | $337959.66    | 0.03%             |  |  |  | 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      | $17097.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4964.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-47                                                | FANNIE MAE FNR 2009 47 FA                               | CUSIP: 31396QFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3405 | PA      | $3435.70      | 0.00%             | 2039-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1369319 | PA      | $1276810.23   | 0.12%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5          | CUSIP: 542514KV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15563 | PA      | $15520.34     | 0.00%             | 2035-04-25      | Floating      | 5.25%                 | 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        | -10400000 | NC      | $-6614.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                 | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |   2100000 | PA      | $1592981.67   | 0.15%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                 | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  43800000 | PA      | $1027155.81   | 0.09%             | 2028-09-06      | Fixed         | 46.96%                | 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        |   1200000 | NC      | $7673.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       782 | NC      | $59667.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831215 FN 01/36 FIXED 6                       | CUSIP: 31407HN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2293 | PA      | $2410.46      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-6805.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.245 09/02/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $16982.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A9CB                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A9CB A9        | CUSIP: 76112HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    907903 | PA      | $264301.80    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-110.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A1A        | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2413762 | PA      | $2231873.88   | 0.20%             | 2046-06-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RLY1 OTC EPUT FN 5.5 DEC25 98.96875 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  21200000 | NC      | $20248.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-25587.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                                | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A            | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1675067 | PA      | $1968559.55   | 0.18%             | 2032-05-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-0.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                       | PALM RE LTD UNSECURED 144A 06/32 VAR                    | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $264637.50    | 0.02%             | 2032-06-07      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $602154.89    | 0.06%             |  |  |  | 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      | $-28179.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-79.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                         | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |   5300000 | PA      | $5383793.00   | 0.49%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9318 FN 10/54 FIXED 5.5                     | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2122217 | PA      | $2174680.94   | 0.20%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3542.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                 | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2        | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893409 | PA      | $222548.18    | 0.02%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291887 | PA      | $285653.94    | 0.03%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819688 | PA      | $819612.96    | 0.07%             | 2051-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $212.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4374.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 934562 FN 08/38 FIXED 5.5                     | CUSIP: 31412TWX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51407 | PA      | $52815.59     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $10517.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-24731.87    | -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        |  11300000 | NC      | $722936.71    | 0.07%             |  |  |  | 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      | $2737377.41   | 0.25%             |  |  |  | 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        |    800000 | PA      | $804927.84    | 0.07%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $5597.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05546 FG 07/39 FIXED 5.5             | CUSIP: 3128M7P75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4280 | PA      | $4441.35      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4544 FN 08/30 FIXED 4.56                    | CUSIP: 3140Q0BN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5275000 | PA      | $5374349.93   | 0.49%             | 2030-08-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A        | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262332 | PA      | $238646.03    | 0.02%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $147.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A          | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1934419 | PA      | $1952646.31   | 0.18%             | 2037-06-25      | Floating      | 4.67%                 | 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      | $-32714.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD5620 GN 04/43 FIXED 3.5                     | CUSIP: 36180HG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6315 | PA      | $5906.85      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 AS 144A    | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5800000 | PA      | $5788502.95   | 0.53%             | 2040-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5             | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16708 | PA      | $17353.39     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-8372.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754031 FN 12/33 FLOATING VAR                  | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28366 | PA      | $28996.45     | 0.00%             | 2033-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $462.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   9800000 | NC      | $848262.52    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AC8778 GN 06/43 FIXED 3.5                     | CUSIP: 36179JXF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3530 | PA      | $3302.14      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-318750.09   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-10602.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0307 FR 01/55 FIXED 5.5             | CUSIP: 31427MKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6741111 | PA      | $6911183.12   | 0.63%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605266 GN 06/34 FIXED 5                       | CUSIP: 36200NMP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1438 | PA      | $1454.08      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 646088 GN 12/36 FIXED 5                       | CUSIP: 36292DXR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $277.67       | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $29220.69     | 0.00%             |  |  |  | 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        |   1300000 | NC      | $9183.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $4.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    200000 | PA      | $213815.28    | 0.02%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-50208.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                               | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3     | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    500000 | PA      | $447161.85    | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 687435 FN 02/33 FIXED 5.5                     | CUSIP: 31400GV44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3212 | PA      | $3306.48      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $14515.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852954 FN 02/36 FIXED 5.5                     | CUSIP: 31408JTK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2945 | PA      | $3013.92      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36169 | PA      | $37264.63     | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1           | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96316 | PA      | $97815.53     | 0.01%             | 2028-09-01      | Fixed         | 5.60%                 | 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        |    600000 | NC      | $6402.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-301291.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AZ0862 FN 07/45 FIXED 3.5                     | CUSIP: 3138YR5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10384 | PA      | $9768.13      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB3603 FN 05/54 FIXED 6.5                     | CUSIP: 3140ADAD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    564174 | PA      | $590537.38    | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-8373.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $81894.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $3421.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-133.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                         | FANNIE MAE FNR 2025 78 KF                               | CUSIP: 3136BW7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7357641 | PA      | $7383574.84   | 0.67%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5235.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A               | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4184307 | PA      | $2732383.36   | 0.25%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2C               | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213761 | PA      | $98845.50     | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | 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      | $-30745.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32940000 | PA      | $30970718.66  | 2.83%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-3449.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                       | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    700000 | PA      | $556347.05    | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2683.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $156.52       | 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        |    400000 | PA      | $404166.60    | 0.04%             | 2027-03-05      | Fixed         | 5.80%                 | 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        |   1200000 | NC      | $7140.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+72 *BULLET* JPM                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $32884344.93  | 3.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676926 GN 04/38 FIXED 5                       | CUSIP: 36295QA34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118698 | PA      | $121113.20    | 0.01%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                            | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                  | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |    250000 | PA      | $298076.79    | 0.03%             | 2027-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $392.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9          | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    350000 | PA      | $363742.87    | 0.03%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-21962.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY FEDL01+80 *BULLET* JP                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $15425839.54  | 1.41%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5482                                           | FREDDIE MAC FHR 5482 FA                                 | CUSIP: 3137HHLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1730433 | PA      | $1745179.45   | 0.16%             | 2054-12-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $5145958.79   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6900000 | NC      | $379879.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                      | ALIMENTATION COUCHE TARD INC 10/25 ZCP                  | CUSIP: 01626UX34<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |  10750000 | PA      | $10746150.43  | 0.98%             | 2025-10-03      | None          | 0.00%                 | 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        |    138652 | PA      | $128720.13    | 0.01%             | 2047-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $3120.61      | 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      | $-32656.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                       | URSA RE LTD UNSECURED 144A 02/28 VAR                    | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $504525.00    | 0.05%             | 2028-02-22      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $46025.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-62.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS MXN TIIE1/7.76000 04/09/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2863.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05852 FG 03/39 FIXED 5.5             | CUSIP: 3128M7ZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25605 | PA      | $26563.15     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                              | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100408.68    | 0.01%             | 2028-01-14      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3342 FR 01/55 FIXED 6.5             | CUSIP: 3142GTWC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1115945 | PA      | $1177776.53   | 0.11%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                       | NAKILAT INC SR SECURED REGS 12/33 6.067                 | CUSIP: Y62014AA6<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |     76661 | PA      | $81534.46     | 0.01%             | 2033-12-31      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $18.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RD46 OTC ECAL FN 4.5 OCT25 96.546875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -13100000 | NC      | $-77339.78    | -0.01%            |  |  |  | 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      | $249497.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                           | BANK OF NOVA SCOTIA SR UNSECURED 08/29 5.45             | CUSIP: 06418GAK3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   3800000 | PA      | $3967679.18   | 0.36%             | 2029-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                   | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $266625.00    | 0.02%             | 2032-01-07      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                              | INTEGRITY RE III UNSECURED 144A 06/27 VAR               | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $263300.00    | 0.02%             | 2027-06-06      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602715 GN 02/45 FIXED 3.5                     | CUSIP: 36200JSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62397 | PA      | $58363.53     | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS MXN TIIE1/9.00000 12/24/24-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-242034.11   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2022 5A A 144A     | CUSIP: 05377RFV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4930436.84   | 0.45%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-99                                                | FANNIE MAE FNR 2009 99 FC                               | CUSIP: 31398F4R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7754 | PA      | $7802.88      | 0.00%             | 2039-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO0771 FN 04/42 FIXED 4.5                     | CUSIP: 3138LQ2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66424 | PA      | $66292.28     | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | 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        |    485629 | PA      | $481452.01    | 0.04%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888129 FN 02/37 FIXED VAR                     | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175722 | PA      | $182936.95    | 0.02%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    100000 | PA      | $100000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1288.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5652 FN 01/47 FIXED 3.5                     | CUSIP: 3140FRH65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9846 | PA      | $9208.60      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1893048 | PA      | $1936860.17   | 0.18%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                 | MARS INC SR UNSECURED 144A 03/35 5.2                    | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306796.66    | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | 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        |   4900000 | NC      | $4958.80      | 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      | $-11414.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $905.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-12N                                          | LEHMAN XS TRUST LXS 2007 12N 1A3A                       | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3352976 | PA      | $3297443.22   | 0.30%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $1099.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY FEDL01+70 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $1589104.31   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A     | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32050 | PA      | $30263.67     | 0.00%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4726.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $9653.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $522231.87    | 0.05%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1         | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692399 | PA      | $227184.01    | 0.02%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.95000 12/19/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14479.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-10036.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9220 FN 08/30 FIXED 4.72                    | CUSIP: 3140LLG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    585180 | PA      | $597511.69    | 0.05%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1012.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS1185 FN 09/41 FIXED 4.5                     | CUSIP: 3138WAJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20526 | PA      | $20407.91     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                              | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4           | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157888 | PA      | $28635.77     | 0.00%             | 2036-10-25      | Floating      | 4.93%                 | 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        |    125479 | PA      | $65672.71     | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.81000 01/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3966.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-18.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $680446.62    | 0.06%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251124                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-121871.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $112.27       | 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      | $243218.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                      | ACE SECURITIES CORP. ACE 2006 NC1 M1                    | CUSIP: 004421UU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3157933 | PA      | $3008615.28   | 0.27%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $60978.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.42000 03/07/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1799.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-57666.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $897.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4          | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277744 | PA      | $133019.66    | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34933 | PA      | $9177.29      | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-14226.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLOGOLD ASHANTI HOLDINGS PLC                                    | ANGLOGOLD HOLDINGS PLC COMPANY GUAR 11/28 3.375         | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |   1600000 | PA      | $1548612.08   | 0.14%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV42 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $961112.90    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                      | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A              | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3778783 | PA      | $3783259.51   | 0.35%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85400 12/29/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11670.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5             | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53694 | PA      | $55171.39     | 0.01%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-3472.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $1138.87      | 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        | 733800000 | NC      | $3346568.28   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838769 FN 09/35 FLOATING VAR                  | CUSIP: 31407R2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6784 | PA      | $6940.40      | 0.00%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                | FANNIE MAE FNR 2007 14 FB                               | CUSIP: 31396PZU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2869 | PA      | $2830.61      | 0.00%             | 2037-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.67900 08/13/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-923.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5702 | PA      | $5767.65      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD9367 FN 09/30 FIXED 4.5                     | CUSIP: 31418XMR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    222713 | PA      | $222908.09    | 0.02%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1008.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5             | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22997715 | PA      | $23754353.35  | 2.17%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $14133.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $45751.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18056 | PA      | $8221.59      | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $7280.81      | 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      | $9518.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A    | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    275626 | PA      | $272812.52    | 0.02%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $3680.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $3258.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -7460000 | PA      | $-6286184.67  | -0.57%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688091 GN 11/38 FIXED 5                       | CUSIP: 36296DNG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13729 | PA      | $14083.75     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                  | FREDDIE MAC FHR 3181 PS                                 | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66257 | PA      | $6806.58      | 0.00%             | 2036-07-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $392.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2567 GN 03/45 FIXED 3.5                     | CUSIP: 36183XZ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1023 | PA      | $956.68       | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $533.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       176 | NC      | $52480.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                         | FANNIE MAE FNR 2011 17 KS                               | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    117827 | PA      | $11924.64     | 0.00%             | 2041-03-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3702 FR 03/55 FIXED 6.5             | CUSIP: 3142GUDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    970173 | PA      | $1023929.76   | 0.09%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABUA2 PIMCO SWAPTION 3.907 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  33000000 | NC      | $14767.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $5830.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  37100000 | NC      | $2331382.55   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5247 GN 01/45 FIXED 3.5                     | CUSIP: 36184BZL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7339 | PA      | $6864.25      | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11309 | PA      | $11222.46     | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RDM6 OTC EPUT FN 5.5 OCT25 97.945313 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  52300000 | NC      | $0.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAJDA4 PIMCO SWAPTION 3.677 PUT USD 2025122          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -13700000 | NC      | $-63846.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                            | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4            | CUSIP: 61744CSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86720 | PA      | $85050.94     | 0.01%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7160 FN 02/54 FIXED VAR                     | CUSIP: 3140XN5W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3651093 | PA      | $3828341.77   | 0.35%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1       | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75238 | PA      | $67700.92     | 0.01%             | 2036-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2331 FN 08/30 FIXED 4.86                    | CUSIP: 3140NWSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1757619.21   | 0.16%             | 2030-08-01      | Fixed         | 4.86%                 | 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      | $934721.02    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1731.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 6A1          | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62867 | PA      | $56168.71     | 0.01%             | 2046-12-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $18943.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q00623 FG 04/41 FIXED 4.5             | CUSIP: 3132GDVQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72843 | PA      | $72232.96     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82815 | PA      | $71717.50     | 0.01%             | 2036-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1       | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124251 | PA      | $114114.24    | 0.01%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4           | CUSIP: 045427AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6121567 | PA      | $5822367.27   | 0.53%             | 2046-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-7152.30     | -0.00%            |  |  |  | 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        |    849084 | PA      | $764615.77    | 0.07%             | 2037-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+53 MYI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $5362793.70   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-RPL1                              | BINOM SECURITIZATION TRUST BINOM 2022 RPL1 A1 144A      | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816100 | PA      | $767286.16    | 0.07%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                   | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $259250.00    | 0.02%             | 2028-01-07      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-3183.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.53000 04/23/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5679.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $230.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A19022 FG 02/34 FIXED 6               | CUSIP: 31296UAX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98604 | PA      | $102642.63    | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12588.16     | 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        |    600000 | NC      | $7460.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675179 GN 03/38 FIXED 5                       | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126189 | PA      | $129485.43    | 0.01%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FN DUS POOL BAML 2591                                   | CUSIP: 990AATUF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22680000 | PA      | $22634362.17  | 2.07%             | 2055-11-01      | Fixed         | 4.15%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5993.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 01/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4235.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-A                                   | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 A 2A1           | CUSIP: 92977TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5142 | PA      | $5024.48      | 0.00%             | 2036-05-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889770 FN 06/38 FIXED VAR                     | CUSIP: 31410KQX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10824 | PA      | $11268.44     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1295.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       465 | NC      | $299555.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |  -1600000 | NC      | $-12235.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $9064.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                        | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    700000 | PA      | $213706.60    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI2571 GN 06/44 FIXED 3.5                     | CUSIP: 36198N2C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74768 | PA      | $69934.63     | 0.01%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-250.06      | -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        |   1800000 | PA      | $1815500.57   | 0.17%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-718.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $246.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1         | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       889 | PA      | $896.31       | 0.00%             | 2033-04-25      | Floating      | 6.33%                 | 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      | $-480.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1194 | PA      | $1145.24      | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     83000 | PA      | $79818.17     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809177 FN 01/35 FLOATING VAR                  | CUSIP: 31406F6N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4912 | PA      | $4951.86      | 0.00%             | 2035-01-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3400000 | NC      | $194508.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $287114.18    | 0.03%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 AF                               | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12983 | PA      | $13010.06     | 0.00%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890220 FN 12/39 FIXED VAR                     | CUSIP: 31410LAV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276 | PA      | $286.13       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $863.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -272 | NC      | $-168393.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VCAT LLC 2025-NPL2                                                | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL2 A1 144A   | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1964901 | PA      | $1969698.66   | 0.18%             | 2055-01-25      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $840.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                           | HARVEST CLO HARVT 21A A2R 144A                          | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    540690 | PA      | $624581.60    | 0.06%             | 2031-07-15      | Fixed         | 1.04%                 | 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        |   1467092 | PA      | $1480477.37   | 0.14%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                        | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A       | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    701142 | PA      | $944573.86    | 0.09%             | 2060-06-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                 | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3         | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304000 | PA      | $266798.43    | 0.02%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3507401.61   | 0.32%             | 2031-04-23      | Floating      | 5.15%                 | 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      | $-374723.95   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 829708 FN 06/35 FLOATING VAR                  | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18454 | PA      | $18946.80     | 0.00%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-212.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                     | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                 | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75750 | PA      | $24437.64     | 0.00%             | 2036-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1779.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $6296.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697573 GN 11/38 FIXED 5                       | CUSIP: 36296P6J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13170 | PA      | $13513.79     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $19941.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7579 FN 10/29 VARIABLE                      | CUSIP: 3140JCM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5529639.72   | 0.51%             | 2029-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A BR 144A      | CUSIP: 05685AAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2199314.44   | 0.20%             | 2034-10-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3816                                           | FREDDIE MAC FHR 3816 HN                                 | CUSIP: 3137A6R46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71714 | PA      | $71933.77     | 0.01%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $3373310.92   | 0.31%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $33388.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-62122.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $25112.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-86067.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                             | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II         | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $202592.80    | 0.02%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-7524.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-159                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 159 FJ          | CUSIP: 38381U6P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $8518459.88   | 0.78%             | 2055-09-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ1029 FN 06/29 FIXED 4.93                    | CUSIP: 3140NVEB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2465434.39   | 0.23%             | 2029-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-3882.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                      | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 B1           | CUSIP: 576433EU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32839 | PA      | $28846.01     | 0.00%             | 2033-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5005091 | PA      | $4539420.72   | 0.41%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7635.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4745.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                 | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3004282.50   | 0.27%             | 2065-06-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526A5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -8678975 | PA      | $-8751828.23  | -0.80%            | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 AS 144A    | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9100000 | PA      | $9083723.10   | 0.83%             | 2038-11-15      | Floating      | 6.17%                 | 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      | $116.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $725.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $20533.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $21859.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-41389.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    135000 | PA      | $133309.65    | 0.01%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $4393.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5804 | PA      | $6041.87      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA TOWER TRUST ASSET BACKED 144A 04/27 1.84            | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $668912.93    | 0.06%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-328.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5             | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1475686 | PA      | $1490143.09   | 0.14%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                 | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  49900000 | PA      | $1181020.77   | 0.11%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-63097.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3300000 | NC      | $214388.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-14131.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-53233.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                           | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A    | CUSIP: 55286TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102131 | PA      | $102287.04    | 0.01%             | 2032-02-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-329.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7799 FN 01/54 FIXED 6.5                     | CUSIP: 3140QTUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3109899 | PA      | $3271327.23   | 0.30%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-173.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5109.78      | 0.00%             |  |  |  | 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      | $428894.63    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02422 FG 12/36 FIXED 6               | CUSIP: 3128M4AX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60559 | PA      | $63908.81     | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3170.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7792 GN 11/42 FIXED 3.5                     | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    156816 | PA      | $146681.54    | 0.01%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $9802.32      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                             | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 1A1         | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130111 | PA      | $96096.34     | 0.01%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995018 FN 06/38 FIXED VAR                     | CUSIP: 31416BK72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3413 | PA      | $3552.66      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-5949.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                              | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   1500000 | PA      | $1110420.00   | 0.10%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |  13650837 | PA      | $132945497.88 | 12.14%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC-3891                                                  | FREDDIE MAC FHR 3891 BF                                 | CUSIP: 3137ADTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140361 | PA      | $139635.00    | 0.01%             | 2041-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A1 144A        | CUSIP: 61753EAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2989795 | PA      | $1129610.64   | 0.10%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $2273.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-16                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A           | CUSIP: 23242FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918530 | PA      | $879739.62    | 0.08%             | 2046-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1427 | PA      | $1465.38      | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9023 FN 08/54 FIXED 6.5                     | CUSIP: 3140QVAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2550229 | PA      | $2682321.91   | 0.25%             | 2054-08-01      | Fixed         | 6.50%                 | 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      | $-640157.05   | -0.06%            |  |  |  | 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      | $-3271.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5475 FN 02/47 FIXED 3.5                     | CUSIP: 3140FRCM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12303 | PA      | $11455.14     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2314.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-142.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ2091 FR 04/54 FIXED 5.5             | CUSIP: 3142GSKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3594610 | PA      | $3631802.80   | 0.33%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1028.23      | 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        |  19000000 | NC      | $19228.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1950000 | PA      | $1713101.66   | 0.16%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $11938.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUXL 30Y BND DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         1 | NC      | $3051.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                   | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    946644 | PA      | $1112139.30   | 0.10%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4291.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688012 GN 10/38 FIXED 5                       | CUSIP: 36296DKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       712 | PA      | $727.25       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                            | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B         | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8210011 | PA      | $4038946.75   | 0.37%             | 2036-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9277 FN 02/48 FIXED 3.5                     | CUSIP: 3140GYJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9823 | PA      | $9146.39      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21364 | PA      | $21771.50     | 0.00%             | 2035-06-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-112.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                              | ARBOUR CLO ARBR 6A AR 144A                              | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   4200000 | PA      | $4942149.97   | 0.45%             | 2037-11-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY FEDL01+79 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $115167.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-48520.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1021.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAJCA5 PIMCO SWAPTION 3.177 CALL USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  12300000 | NC      | $40881.51     | 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        | -27600000 | NC      | $-17553.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 763877 GN 09/43 FIXED 3.5                     | CUSIP: 36176EM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122997 | PA      | $115045.23    | 0.01%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6900000 | NC      | $416056.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $268064.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0034 FR 06/54 FIXED 6.5             | CUSIP: 31427MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1481625.35   | 0.14%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $9625.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3         | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33983 | PA      | $31684.69     | 0.00%             | 2035-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH5050 FN 03/26 FIXED 4                       | CUSIP: 3138A6TG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       620 | PA      | $618.10       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-9967.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                    | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3232 | PA      | $4336.08      | 0.00%             | 2044-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906745 FN 01/37 FIXED 5.5                     | CUSIP: 31411FL28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2051 | PA      | $2113.63      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $7618.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3404                                                  | FREDDIE MAC FHR 3404 AF                                 | CUSIP: 31397PST8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25100 | PA      | $25267.12     | 0.00%             | 2038-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-4978.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  14365122 | PA      | $751377.43    | 0.07%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 2 1A1                  | CUSIP: 81744LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87779 | PA      | $81806.42     | 0.01%             | 2036-06-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $595.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A      | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396121 | PA      | $400486.11    | 0.04%             | 2052-11-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $3.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4          | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1116921 | PA      | $1085549.96   | 0.10%             | 2047-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADHA3 PIMCO SWAPTION 3.103 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  15400000 | NC      | $549.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5300000 | PA      | $5423886.18   | 0.50%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REGATTA XXIII FUNDING LTD                                         | REGATTA XXIII FUNDING LTD REG23 2021 4A A1 144A         | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4800000 | PA      | $4818455.76   | 0.44%             | 2035-01-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $413711.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-16630.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55800 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1914.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $7007.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1103.40      | 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      | $-18615.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 983671 FN 09/38 FIXED 5.5                     | CUSIP: 31415LW86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4428 | PA      | $4549.02      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6740000 | PA      | $6685348.91   | 0.61%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-413.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $4168.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $4799.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB6502 FN 07/54 FIXED 6.5                     | CUSIP: 3140AGGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1448848 | PA      | $1514722.24   | 0.14%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 A3          | CUSIP: 80287DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    856813 | PA      | $860450.66    | 0.08%             | 2028-07-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $10187.94     | 0.00%             |  |  |  | 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        |   1500000 | PA      | $1526469.23   | 0.14%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-52296.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-54691.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0713 FN 07/54 FIXED VAR                     | CUSIP: 3140W0YK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1365265 | PA      | $1432926.37   | 0.13%             | 2054-07-01      | Fixed         | 6.50%                 | 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      | $-25688.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A     | CUSIP: 36361UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2710213.48   | 0.25%             | 2031-07-15      | Floating      | 6.23%                 | 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        |   4189146 | PA      | $4196306.49   | 0.38%             | 2054-11-25      | Floating      | 5.30%                 | 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        |   4067430 | PA      | $4142703.17   | 0.38%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04359 FG 06/38 FIXED 5.5             | CUSIP: 3128M6E87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56051 | PA      | $58146.99     | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2018-1R                             | NOMURA RESECURITIZATION TRUST NMRR 2018 1R 3A1 144A     | CUSIP: 65541JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1648719 | PA      | $1601358.24   | 0.15%             | 2037-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1721.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11228.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 733800000 | NC      | $2969982.12   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $17087.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799940 FN 11/34 FLOATING VAR                  | CUSIP: 31405UV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       978 | PA      | $987.94       | 0.00%             | 2034-11-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $3832.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57821 | PA      | $57655.29     | 0.01%             | 2045-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32540000 | PA      | $32329317.49  | 2.95%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH8981 FN 04/26 FIXED 4                       | CUSIP: 3138AA6T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       578 | PA      | $576.23       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | 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        |   1445028 | PA      | $1466036.15   | 0.13%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  28400000 | NC      | $2458230.16   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A     | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688803 | PA      | $1694096.06   | 0.15%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $319.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-14058.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16130 | PA      | $15784.52     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                            | CARVAL CLO LTD CARVL 2018 1A AR 144A                    | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4247459 | PA      | $4251992.10   | 0.39%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1888.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                           | FREDDIE MAC FHR 5557 FM                                 | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    483699 | PA      | $484921.59    | 0.04%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A   | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3874335 | PA      | $3886914.51   | 0.36%             | 2055-08-25      | Fixed         | 5.73%                 | 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        |  15200000 | NC      | $163179.60    | 0.01%             |  |  |  | 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      | $-2979.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDY3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1600000 | PA      | $1618770.45   | 0.15%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86500 11/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3016.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8044.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE7763 FN 11/25 FIXED 4                       | CUSIP: 31419JTV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $5.78         | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1748.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81326 FG 08/38 FIXED 5.5             | CUSIP: 312927PK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1515 | PA      | $1574.08      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  91000000 | PA      | $4998518.82   | 0.46%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAD3A8 PIMCO SWAPTION 4.0275 PUT USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -15200000 | NC      | $-31477.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BNP PARIBAS SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |         1 | NC      | $247.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.67000 04/03/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3073.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4797.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $135.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC1                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC1 M6        | CUSIP: 76112BRR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1951937 | PA      | $1909488.54   | 0.17%             | 2035-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745586 FN 06/36 FIXED VAR                     | CUSIP: 31403DJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       337 | PA      | $350.56       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7277 FR 08/54 FIXED 6.5             | CUSIP: 3132DVCN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2394519 | PA      | $2524197.56   | 0.23%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $11696.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-3                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A            | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1573859 | PA      | $1566610.44   | 0.14%             | 2068-11-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A    | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $394232.04    | 0.04%             | 2038-04-25      | Fixed         | 3.93%                 | 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      | $28086.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                        | HPS CORPORATE LENDING FU SR UNSECURED 04/32 5.95        | CUSIP: 40440VAK1<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    800000 | PA      | $813660.14    | 0.07%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08173 FG 01/37 FIXED 5.5             | CUSIP: 3128MJFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1319 | PA      | $1374.62      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8013 FN 02/54 FIXED 6.5                     | CUSIP: 3140QT3X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7698658 | PA      | $8097869.54   | 0.74%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4855 | PA      | $4216.43      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3       | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135435 | PA      | $36390.79     | 0.00%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-20887.97    | -0.00%            |  |  |  | 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      | $-23366.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2391 G2 11/44 FLOATING VAR               | CUSIP: 36179QUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24765 | PA      | $25476.29     | 0.00%             | 2044-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.07100 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $16678.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-70                                         | FANNIE MAE FNR 2025 70 CF                               | CUSIP: 3136BXKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7060199 | PA      | $7117932.82   | 0.65%             | 2055-09-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $7998.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3400000 | NC      | $201028.06    | 0.02%             |  |  |  | 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        |  21400000 | PA      | $6533994.04   | 0.60%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5900000 | PA      | $5901953.61   | 0.54%             | 2037-02-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH4828 FN 02/26 FIXED 4                       | CUSIP: 3138A6LJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2138 | PA      | $2130.69      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                           | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405448 | PA      | $361104.78    | 0.03%             | 2037-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $21793.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH4654 FN 02/26 FIXED 4                       | CUSIP: 3138A6E48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316 | PA      | $314.53       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V85233 FG 03/49 FIXED 4               | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236590 | PA      | $227468.10    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $384841.54    | 0.04%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABKA3 PIMCO SWAPTION 3.16 CALL USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3100000 | NC      | $6936.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $937126.83    | 0.09%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $52.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-588.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541722 | PA      | $460537.95    | 0.04%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAM5A6 PIMCO SWAPTION 3.23 CALL USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  12900000 | NC      | $101143.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13562.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  12900000 | NC      | $810642.45    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-5898.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 AS 144A     | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4579740.40   | 0.42%             | 2036-10-16      | Floating      | 5.70%                 | 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        |     15148 | PA      | $13227.03     | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | 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        |  10400000 | NC      | $10452.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 2A1        | CUSIP: 55275NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1989020 | PA      | $1781093.73   | 0.16%             | 2046-12-25      | Floating      | 4.95%                 | 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      | $-2049468.70  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68400 01/03/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1307.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 732218 FN 06/43 FLOATING VAR                  | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20689 | PA      | $20908.83     | 0.00%             | 2043-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH0973 FN 12/25 FIXED 4                       | CUSIP: 3138A2CK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253 | PA      | $252.57       | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $3046.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1890.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 3A1      | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104888 | PA      | $90580.59     | 0.01%             | 2036-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6957 | PA      | $6752.04      | 0.00%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-4484.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                               | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4             | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $2763188.16   | 0.25%             | 2035-07-25      | Floating      | 5.25%                 | 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      | $419.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0128 GN 05/42 FIXED 3.5                     | CUSIP: 36177WD98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44122 | PA      | $41367.21     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ9565 GN 03/45 FIXED 3.5                     | CUSIP: 36183FTW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23866 | PA      | $22323.23     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1055.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $8634.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                    | FREMONT HOME LOAN TRUST FHLT 2005 E 2A4                 | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29129 | PA      | $28226.41     | 0.00%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4776.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM2842 GN 04/45 FIXED 3.5                     | CUSIP: 36184NEP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189889 | PA      | $173854.59    | 0.02%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 885961 FN 07/36 FLOATING VAR                  | CUSIP: 31410DJE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16607 | PA      | $17116.20     | 0.00%             | 2036-07-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO8051 FN 06/42 FIXED 4.5                     | CUSIP: 3138LY5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3528 | PA      | $3521.05      | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                      | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97302 | PA      | $96980.94     | 0.01%             | 2042-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735962 FN 10/35 FLOATING VAR                  | CUSIP: 31402RTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3551 | PA      | $3599.35      | 0.00%             | 2035-10-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270000 | PA      | $274635.85    | 0.03%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-102609.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                       | REPUBLIC OF PANAMA EUR TERM LOAN 2                      | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |   1000000 | PA      | $1183210.57   | 0.11%             | 2027-04-01      | Floating      | 4.55%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-126.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZYA7 PIMCO SWAPTION 4.0945 PUT USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -24700000 | NC      | $-39.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9823 | PA      | $10000.35     | 0.00%             | 2035-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1749.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04913 FG 03/38 FIXED 5               | CUSIP: 3128M6YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    674185 | PA      | $692422.29    | 0.06%             | 2038-03-01      | Fixed         | 5.00%                 | 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        |    600000 | NC      | $7131.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK3841 FN 04/48 FIXED 3.5                     | CUSIP: 3140HHHT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2696 | PA      | $2512.04      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B        | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2420925 | PA      | $1872702.41   | 0.17%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3238 FN 01/48 FIXED 3.5                     | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1072245 | PA      | $999303.56    | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-75652.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $269.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  14100000 | NC      | $787375.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-406.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4         | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4687000 | PA      | $4566296.63   | 0.42%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685882 GN 05/38 FIXED 5                       | CUSIP: 36296A6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122163 | PA      | $125354.85    | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI2963 FN 05/26 FIXED 4                       | CUSIP: 3138AGJH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $299.71       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-8163.20     | -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      | $-8180.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $7988.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                 | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/35 5.625  | CUSIP: 80413TBL2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1800000 | PA      | $1920475.08   | 0.18%             | 2035-01-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-4984.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $4129.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-10765.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $48980.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-175.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2180.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0938 FN 04/39 FIXED VAR                     | CUSIP: 31418NBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3496 | PA      | $3686.35      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.30500 11/27/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-16930.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $17163.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3SA3 PIMCO SWAPTION 4.131 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -21600000 | NC      | $-1691.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2577 GN 03/45 FIXED 3.5                     | CUSIP: 36183X2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20558 | PA      | $19228.27     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-419439.82   | -0.04%            |  |  |  | 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        |   1600000 | NC      | $10052.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RKA4 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -3210000 | NC      | $-13957.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-154.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST 2015-1                                 | APS RESECURITIZATION TRUST APS 2015 1 2M 144A           | CUSIP: 00191TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792742 | PA      | $787819.24    | 0.07%             | 2054-08-28      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8275.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $4544.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-9Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18666.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS MXN TIIE1/8.27000 03/19/25-10Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $86975.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7414 FN 08/48 FIXED 3.5                     | CUSIP: 3140HMGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    154544 | PA      | $142958.76    | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 131500000 | PA      | $135987551.91 | 12.42%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB1260 GN 07/42 FIXED 3.5                     | CUSIP: 36178LMH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70882 | PA      | $66455.57     | 0.01%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-64731.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-54117.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $364.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35             | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    700000 | PA      | $702811.42    | 0.06%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $23921.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1819.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3482.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                           | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    851491 | PA      | $856045.92    | 0.08%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RDL8 OTC EPUT FN 5.5 OCT25 97.960938 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  10500000 | NC      | $0.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3010 FN 05/26 FIXED 4                       | CUSIP: 31416YKY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1105 | PA      | $1101.06      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK9707 GN 02/45 FIXED 3.5                     | CUSIP: 36183TYC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165008 | PA      | $154338.47    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-3270.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS9843 FN 11/54 FIXED VAR                     | CUSIP: 3140XR5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2269947 | PA      | $2391799.27   | 0.22%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $326.96       | 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      | $8861.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929451 FN 05/38 FIXED 5.5                     | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16809 | PA      | $17453.88     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1           | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2870 | PA      | $2432.65      | 0.00%             | 2047-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                      | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A          | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $283670.10    | 0.03%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD5901 FR 04/54 FIXED 6.5             | CUSIP: 3132DTRW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1988308 | PA      | $2096315.94   | 0.19%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-6                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 6 A2 144A      | CUSIP: 69549BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1100843.15   | 0.10%             | 2033-04-15      | Fixed         | 4.50%                 | 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        |  27600000 | NC      | $27738.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.22000 01/08/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-14371.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-107871.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A       | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51021 | PA      | $40436.50     | 0.00%             | 2036-12-19      | Floating      | 4.66%                 | 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      | $11998.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $136.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ8195 FN 01/48 FIXED 3.5                     | CUSIP: 3140HAC99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7638 | PA      | $7127.11      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $234.33       | 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      | $146054.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $7640.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD7853 FN 06/30 FIXED 4.5                     | CUSIP: 31418VWP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2771 | PA      | $2788.45      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1         | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5354 | PA      | $4855.37      | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC                    | READYCAP COMMERCIAL MORTGAGE T RCMT 2023 FL11 A 144A    | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22481 | PA      | $22550.38     | 0.00%             | 2039-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 880623 FN 04/36 FIXED 5.5                     | CUSIP: 31409WLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77872 | PA      | $81067.58     | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                 | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR              | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $250000.00    | 0.02%             | 2031-09-14      | Floating      | 15.19%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $423.88       | 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      | $-183346.30   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CRB SECURITIZATION TRUST 2023-1                                   | CRB SECURITIZATION TRUST CRB 2023 1 A 144A              | CUSIP: 12670DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77297 | PA      | $77415.19     | 0.01%             | 2033-10-20      | Fixed         | 6.96%                 | 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      | $-196.19      | -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        |    195378 | PA      | $193741.45    | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1445340 | PA      | $1368476.57   | 0.13%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $7345.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -22910000 | PA      | $-18470800.55 | -1.69%            | 2055-10-14      | Fixed         | 2.00%                 | 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        |    254959 | PA      | $257453.33    | 0.02%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    200000 | PA      | $215825.44    | 0.02%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100410.49    | 0.01%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3948 | PA      | $3975.59      | 0.00%             | 2044-07-01      | Floating      | 5.35%                 | 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        |      5642 | PA      | $5889.67      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $5951.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-508.97      | -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        |  49635618 | PA      | $50106591.21  | 4.58%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-838.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                           | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375   | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199328.66    | 0.02%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -25000000 | PA      | $-21070209.00 | -1.92%            | 2055-11-13      | Fixed         | 2.50%                 | 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      | $7047.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-13515.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $16379.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $577.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                              | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1           | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9201 | PA      | $9044.26      | 0.00%             | 2033-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A2C                          | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28752 | PA      | $14273.01     | 0.00%             | 2046-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2582 FN 12/29 FIXED 4.3                     | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3808000 | PA      | $3842819.51   | 0.35%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3          | CUSIP: 12667AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3447342 | PA      | $3292243.69   | 0.30%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 821348 FN 05/35 FIXED 6                       | CUSIP: 31406VP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19298 | PA      | $19716.92     | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91057 FG 06/27 FIXED 5.5             | CUSIP: 3128P7E66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5315 | PA      | $5366.14      | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | 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        |  -4900000 | NC      | $-3204.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $7125.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 1A1        | CUSIP: 55275NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967250 | PA      | $1487809.15   | 0.14%             | 2046-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3539.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2003-W10                                    | ARGENT SECURITIES INC. ARSI 2003 W10 M1                 | CUSIP: 040104EN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98257 | PA      | $95016.77     | 0.01%             | 2034-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $473.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-19686.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1937.87     | -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        |   1300000 | NC      | $9795.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA          | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78817 | PA      | $79785.54     | 0.01%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+27 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $433514.89    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 1A5          | CUSIP: 05952GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172664 | PA      | $143212.59    | 0.01%             | 2047-06-20      | Floating      | 4.81%                 | 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        |   3067288 | PA      | $2918713.73   | 0.27%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2732 | PA      | $2795.32      | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $9448.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5427 GN 02/45 FIXED 3.5                     | CUSIP: 36184CA47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119945 | PA      | $112189.86    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832435 FN 09/35 FIXED 6                       | CUSIP: 31407JY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1369 | PA      | $1426.67      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688013 GN 10/38 FIXED 5                       | CUSIP: 36296DK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2316 | PA      | $2376.08      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0049 FR 10/53 FIXED 5               | CUSIP: 3142GQBT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1522889 | PA      | $1515424.10   | 0.14%             | 2053-10-01      | Fixed         | 5.00%                 | 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        |    433603 | PA      | $101818.30    | 0.01%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179157 | PA      | $138470.90    | 0.01%             | 2047-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848226 FN 11/35 FIXED 6                       | CUSIP: 31408DLF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8631 | PA      | $8993.78      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-6825.00     | -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      | $-1832.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 2CB1        | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328242 | PA      | $235509.35    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328024 | PA      | $123358.26    | 0.01%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-7953.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL9735 GN 04/45 FIXED 3.5                     | CUSIP: 36184HY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62454 | PA      | $58415.27     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15256375.35  | 1.39%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                 | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  77600000 | PA      | $4299811.61   | 0.39%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                        | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A         | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   3473169 | PA      | $4086008.47   | 0.37%             | 2081-03-24      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                  | FREDDIE MAC FHR 3136 NS                                 | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5835 | PA      | $541.79       | 0.00%             | 2036-04-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $5619.82      | 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      | $-6476.65     | -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      | $198.23       | 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        |   2100000 | PA      | $2515630.14   | 0.23%             | 2039-07-11      | Fixed         | 6.75%                 | 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        |   4506499 | PA      | $4534087.79   | 0.41%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                         | STELLANTIS FIN US INC COMPANY GUAR 144A 09/31 2.691     | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3259983.25   | 0.30%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $1367.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RK97 PIMCO FXVAN PUT USD BRL 5.50000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   3210000 | NC      | $98428.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36715 | PA      | $31882.73     | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 840680 FN 09/35 FIXED 6                       | CUSIP: 31407T6R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47569 | PA      | $49317.66     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 05/28 4.751              | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5300000 | PA      | $5346530.29   | 0.49%             | 2028-05-12      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2184.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-167429.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10900000 | PA      | $10900000.00  | 1.00%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | CDX HY45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $78481.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-2884.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $92.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                            | OZLM LTD OZLM 2019 24A A2AR 144A                        | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502598.72   | 0.14%             | 2032-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM13 TRUST                                              | ONSLOW BAY FINANCIAL LLC OBX 2025 NQM13 A1 144A         | CUSIP: 67121UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2115694 | PA      | $2135242.73   | 0.20%             | 2065-05-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 T2A7         | CUSIP: 05951KBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1508867 | PA      | $1371403.27   | 0.13%             | 2036-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03424 FG 10/39 FIXED 6               | CUSIP: 31292KYV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61483 | PA      | $65206.30     | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1889.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS MXN 9.43000 10/31/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-5933.46     | -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      | $-401.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                               | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572282 | PA      | $556647.50    | 0.05%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-68                                         | FANNIE MAE FNR 2025 68 FA                               | CUSIP: 3136BWL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4960440 | PA      | $4976796.48   | 0.45%             | 2055-08-25      | Floating      | 5.51%                 | 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      | $-412067.30   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1519.14      | 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      | $21547.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7       | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1000000 | PA      | $315404.44    | 0.03%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3MA9 PIMCO SWAPTION 4.75 PUT USD 20260218          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  31500000 | NC      | $20207.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260316                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-88364.45    | -0.01%            |  |  |  | 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        |     14097 | PA      | $13987.36     | 0.00%             | 2035-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $76018.83     | 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      | $-411.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2521119 | PA      | $2464610.25   | 0.23%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  14200000 | NC      | $908672.20    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1       | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52141 | PA      | $34809.89     | 0.00%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69658 | PA      | $67068.84     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                   | VERAISON RE LTD UNSECURED 144A 03/33 VAR                | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $252762.50    | 0.02%             | 2033-03-08      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A      | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    241444 | PA      | $240916.63    | 0.02%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 119740000 | PA      | $122310876.47 | 11.17%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7581 FN 09/31 VARIABLE                      | CUSIP: 3140JCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10196605.60  | 0.93%             | 2031-09-01      | Variable      | 4.71%                 | 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      | $-711103.45   | -0.06%            |  |  |  | No            |                  3 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                 | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A         | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3990117.20   | 0.36%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-83224.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15155.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                 | BDS LTD BDS 2025 FL14 AS 144A                           | CUSIP: 072921AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5250000 | PA      | $5227316.38   | 0.48%             | 2042-10-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A7CB                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A7CB 1A3       | CUSIP: 76113NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312674 | PA      | $234263.96    | 0.02%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $149621.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AH7263 GN 01/45 FIXED 3.5                     | CUSIP: 36182QB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88502 | PA      | $82779.01     | 0.01%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-42483.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A          | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   2018733 | PA      | $2721897.68   | 0.25%             | 2053-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $322.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848223 FN 11/35 FIXED 6                       | CUSIP: 31408DLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38741 | PA      | $40844.75     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AGL CORE CLO 5 LTD 2020-5A                                        | AGL CLO 5 LTD AGL 2020 5A BRR 144A                      | CUSIP: 00119TAV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1203116.60   | 0.11%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-3781.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI5057 FN 07/26 FIXED 4                       | CUSIP: 3138AJTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       203 | PA      | $202.53       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                | FANNIE MAE FNR 2005 75 AF                               | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21510 | PA      | $21345.09     | 0.00%             | 2035-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-32305.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9613 FN 10/28 FIXED 4.77                    | CUSIP: 3140LLVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1533036.00   | 0.14%             | 2028-10-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $247215.11    | 0.02%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $6014.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20L 1           | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12078 | PA      | $12135.20     | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-71963.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775982 FN 07/34 FLOATING VAR                  | CUSIP: 31404RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47773 | PA      | $48425.38     | 0.00%             | 2034-07-01      | Floating      | 6.29%                 | 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      | $8528.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                       | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38 | PA      | $39.00        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638742 GN 05/37 FIXED 6                       | CUSIP: 36291US71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8819 | PA      | $9287.82      | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-4.94        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841965 FN 01/36 FIXED 6                       | CUSIP: 31407VMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17908 | PA      | $18880.16     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $162416.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEXICAN UDIBONOS BONDS 12/26 3                          | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2565200 | PA      | $138976.19    | 0.01%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0888 FN 09/26 FIXED 4                       | CUSIP: 31417Y7A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6417 | PA      | $6393.61      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 MV1           | CUSIP: 126670TW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825743 | PA      | $819670.14    | 0.07%             | 2036-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A  | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1976192 | PA      | $1793447.57   | 0.16%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                           | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24752 | PA      | $24510.43     | 0.00%             | 2036-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-213114.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5             | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    841620 | PA      | $860512.48    | 0.08%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI4855 FN 06/26 FIXED 4                       | CUSIP: 3138AJMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3429 | PA      | $3415.38      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR           | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1100000 | PA      | $1113391.94   | 0.10%             | 2031-07-08      | Floating      | 4.71%                 | 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      | $-125881.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-19704.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -587 | NC      | $-65428.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ8647 FN 01/48 FIXED 3.5                     | CUSIP: 3140HATD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8555 | PA      | $7924.00      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A        | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42461 | PA      | $40290.29     | 0.00%             | 2046-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.39 04/10/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $438720.91    | 0.04%             |  |  |  | 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      | $17539.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 694531 GN 11/38 FIXED 5                       | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27003 | PA      | $27708.81     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-149489.97   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1       | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996590 | PA      | $962065.55    | 0.09%             | 2035-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $549720.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04576 FG 09/38 FIXED 6               | CUSIP: 3128M6MZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55413 | PA      | $58482.23     | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB2803 FN 04/26 FIXED 4                       | CUSIP: 31416YDH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       757 | PA      | $753.85       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FA                                 | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5958834 | PA      | $6042433.57   | 0.55%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C            | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231543 | PA      | $106827.17    | 0.01%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                     | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A      | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2118359 | PA      | $2121007.20   | 0.19%             | 2032-10-23      | Floating      | 5.54%                 | 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        |   9500000 | NC      | $9614.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2088 FN 09/26 FIXED VAR                     | CUSIP: 3138EJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2152 | PA      | $2143.06      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                          | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 3A1       | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80832 | PA      | $70691.04     | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $1889.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                  | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1             | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4134 | PA      | $3917.54      | 0.00%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  78460000 | PA      | $77768641.86  | 7.10%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-38537.90    | -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        |   8600000 | NC      | $508446.62    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $541.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-3.42        | -0.00%            |  |  |  | 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      | $4697.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-49076.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0874 GN 04/45 FIXED 3.5                     | CUSIP: 36184K6K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78609 | PA      | $73526.66     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | 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        |   1944497 | PA      | $1949901.00   | 0.18%             | 2055-07-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        | 165230000 | PA      | $7594648.18   | 0.69%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835514 FN 08/35 FLOATING VAR                  | CUSIP: 31407NGX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26662 | PA      | $27072.64     | 0.00%             | 2035-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $23767.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9479 FN 11/54 FIXED 5.5                     | CUSIP: 3140QVQ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2841565 | PA      | $2919402.14   | 0.27%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN0508 FN 09/48 FIXED 3.5                     | CUSIP: 3140JGR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5927 | PA      | $5538.52      | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-47770.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-126.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2772891 | PA      | $2834496.04   | 0.26%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.38000 12/31/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4629.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-4113.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                    | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |   1700000 | PA      | $1281247.50   | 0.12%             | 2032-04-05      | 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      | $-23891.39    | -0.00%            |  |  |  | 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      | $-853955.89   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-28786.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1261.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-7825.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $18161.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 722609 FN 08/33 FIXED 4.5                     | CUSIP: 31401YYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $900.69       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: ACI2Q2RG4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1331083.58   | 0.12%             | 2032-07-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM2510 GN 03/45 FIXED 3.5                     | CUSIP: 36184MYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41941 | PA      | $39229.94     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14681 | PA      | $14550.23     | 0.00%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A    | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    459376 | PA      | $454687.55    | 0.04%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3300000 | NC      | $171886.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  90100000 | PA      | $5125578.75   | 0.47%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $221.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 A A1 144A      | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4654838 | PA      | $4669859.01   | 0.43%             | 2062-09-25      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $11444.19     | 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        |  19500000 | PA      | $5439983.58   | 0.50%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-115                                               | FANNIE MAE FNR 2006 115 ES                              | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1583 | PA      | $1780.53      | 0.00%             | 2036-12-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-6004.45     | -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      | $18536.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-10347.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5060.90      | 0.00%             |  |  |  | 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        |   1300000 | NC      | $9320.48      | 0.00%             |  |  |  | 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        |   1200000 | NC      | $7209.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $288430.44    | 0.03%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2067.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 2A1        | CUSIP: 86364KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950428 | PA      | $1573868.37   | 0.14%             | 2047-05-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD5625 GN 05/43 FIXED 3.5                     | CUSIP: 36180HHA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83429 | PA      | $78036.39     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995094 FN 11/35 FIXED VAR                     | CUSIP: 31416BNK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44995 | PA      | $45351.24     | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 6 DAC 6A                                        | TORO EUROPEAN CLO TCLO 6A AR 144A                       | CUSIP: ACI1ZW9V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |  10592025 | PA      | $12449892.84  | 1.14%             | 2032-01-12      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18 | PA      | $19.52        | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-11950.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 938574 FN 09/36 FIXED 5.5                     | CUSIP: 31412YFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32356 | PA      | $33602.75     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19326 | PA      | $20119.36     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03867 FG 01/38 FIXED 5.5             | CUSIP: 3128M5TY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       520 | PA      | $539.27       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $678.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $607.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $15792.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-11214.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886891 FN 09/36 FLOATING VAR                  | CUSIP: 31410EKC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6484 | PA      | $6722.22      | 0.00%             | 2036-09-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                 | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251092 | PA      | $256632.25    | 0.02%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70928 | PA      | $65314.54     | 0.01%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $3770.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3365 FN 05/41 FIXED VAR                     | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43022 | PA      | $45360.81     | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4552.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57563 FG 02/37 FIXED 5.5             | CUSIP: 3128KLML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5005 | PA      | $5214.36      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4158.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-8134.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RHG5 OTC EPUT FN 6.0 NOV25 99.546875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  32500000 | NC      | $780.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 778753 GN 01/42 FIXED 3.5                     | CUSIP: 36176W5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25067 | PA      | $23542.01     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5265 GN 02/45 FIXED 3.5                     | CUSIP: 36184BZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75658 | PA      | $70766.32     | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 1A2      | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10077 | PA      | $6221.58      | 0.00%             | 2037-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1         | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96230 | PA      | $72142.38     | 0.01%             | 2036-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5944.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M3          | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6767000 | PA      | $5889002.73   | 0.54%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2004-6                                | HOME EQUITY ASSET TRUST HEAT 2004 6 M4                  | CUSIP: 437084EW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    741137 | PA      | $740981.48    | 0.07%             | 2034-12-25      | Floating      | 5.87%                 | 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        |    311669 | PA      | $313766.27    | 0.03%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       186 | PA      | $181.30       | 0.00%             | 2035-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                | FANNIE MAE FNR 2006 16 SM                               | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31103 | PA      | $2383.51      | 0.00%             | 2036-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-263.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $5990.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-33942.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4       | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60857 | PA      | $28252.18     | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 13 A1         | CUSIP: 02150MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3260103 | PA      | $1649996.91   | 0.15%             | 2047-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $19319.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   2300000 | PA      | $2300000.00   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-48239.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7170 FN 05/46 FIXED 3.5                     | CUSIP: 3138WG6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5850 | PA      | $5472.64      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN2024 FN 02/49 FIXED 3.5                     | CUSIP: 3140JJHA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22850 | PA      | $21157.30     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | 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        |  -9500000 | NC      | $-6213.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795410 FN 09/34 FIXED 6.5                     | CUSIP: 31405PVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       557 | PA      | $581.23       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 763752 FN 01/34 FIXED 5.5                     | CUSIP: 31404BQD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4925 | PA      | $5048.00      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2D        | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2197213 | PA      | $1238059.83   | 0.11%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.25000 11/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-39840.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 11/33 VAR                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1721618.87   | 0.16%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A          | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2131 | PA      | $2080.33      | 0.00%             | 2033-05-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25        | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  16600000 | PA      | $948776.03    | 0.09%             | 2032-03-31      | Fixed         | 8.25%                 | 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      | $-3749.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-51345.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A                         | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A    | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1202886 | PA      | $1164359.22   | 0.11%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $6297.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH6301 FN 05/26 FIXED 4                       | CUSIP: 3138A8AB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1297 | PA      | $1291.69      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-8.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886376 FN 08/36 FLOATING VAR                  | CUSIP: 31410DXD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8796 | PA      | $9036.73      | 0.00%             | 2036-08-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1661390 | PA      | $1543215.35   | 0.14%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CBAMR 2019-9A                                                     | CBAMR LTD CBAMR 2019 9A AR 144A                         | CUSIP: 14987VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3316265.24   | 0.30%             | 2037-07-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2334.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $4079.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30870 | PA      | $25958.12     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-27467.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $67.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-54                                         | FANNIE MAE FNR 2025 54 FM                               | CUSIP: 3136BWNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475047 | PA      | $476238.88    | 0.04%             | 2055-07-25      | Floating      | 5.46%                 | 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        |  13500000 | NC      | $235340.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-86.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST         | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/32 3.3         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    800000 | PA      | $737162.81    | 0.07%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $7569.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5803 | PA      | $5745.32      | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | 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        |  18700000 | PA      | $18815414.16  | 1.72%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1287.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 110710000 | PA      | $113117269.38 | 10.33%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-6255.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-687.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                               | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR            | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    550000 | PA      | $578215.00    | 0.05%             | 2032-03-13      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $15919.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-19126.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                             | CONTEGO CLO DAC CONTE 3A ARR 144A                       | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |   1700000 | PA      | $2002605.68   | 0.18%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A82656 FG 10/38 FIXED 5.5             | CUSIP: 3129285R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22866 | PA      | $23659.73     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/2.50 9/20/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $87634.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                     | ARGENT SECURITIES INC. ARSI 2004 W3 A3                  | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488775 | PA      | $518999.61    | 0.05%             | 2034-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                       | TRINITY SQUARE TRINI 2021 1A AR 144A                    | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    919667 | PA      | $1240055.30   | 0.11%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2283 GN 03/45 FIXED 3.5                     | CUSIP: 36183XRC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17396 | PA      | $16271.31     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                         | FANNIE MAE FNR 2024 77 FM                               | CUSIP: 3136BTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3421867 | PA      | $3422733.03   | 0.31%             | 2054-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841775 FN 09/35 FLOATING VAR                  | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10635 | PA      | $10947.79     | 0.00%             | 2035-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $10631.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXL2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   9100000 | PA      | $9076574.78   | 0.83%             | 2025-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI4142 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    182009 | PA      | $181948.85    | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | 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        |   1400000 | PA      | $1081097.50   | 0.10%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/49 1                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    385119 | PA      | $284462.38    | 0.03%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A                             | SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A     | CUSIP: ACI1YTXT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2168332 | PA      | $2548053.05   | 0.23%             | 2032-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-17884.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                    | WINSTON RE LTD UNSECURED 144A 02/28 VAR                 | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $259700.00    | 0.02%             | 2028-02-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI0417 FN 05/26 FIXED 4                       | CUSIP: 3138ADPB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1120 | PA      | $1116.80      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-45900.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3573 FR 02/55 FIXED 6.5             | CUSIP: 3142GT6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1171744 | PA      | $1236669.54   | 0.11%             | 2055-02-01      | Fixed         | 6.50%                 | 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        |    600000 | NC      | $7617.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 10/25 ZCP                                  | CUSIP: 22823PX99<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1378409.00   | 0.13%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                | M360 LTD. M360 2021 CRE3 B 144A                         | CUSIP: 55379AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2655297.91   | 0.24%             | 2038-11-22      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1500.59     | -0.00%            |  |  |  | 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        | 660000000 | PA      | $3888994.83   | 0.36%             | 2055-03-20      | Fixed         | 2.40%                 | 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      | $127200.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3400000 | NC      | $189886.94    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A1A        | CUSIP: 86359LEV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1656 | PA      | $1644.45      | 0.00%             | 2035-02-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5708.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $8002.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                               | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5             | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3358849 | PA      | $3105835.35   | 0.28%             | 2035-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5461598.54   | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $3806.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9073 FN 07/30 FIXED 4.54                    | CUSIP: 3140LLCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1320132.07   | 0.12%             | 2030-07-01      | Fixed         | 4.54%                 | 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        |   4200000 | PA      | $3657916.08   | 0.33%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4694.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2249.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $241.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE7088 FN 12/25 FIXED 4                       | CUSIP: 31419H2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491 | PA      | $489.04       | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-150.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                          | LEHMAN XS TRUST LXS 2007 15N 2A1                        | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40632 | PA      | $39905.79     | 0.00%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H                   | 38381P996                                               | CUSIP: 990AAVQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4996875.00   | 0.46%             | 2065-07-20      | Floating      | 5.16%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-157.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A     | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2474097 | PA      | $2464531.89   | 0.23%             | 2061-07-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH5620 FN 02/26 FIXED 4                       | CUSIP: 3138A7G69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       453 | PA      | $451.43       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | 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      | $-16059.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A2R 144A     | CUSIP: 05685AAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2200998.38   | 0.20%             | 2034-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS6765 FN 12/53 FIXED VAR                     | CUSIP: 3140XNQT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1898268 | PA      | $2000506.29   | 0.18%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3630000 | PA      | $3413693.45   | 0.31%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13793.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3         | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124059 | PA      | $110027.65    | 0.01%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-71243.30    | -0.01%            |  |  |  | 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      | $-9089.94     | -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      | $-6334.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1         | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23984 | PA      | $21537.69     | 0.00%             | 2035-09-25      | Floating      | 4.94%                 | 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      | $-282.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  27600000 | PA      | $1603932.37   | 0.15%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677191 GN 06/38 FIXED 5                       | CUSIP: 36295QKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70491 | PA      | $72281.52     | 0.01%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1         | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1294390 | PA      | $1269816.59   | 0.12%             | 2034-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698343 GN 05/39 FIXED 5                       | CUSIP: 36296QZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37060 | PA      | $38028.41     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2             | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2023 2 A2 144A      | CUSIP: 35104AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    483558 | PA      | $485733.53    | 0.04%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZLA1 PIMCO SWAPTION 4.086 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -37800000 | NC      | $-71.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV42 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $620718.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875             | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207997.54    | 0.02%             | 2030-01-16      | Fixed         | 5.88%                 | 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      | $5157.21      | 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      | $2722855.90   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $4348.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $1068.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.28000 11/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-16450.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3898                                                  | FREDDIE MAC FHR 3898 AF                                 | CUSIP: 3137ADX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    132957 | PA      | $132598.09    | 0.01%             | 2041-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/0.9* 8/15/23-13Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1441301.48   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB9112 GN 10/42 FIXED 3.5                     | CUSIP: 36178WDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3000 | PA      | $2809.42      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $20035.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A     | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661948 | PA      | $671294.62    | 0.06%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAAEA2 PIMCO SWAPTION 4.0075 PUT USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  30500000 | NC      | $6039.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1       | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76536 | PA      | $63259.86     | 0.01%             | 2035-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FH                                 | CUSIP: 3137HKGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2271817 | PA      | $2288687.31   | 0.21%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK6724 GN 01/45 FIXED 3.5                     | CUSIP: 36183QPH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71977 | PA      | $67325.95     | 0.01%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                             | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1       | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400608 | PA      | $1303079.22   | 0.12%             | 2037-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56911 | PA      | $40339.49     | 0.00%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                              | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2          | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1505925 | PA      | $782638.68    | 0.07%             | 2037-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $4818.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9               | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2        | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466566 | PA      | $467019.16    | 0.04%             | 2035-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH7630 FN 07/26 FIXED 4                       | CUSIP: 3138A9PQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       326 | PA      | $324.43       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEXICAN UDIBONOS BONDS 11/31 2.75                       | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2052160 | PA      | $101551.88    | 0.01%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $12908085.97  | 1.18%             | 2044-05-15      | Fixed         | 4.62%                 | 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        |   2669353 | PA      | $3598088.36   | 0.33%             | 2049-12-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A3        | CUSIP: 12667GN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1053959 | PA      | $979393.52    | 0.09%             | 2035-08-25      | Floating      | 5.71%                 | 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        |   5420000 | NC      | $292154.26    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69654 FG 12/37 FIXED 6               | CUSIP: 3128L1WP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12038 | PA      | $12707.23     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677192 GN 06/38 FIXED 5                       | CUSIP: 36295QKD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49352 | PA      | $50641.41     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAB9A6 PIMCO SWAPTION 4.01 PUT USD 20251107          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  31000000 | NC      | $6630.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEXICAN UDIBONOS BONDS 11/28 4                          | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2607954 | PA      | $142013.04    | 0.01%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                   | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A2A         | CUSIP: 023947AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359604 | PA      | $360088.02    | 0.03%             | 2028-02-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   5100000 | NC      | $261729.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1455.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1621853 | PA      | $1507931.43   | 0.14%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $24285.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $53.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH4273 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5XB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2425 | PA      | $2436.64      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $14527.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2242.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815195 FN 05/35 FLOATING VAR                  | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       353 | PA      | $357.44       | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2      | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE2 A4        | CUSIP: 04541GWF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9752166 | PA      | $8738239.83   | 0.80%             | 2036-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U7ICA1 PIMCO SWAPTION 6.05 PUT USD 20251030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  22100000 | NC      | $2.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE0391 GN 04/45 FIXED 3.5                     | CUSIP: 36180SNG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6286 | PA      | $5879.19      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                         | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140489 | PA      | $1115346.33   | 0.10%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A      | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2869700 | PA      | $2905455.72   | 0.27%             | 2056-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS MXN 9.39000 11/15/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-3188.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1504 FN 12/40 FIXED 4.5                     | CUSIP: 3138A2U64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4589 | PA      | $4596.44      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4350354 | PA      | $3357998.32   | 0.31%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3             | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $771554.21    | 0.07%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                              | JACKSON NATL LIFE GLOBAL SECURED 144A 01/30 5.35        | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207053.96    | 0.02%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                    | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1          | CUSIP: 02660CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26804 | PA      | $17032.78     | 0.00%             | 2047-03-25      | Variable      | 6.50%                 | 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        |   2100000 | PA      | $2227575.00   | 0.20%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9080 FR 05/53 FIXED 6.5             | CUSIP: 3133KRCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    327990 | PA      | $344979.75    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                               | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR            | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $261537.50    | 0.02%             | 2033-04-10      | Floating      | 13.68%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-30855.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FB                                 | CUSIP: 31397KE23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38938 | PA      | $38960.07     | 0.00%             | 2037-08-15      | Floating      | 5.16%                 | 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      | $-24374.43    | -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        |      1065 | PA      | $998.83       | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190445 FN 03/55 FIXED VAR                     | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22917721 | PA      | $23703341.46  | 2.17%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |    600000 | NC      | $7025.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $149.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $179.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257499 FN 12/28 FIXED 5.5                     | CUSIP: 31371N7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $146.26       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $8981.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -587 | NC      | $-125757.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AG7215 GN 04/45 FIXED 3.5                     | CUSIP: 36182CAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73635 | PA      | $68873.73     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-52741.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1029.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $186.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK9579 FN 01/49 FIXED 3.5                     | CUSIP: 3140HPUD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50140 | PA      | $46414.46     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 7A1        | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18776 | PA      | $18887.50     | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  38300000 | PA      | $39584579.70  | 3.62%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-11010.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4141025 | PA      | $-4172712.29  | -0.38%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  14100000 | NC      | $833615.97    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A88452 FG 01/39 FIXED 5.5             | CUSIP: 312935L98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9262 | PA      | $9443.34      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1        | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2861 | PA      | $2190.35      | 0.00%             | 2045-07-25      | Floating      | 4.91%                 | 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        |    600000 | PA      | $609033.08    | 0.06%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $151.92       | 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      | $-4187.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1              | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3465 | PA      | $2597.57      | 0.00%             | 2037-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08789 FG 11/47 FIXED 4               | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    764387 | PA      | $738024.29    | 0.07%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-8926.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-9172.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                | FANNIE MAE FNR 2007 65 KF                               | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13026 | PA      | $12908.03     | 0.00%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9669 FN 10/28 FIXED 4.72                    | CUSIP: 3140LLW72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3061781.31   | 0.28%             | 2028-10-01      | Fixed         | 4.72%                 | 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        |  17800000 | PA      | $5717398.65   | 0.52%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1         | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37595 | PA      | $35828.64     | 0.00%             | 2035-12-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03936 FG 01/38 FIXED 5.5             | CUSIP: 3128M5V56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       595 | PA      | $620.26       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH6737 FN 02/26 FIXED 4                       | CUSIP: 3138A8PX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1023 | PA      | $1019.41      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS MXN TIIE1+24/9.4300 12/25/25-9Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-110730.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                  | FREDDIE MAC FHR 3355 BF                                 | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54156 | PA      | $54232.76     | 0.00%             | 2037-08-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1         | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169159 | PA      | $166485.25    | 0.02%             | 2037-07-19      | Floating      | 4.47%                 | 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        |    600000 | NC      | $6051.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                     | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                   | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64726 | PA      | $11999.31     | 0.00%             | 2036-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89600 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12769.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-11444.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-93098.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 827732 FN 06/35 FIXED 5.5                     | CUSIP: 31407DSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6283 | PA      | $6475.73      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-63565.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   8600000 | NC      | $480242.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2083618 | PA      | $1940135.83   | 0.18%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A5                                | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A5 2A5         | CUSIP: 76114HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329749 | PA      | $165008.08    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A        | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328810 | PA      | $288146.45    | 0.03%             | 2046-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-45968.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                     | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A          | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3005684.31   | 0.27%             | 2034-10-22      | Floating      | 5.58%                 | 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      | $-15643.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2889.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-3610.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 738423 GN 06/41 FIXED 5                       | CUSIP: 3620ASLC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23637 | PA      | $23775.40     | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8455 FN 08/53 FIXED VAR                     | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1010878 | PA      | $1033914.25   | 0.09%             | 2053-08-01      | 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      | $-11410.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7255 GN 10/42 FIXED 3.5                     | CUSIP: 36178UBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9838 | PA      | $9201.80      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-1                                 | BELLA VISTA MORTGAGE TRUST BVMBS 2005 1 1A1             | CUSIP: 07820QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456810 | PA      | $434742.90    | 0.04%             | 2045-01-22      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+60 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $1437485.01   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677174 GN 06/38 FIXED 5                       | CUSIP: 36295QJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11488 | PA      | $11788.39     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -155 | NC      | $-170736.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZCA1 PIMCO SWAPTION 4.082 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -31400000 | NC      | $-65.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-2                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 2 A5 144A     | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24736 | PA      | $24605.07     | 0.00%             | 2033-01-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CC MORTGAGE FUNDING CORP 2005-BA                                  | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 BA A2 144A    | CUSIP: 16678REC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136654 | PA      | $132909.19    | 0.01%             | 2036-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                       | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1762807.84   | 0.16%             | 2038-10-30      | Floating      | 3.13%                 | 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        |    342397 | PA      | $304163.27    | 0.03%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                     | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR       | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |    250000 | PA      | $295919.47    | 0.03%             | 2029-01-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3218 FN 12/32 FIXED 3                       | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1180996 | PA      | $1143822.30   | 0.10%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ0976 FN 05/29 FIXED 4.85                    | CUSIP: 3140NVCN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $919091.19    | 0.08%             | 2029-05-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692340 GN 02/39 FIXED 5                       | CUSIP: 36296JEM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22691 | PA      | $23171.28     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A         | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29582 | PA      | $25080.13     | 0.00%             | 2047-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+50 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $1969222.74   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-1203.79     | -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      | $14382.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       159 | NC      | $362194.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $112.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-649.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1257 | NC      | $-107864.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5         | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  21300000 | PA      | $1136435.78   | 0.10%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 114200000 | PA      | $20044558.23  | 1.83%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $19097.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758900 FN 12/33 FLOATING VAR                  | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7487 | PA      | $7638.41      | 0.00%             | 2033-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -68890000 | PA      | $-62929783.94 | -5.75%            | 2055-11-13      | Fixed         | 3.50%                 | 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        |   2160000 | PA      | $689056.21    | 0.06%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA8446 FN 04/54 FIXED 6.5                     | CUSIP: 3140YWL43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1373016 | PA      | $1439752.50   | 0.13%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-3772.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06817 FG 05/40 FIXED 5.5             | CUSIP: 3128M84A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24314 | PA      | $25253.42     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE3798 GN 07/45 FIXED 3.5                     | CUSIP: 36180WGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    407045 | PA      | $380727.63    | 0.03%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 826082 FN 07/35 FLOATING VAR                  | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8135 | PA      | $8238.00      | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-7123.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $29475.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                    | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A1                 | CUSIP: 12669FW82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26199 | PA      | $25448.65     | 0.00%             | 2034-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3119.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $10921.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-288.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06020 FG 12/39 FIXED 5.5             | CUSIP: 3128M8AV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3591 | PA      | $3726.76      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1147525 | PA      | $860788.34    | 0.08%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $24236.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A6         | CUSIP: 93934NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723744 | PA      | $587333.55    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  46300000 | PA      | $43631381.90  | 3.99%             | 2055-11-13      | Fixed         | 4.00%                 | 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      | $14869.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI6588 FN 07/26 FIXED 4                       | CUSIP: 3138ALKA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2128 | PA      | $2119.61      | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A67434 FG 11/37 FIXED 6               | CUSIP: 3128KYHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49408 | PA      | $51924.07     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0064 GN 04/45 FIXED 3.5                     | CUSIP: 36184KB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94797 | PA      | $88666.57     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69653 FG 12/37 FIXED 5.5             | CUSIP: 3128L1WN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15117 | PA      | $15688.51     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716813 GN 04/39 FIXED 5                       | CUSIP: 3620A2K21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51683 | PA      | $52564.39     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A      | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4580028.41   | 0.42%             | 2036-10-16      | Floating      | 6.00%                 | 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        |    794532 | PA      | $775881.91    | 0.07%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5473                                           | FREDDIE MAC FHR 5473 FA                                 | CUSIP: 3137HHFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4182410 | PA      | $4181316.86   | 0.38%             | 2054-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3051.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer