# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007186
**Filing Date:** 2026-5
**Character Count:** 484115
**Document Hash:** 02e4c9e9b81dfa9c3b0a1a9333ad4a3b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007186.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007186

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043343

**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 Real Return Fund (Series ID: S000009700)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026606 | Institutional  | PRRIX           |
| C000026607 | Administrative | PARRX           |
| C000026608 | A              | PRTNX           |
| C000026610 | C              | PRTCX           |
| C000026612 | R              | PRRRX           |
| C000064148 | I-2            | PRLPX           |
| C000200446 | I-3            | PRNPX           |

## 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 Real Return Fund

- **b. EDGAR series identifier (if any):** S000009700

- **c. LEI of Series:** UBV6ASKZ6D22Z3BEZJ52

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $11064236114.98

**Total Liabilities:** $3304096300.75

**Net Assets:** $7760139814.23

**Cash Not Reported:** $8590661.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 106779.644700 | **1-Year:** 150574.683900 | **5-Year:** 704959.638600 | **10-Year:** 225506.674000 | **30-Year:** -309873.998900

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

- **3-Month:** 4164.048900 | **1-Year:** 11466.792400 | **5-Year:** 56498.135400 | **10-Year:** 6534.747800 | **30-Year:** 10.561600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026607 | 0.34%                | 1.20%                | -1.75%               |
| Class ID C000026608 | 0.33%                | 1.19%                | -1.77%               |
| Class ID C000026610 | 0.29%                | 1.15%                | -1.81%               |
| Class ID C000064148 | 0.36%                | 1.22%                | -1.74%               |
| Class ID C000200446 | 0.35%                | 1.21%                | -1.75%               |
| Class ID C000026612 | 0.31%                | 1.17%                | -1.79%               |
| Class ID C000026606 | 0.37%                | 1.22%                | -1.73%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2631171.51             | $46741107.38                               |
| Month 2  | $-1547689.18             | $107829043.04                              |
| Month 3  | $-11936796.62            | $-170312543.40                             |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury Inflation Total Return Unhedged Index

- **Index Identifier:** LBUTTRUU

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6659569.71   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141853 | PA      | $137207.51    | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-5261.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                         | VERAISON RE LTD UNSECURED 144A 03/34 VAR                | CUSIP: 92335TAF6<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300120.00    | 0.00%             | 2034-03-08      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602196 | PA      | $568436.34    | 0.01%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-47                                               | FANNIE MAE FNR 2025 47 FJ                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33356112 | PA      | $33696891.55  | 0.43%             | 2055-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $3339.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 741360 FN 10/33 FLOATING VAR                  | CUSIP: 31402XTR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1670 | PA      | $1692.39      | 0.00%             | 2033-10-01      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    82008277 | PA      | $81427560.07  | 1.05%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | MILL WHEAT EURO   SEP26 XPAR 20260910                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | FR        |          67 | NC      | $16595.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $108175.50    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   168075002 | PA      | $120883087.82 | 1.56%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2         | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8564290 | PA      | $8418083.91   | 0.11%             | 2036-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-276689.55   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.69 06/01/21-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2129488.77   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    64300000 | PA      | $64447968.45  | 0.83%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1056.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1229.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                         | KKR FINANCIAL CLO LTD KKR 36A AR 144A                   | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4700000 | PA      | $4705753.93   | 0.06%             | 2034-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -61700000 | NC      | $-147859.38   | -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        |        5234 | PA      | $5287.44      | 0.00%             | 2043-06-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-873.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QE6052 FR 07/52 FIXED 4.5             | CUSIP: 3133BFWM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      107011 | PA      | $103734.97    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                        | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A          | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10357906 | PA      | $10232395.41  | 0.13%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3           | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6484 | PA      | $6470.67      | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                  | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M6            | CUSIP: 61744CRW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6123277.55   | 0.08%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHITE SUGAR (ICE) AUG26 IFEU 20260716                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -17 | NC      | $-26672.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $39691.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      639800 | PA      | $221707.46    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29403503 | PA      | $11581566.34  | 0.15%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $54024.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H01                                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H01 FA          | CUSIP: 38376T5N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      808986 | PA      | $814173.76    | 0.01%             | 2060-01-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                     | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44754 | PA      | $43604.10     | 0.00%             | 2037-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 768039 FN 02/34 FLOATING VAR                  | CUSIP: 31404GHQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3182 | PA      | $3219.68      | 0.00%             | 2034-02-01      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING IX DAC 9A                                     | MADISON PARK EURO FUNDING CADOG 9A AR 144A              | CUSIP: ACI1YKP79<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1331000 | PA      | $1535580.54   | 0.02%             | 2035-07-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NOMURA                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -811594 | PA      | $-815069.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-1                                    | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 1 A1 144A      | CUSIP: 79549AYP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91599 | PA      | $36894.51     | 0.00%             | 2033-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $152841.23    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168681 | PA      | $110960.82    | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A        | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104058 | PA      | $98474.95     | 0.00%             | 2035-06-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A       | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2329 | PA      | $2276.28      | 0.00%             | 2045-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                      | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A          | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2701438.94   | 0.03%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.0 02/15/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $212690.76    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106769 | PA      | $107393.69    | 0.00%             | 2034-06-25      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                 | FREDDIE MAC FHR 4851 PF                                 | CUSIP: 3137FKAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7437423 | PA      | $7245669.03   | 0.09%             | 2057-08-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR6                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A       | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744370 | PA      | $675955.63    | 0.01%             | 2046-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COPPER FUTURE     MAY26 XCEC 20260527                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $-4301.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-318892.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-865.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $151541.89    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CGMS-2021-9A                                                            | CARLYLE GLOBAL MARKET STRATEGI CGMS 2021 9A AR 144A     | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1500060.00   | 0.02%             | 2034-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    97514125 | PA      | $11691529.07  | 0.15%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                        | PROJECT CASHMERE CLASS C 144A                           | CUSIP: 990ABJSB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     1300000 | PA      | $896935.24    | 0.01%             | 2057-12-30      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | NATURAL GAS FUTR  SEP26 XNYM 20260827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -19 | NC      | $42303.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    80936005 | PA      | $59692742.55  | 0.77%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      137234 | PA      | $137375.26    | 0.00%             | 2031-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S        | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160523 | PA      | $51496.63     | 0.00%             | 2047-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $76691.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SILVER FUTURE     JUL26 XCEC 20260729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           5 | NC      | $-56902.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $33755.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5698500 | PA      | $-5699690.35  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BOPHO-6A                                                                | BOSPHORUS CLO BOPHO 6A A 144A                           | CUSIP: ACI2VMJX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    15780909 | PA      | $18237716.98  | 0.24%             | 2034-05-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $12278.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                  | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      201940 | PA      | $197343.89    | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                    | VOYA CLO LTD VOYA 2019 2A AR 144A                       | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      288553 | PA      | $288434.10    | 0.00%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300690 | PA      | $283289.23    | 0.00%             | 2036-03-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                 | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10412 | PA      | $10151.21     | 0.00%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.049 08/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $907900.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-13                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 AF4          | CUSIP: 126670GR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      206319 | PA      | $193875.65    | 0.00%             | 2036-04-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $9358.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   346144950 | PA      | $352102319.20 | 4.54%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2006-1                                          | NEW YORK MORTGAGE TRUST NYMT 2006 1 2A3                 | CUSIP: 649603AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39206 | PA      | $31937.48     | 0.00%             | 2036-05-25      | Floating      | 4.58%                 | 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        |   386050019 | PA      | $364365504.50 | 4.70%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-72                                               | FANNIE MAE FNR 2025 72 FA                               | CUSIP: 3136BWW69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4677630 | PA      | $4708105.45   | 0.06%             | 2055-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-7412.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5147589 | PA      | $4967670.71   | 0.06%             | 2037-11-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $135207.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1996.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 11                                               | SEQUOIA MORTGAGE TRUST SEMT 11 A                        | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9944 | PA      | $8676.47      | 0.00%             | 2032-12-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.36895 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $94737.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $61506.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                               | FANNIE MAE FNR 2024 88 FC                               | CUSIP: 3136BT7D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2656274 | PA      | $2677755.64   | 0.03%             | 2054-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1039.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN MEAL FUTR DEC26 XCBT 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -2 | NC      | $520.12       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    74720919 | PA      | $73202700.51  | 0.94%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-40006.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2264                                                        | FREDDIE MAC FHR 2264 PL                                 | CUSIP: 3133TPWN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3922 | PA      | $4050.70      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $100.51       | 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      | $-909802.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE      SEP26 IFUS 20260915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -58 | NC      | $41056.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-20.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                  | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   100199933 | PA      | $91998270.97  | 1.19%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35      | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      954471 | PA      | $804157.34    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21       | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29377 | PA      | $29556.58     | 0.00%             | 2045-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                        | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   109900000 | PA      | $75825525.40  | 0.98%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                          | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A     | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      334603 | PA      | $335816.27    | 0.00%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-292022.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $14006.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D            | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1409075 | PA      | $614929.44    | 0.01%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BTP FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        2178 | NC      | $-8593092.93  | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -192500000 | NC      | $-2407284.63  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $136304.12    | 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      | $-14223.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                             | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                 | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4750000 | PA      | $4752537.36   | 0.06%             | 2035-01-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A1       | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9719 | PA      | $9002.35      | 0.00%             | 2035-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CORN FUTURE       SEP26 XCBT 20260914                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -242 | NC      | $-281272.74   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $156698.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED P/T CERT T-11                                    | FHLMC STRUCTURED PASS THROUGH FSPC T 11 A8              | CUSIP: 3133TDPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         318 | PA      | $318.39       | 0.00%             | 2028-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H17                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H17 CF          | CUSIP: 38382YXH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1235616 | PA      | $1250787.07   | 0.02%             | 2072-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4619981.56  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4         | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171804 | PA      | $158104.19    | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-20155.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NY HARB ULSD FUT  SEP26 XNYM 20260831                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          19 | NC      | $751474.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $10848.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-47229.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150081 | PA      | $141952.10    | 0.00%             | 2034-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-261502.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11700222.58  | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2553.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.77720 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $338378.97    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-176.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-44427.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $162103.63    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4733 FN 09/52 FIXED 4.5                     | CUSIP: 31418EHK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      838342 | PA      | $813112.91    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-7844.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-87350.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   153278580 | PA      | $141110926.26 | 1.82%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3729.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 FG          | CUSIP: 38376RYS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2373 | PA      | $2375.35      | 0.00%             | 2066-08-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-362522.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20956 | PA      | $20463.12     | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A           | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      333350 | PA      | $90641.91     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-1359.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-215752.07   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2        | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38698 | PA      | $37210.49     | 0.00%             | 2034-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    63600000 | PA      | $65747237.12  | 0.85%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/42 0.75                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   216712190 | PA      | $167139668.98 | 2.15%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $57212.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   169365676 | PA      | $164770788.67 | 2.12%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6        | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67080 | PA      | $48701.51     | 0.00%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A          | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124910 | PA      | $122237.52    | 0.00%             | 2034-02-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/47 2.5                  | CUSIP: ACI09QH00<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |        6576 | PA      | $942.42       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                               | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M1          | CUSIP: 64352VCR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      331532 | PA      | $319256.33    | 0.00%             | 2033-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ECX EMISSION      DEC26 NDEX 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |         -10 | NC      | $-24573.92    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $791653.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A            | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135969 | PA      | $122415.99    | 0.00%             | 2037-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2004 1 M1          | CUSIP: 07384YSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31240 | PA      | $37497.19     | 0.00%             | 2034-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1         | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33789 | PA      | $23084.83     | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M2             | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94729 | PA      | $93285.77     | 0.00%             | 2035-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54688 | PA      | $52731.38     | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -175 | NC      | $1276621.72   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $168.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/43 0.5          | CUSIP: ACI1RMVS0<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.16         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                      | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76070 | PA      | $73539.53     | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    10700000 | PA      | $1105135.96   | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                              | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/36 1 | CUSIP: ACI2NDKJ4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     8588176 | PA      | $9984914.52   | 0.13%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $17346.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-109449.84   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.78/91282CCM1 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-3497387.07  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    82184634 | PA      | $82528192.89  | 1.06%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/47 2.5              | CUSIP: ACI0CR3W9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        3092 | PA      | $443.38       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-70                                               | FANNIE MAE FNR 2025 70 LF                               | CUSIP: 3136BXKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5469868 | PA      | $5504417.47   | 0.07%             | 2055-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 12/55 3.4                   | CUSIP: ACI37YF43<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  6370000000 | PA      | $38351249.17  | 0.49%             | 2055-12-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZA6403 FR 03/39 FIXED 4               | CUSIP: 31329QDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48352 | PA      | $47306.51     | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                    | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2           | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86454 | PA      | $86494.26     | 0.00%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2                | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18013 | PA      | $15942.90     | 0.00%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1437.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164259 | PA      | $155188.42    | 0.00%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CCA VINTAGE 2026  DEC26 IFED 20261224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        1220 | NC      | $-4538518.53  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A          | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31913 | PA      | $31718.63     | 0.00%             | 2034-04-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-279375.20   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $85020.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2907.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                                  | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      900000 | PA      | $1039412.80   | 0.01%             | 2035-10-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TTF NAT GAS F     MAY26 NDEX 20260429                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |          -6 | NC      | $-20118.31    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-26731.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-33397.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   283083467 | PA      | $305475504.98 | 3.94%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-7109.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                              | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A               | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4202824.63   | 0.05%             | 2034-07-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A         | CUSIP: 933635AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1725420 | PA      | $1553666.07   | 0.02%             | 2047-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8245 FR 09/52 FIXED 4.5             | CUSIP: 3132DWES8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1184808 | PA      | $1149762.06   | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $352.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG          | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      168841 | PA      | $168776.67    | 0.00%             | 2067-02-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.8/9128283R9 MYC                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-581172.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | WTI CRUDE FUTURE  SEP26 XNYM 20260820                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          23 | NC      | $357717.36    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA7938 G2 03/52 FIXED 3.5                  | CUSIP: 36179WZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69283 | PA      | $64073.24     | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                        | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1               | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67090 | PA      | $58283.97     | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1700000 | PA      | $1736550.00   | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                    | GSAMP TRUST GSAMP 2007 HE2 A2D                          | CUSIP: 362440AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2725690 | PA      | $2017320.89   | 0.03%             | 2047-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $272058.15    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-19743.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -192500000 | NC      | $-654665.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3756.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $185221.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-33558.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/35 4.25                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1195000 | PA      | $1190705.47   | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.78/9128282L3 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $706288.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $24621.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A       | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146880 | PA      | $142060.57    | 0.00%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1         | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70963 | PA      | $39724.25     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QA1406 FR 07/49 FIXED 4               | CUSIP: 31334XR35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191005 | PA      | $182712.75    | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.7675 05/13/21-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4408939.69   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO X BV 10A                                              | ARES EUROPEAN CLO ARESE 10A AR 144A                     | CUSIP: ACI1Y2RR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      902175 | PA      | $1043842.39   | 0.01%             | 2031-10-15      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4426094.35   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO IV DAC 4A                                             | ALBACORE EURO CLO ALBAC 4A AR 144A                      | CUSIP: ACI2Q3N92<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      999835 | PA      | $1157092.86   | 0.01%             | 2035-07-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    63685566 | PA      | $56212923.95  | 0.72%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $269357.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                      | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 4A              | CUSIP: 590219AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2467 | PA      | $2478.96      | 0.00%             | 2036-05-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BP2373 FN 04/50 FIXED 4                       | CUSIP: 3140K9T74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      256777 | PA      | $247988.18    | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 081401 G2 07/35 FLOATING VAR               | CUSIP: 36225DRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3838 | PA      | $3898.17      | 0.00%             | 2035-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-51378.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                             | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                 | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2001530.22   | 0.03%             | 2034-01-25      | Floating      | 4.78%                 | 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        |    66718598 | PA      | $47971814.11  | 0.62%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20677621 | PA      | $21053854.04  | 0.27%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                          | HAYFIN EMERALD CLO HAYEM 14A A 144A                     | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5700000 | PA      | $6587707.19   | 0.08%             | 2039-01-22      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1459.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 3A1        | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20942 | PA      | $20855.22     | 0.00%             | 2037-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $38783.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                 | GSG BIDCO LTD SR SECURED 144A 06/36 5.375               | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     4600000 | PA      | $5280383.83   | 0.07%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                         | PENTA CLO S.A. PENTA 2021 9A A 144A                     | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3000000 | PA      | $3458667.84   | 0.04%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.43750 08/01/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-285863.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $186928.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                               | INVESCO EURO CLO INVSC 1A A1R 144A                      | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      416877 | PA      | $482446.69    | 0.01%             | 2031-07-15      | Floating      | 2.67%                 | 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        |     1050000 | PA      | $1113315.00   | 0.01%             | 2032-01-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                              | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2800000 | PA      | $2800905.72   | 0.04%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| WHETSTONE PARK CLO LTD 2021-1A                                          | WHETSTONE PARK CLO LTD WHTPK 2021 1A A1R 144A           | CUSIP: 96329YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2400000 | PA      | $2398800.00   | 0.03%             | 2035-01-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3422.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2399.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.763 09/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $677032.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-72863.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A1         | CUSIP: 32027LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1064091 | PA      | $995682.32    | 0.01%             | 2036-10-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-13004.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-57501.04    | -0.00%            |  |  |  | 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        |       63000 | PA      | $60885.14     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A       | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31316 | PA      | $29807.26     | 0.00%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD0250 FR 06/48 FIXED 4               | CUSIP: 3132DMH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1051000 | PA      | $1007442.96   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1        | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      641767 | PA      | $533363.50    | 0.01%             | 2037-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                   | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A               | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6700000 | PA      | $6708871.00   | 0.09%             | 2035-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2245890.94   | 0.03%             |  |  |  | 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        |     1282581 | PA      | $1268391.33   | 0.02%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-98422.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-17399195.85 | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                    | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1        | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1461760 | PA      | $1469559.58   | 0.02%             | 2034-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.379 07/09/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1669217.50  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $14941.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A1          | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84125 | PA      | $76611.64     | 0.00%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1417818.07  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1251391.10  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                               | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A               | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     2100000 | PA      | $2102112.43   | 0.03%             | 2034-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHEAT FUTURE(CBT) SEP26 XCBT 20260914                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -86 | NC      | $-252659.17   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-26514.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $65936.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFF ROBUSTA 10TN JUL26 IFEU 20260727                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           7 | NC      | $-8555.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-32108.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR14                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR14 1A1A      | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186656 | PA      | $134852.26    | 0.00%             | 2035-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1965924 | PA      | $1969816.59   | 0.03%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1229 | PA      | $1204.17      | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                         | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250600.00    | 0.00%             | 2029-01-08      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR1                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR1 3A1        | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111143 | PA      | $93397.46     | 0.00%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $59900.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                         | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1              | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      470112 | PA      | $257627.62    | 0.00%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-13470.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   447000000 | PA      | $430728936.27 | 5.55%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE - IC MAY26 IFEU 20260513                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -2 | NC      | $249.09       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-103108.39   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                   | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3         | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      225914 | PA      | $173375.84    | 0.00%             | 2036-08-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $7837.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-22728.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847216 FH 01/34 FLOATING VAR          | CUSIP: 3128JRAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87054 | PA      | $89077.60     | 0.00%             | 2034-01-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1835078.07   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67351 | PA      | $13117.81     | 0.00%             | 2037-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A6           | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133746 | PA      | $125565.87    | 0.00%             | 2047-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2005-2                                                  | CHASEFLEX TRUST CFLX 2005 2 3A2                         | CUSIP: 16165TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166807 | PA      | $69966.65     | 0.00%             | 2035-06-25      | Floating      | 4.29%                 | 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        |     1635737 | PA      | $1532709.65   | 0.02%             | 2035-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2713 | NC      | $-2323187.52  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                      | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74424 | PA      | $73081.93     | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $363.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING VIII DAC                                      | MADISON PARK EURO FUNDING CADOG 8A ARR 144A             | CUSIP: ACI2MYSN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    11809580 | PA      | $13632329.06  | 0.18%             | 2032-04-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                           | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                   | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3353348 | PA      | $1373425.11   | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZA7045 FR 06/49 FIXED 4               | CUSIP: 31329QZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20510 | PA      | $19647.33     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                              | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A             | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2600119.70   | 0.03%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                       | BARINGS EURO CLO DAC BABSE 2025 1A A 144A               | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2653359.25   | 0.03%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                        | PROJECT CASHMERE CLASS A2 144A                          | CUSIP: 990ABJRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     3700000 | PA      | $2552815.69   | 0.03%             | 2057-12-30      | Floating      | 5.71%                 | No            |                  3 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                            | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 3A3              | CUSIP: 466247SL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1505 | PA      | $1508.31      | 0.00%             | 2035-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-19720.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A2         | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246567 | PA      | $236009.15    | 0.00%             | 2034-02-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                                | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8812 | PA      | $8684.02      | 0.00%             | 2033-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.26         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $12223.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                            | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M4             | CUSIP: 70069FHX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8002425 | PA      | $7672653.96   | 0.10%             | 2035-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-337793.95   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A9      | CUSIP: 02149CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2771111 | PA      | $1344532.78   | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                     | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60495 | PA      | $56340.72     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1          | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91997 | PA      | $43537.55     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                       | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1565662 | PA      | $1811922.41   | 0.02%             | 2031-10-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                           | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3805091.32   | 0.05%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-79                                               | FANNIE MAE FNR 2025 79 FA                               | CUSIP: 3136BXUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2711604 | PA      | $2729172.25   | 0.04%             | 2055-10-25      | Floating      | 4.91%                 | 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        |      800000 | PA      | $924825.07    | 0.01%             | 2037-11-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $30838.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-83269.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1100.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 803338 FN 09/44 FLOATING VAR                  | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82727 | PA      | $83720.67     | 0.00%             | 2044-09-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT3                                      | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 3A4       | CUSIP: 40430HFM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342477 | PA      | $340457.02    | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-83307.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO V DAC 5A                                                  | BOSPHORUS CLO BOPHO 5A A1 144A                          | CUSIP: ACI1MK5S8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      375420 | PA      | $434410.56    | 0.01%             | 2032-12-12      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                 | BCAP LLC TRUST BCAP 2006 AA2 A1                         | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      595874 | PA      | $563015.88    | 0.01%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2454.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32823 | PA      | $28588.41     | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    97922379 | PA      | $99673493.57  | 1.28%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 3A1        | CUSIP: 93362FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49802 | PA      | $45482.42     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-5747.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $7069.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | MILL WHEAT EURO   MAY26 XPAR 20260511                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | FR        |          17 | NC      | $3229.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8552410.83   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A        | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28898 | PA      | $27064.08     | 0.00%             | 2034-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-17737.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RRE 3 LOAN MANAGEMENT DAC 3A                                            | RRE LOAN MANAGEMENT RRME 3A A1R 144A                    | CUSIP: ACI38FGW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3000000 | PA      | $3459824.61   | 0.04%             | 2039-12-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-24538.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3782045.88   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-6689.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                               | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                      | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         283 | PA      | $281.50       | 0.00%             | 2027-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-39578.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000             | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   120000000 | PA      | $2680257.89   | 0.03%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 544861 FN 12/36 FLOATING VAR                  | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2042 | PA      | $2068.35      | 0.00%             | 2036-12-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-34084.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43521 | PA      | $42295.37     | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                           | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      967258 | PA      | $895302.53    | 0.01%             | 2035-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -26300000 | NC      | $-21373.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                      | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A               | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      558617 | PA      | $559172.74    | 0.01%             | 2031-04-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1         | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2475739 | PA      | $500194.55    | 0.01%             | 2046-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2026-25                                               | FANNIE MAE FNR 2026 25 FD                               | CUSIP: 3136G5JT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36000000 | PA      | $35826699.60  | 0.46%             | 2056-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.323 04/23/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $202018.48    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-12632.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    60863044 | PA      | $58270656.76  | 0.75%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1        | CUSIP: 161630AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3739 | PA      | $3771.59      | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2619 | PA      | $2550.36      | 0.00%             | 2035-05-19      | Floating      | 4.23%                 | 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        |     1900000 | PA      | $1902601.75   | 0.02%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 10139293833 | PA      | $64111284.22  | 0.83%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $10750.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-39.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                   | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1997000.10   | 0.03%             | 2034-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME ZINC FUTURE   MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -43 | NC      | $-40732.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-27215.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TTF NAT GAS F     JUN26 NDEX 20260528                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |         -10 | NC      | $-2014.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5491                                                 | FREDDIE MAC FHR 5491 FA                                 | CUSIP: 3137HHVQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7276138 | PA      | $7323844.24   | 0.09%             | 2055-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CORN FUTURE       JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -410 | NC      | $-35095.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-13605.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467118 | PA      | $459775.17    | 0.01%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85           | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1800000 | PA      | $1808730.00   | 0.02%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                  | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1        | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112042 | PA      | $84991.85     | 0.00%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/52 1.5          | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.19         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-162169.79   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -26400000 | NC      | $-81790.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                    | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4        | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3155798 | PA      | $2833995.59   | 0.04%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $297.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A      | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1615330 | PA      | $1574875.64   | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                  | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1959751 | PA      | $1745505.88   | 0.02%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1        | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7819 | PA      | $7469.08      | 0.00%             | 2035-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                        | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                 | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3400000 | PA      | $3402481.25   | 0.04%             | 2034-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                           | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1063520 | PA      | $251200.39    | 0.00%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12        | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1681462 | PA      | $1678735.64   | 0.02%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                        | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C               | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1173404 | PA      | $354915.82    | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2         | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58064 | PA      | $21490.41     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                          | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A          | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       71659 | PA      | $71747.65     | 0.00%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                        | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6939004 | PA      | $6609045.62   | 0.09%             | 2035-10-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COTTON NO.2 FUTR  DEC26 IFUS 20261208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -55 | NC      | $-147292.55   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.28500 11/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $14945392.39  | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $348.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                      | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4770093 | PA      | $4714531.90   | 0.06%             | 2036-02-25      | Floating      | 4.47%                 | 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        |        2437 | PA      | $2483.04      | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR JUL26 XLME 20260713                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          49 | NC      | $144575.89    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-9321.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA3993 FN 04/50 FIXED 4                       | CUSIP: 31418DNK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      261658 | PA      | $249588.82    | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHEAT FUTURE(CBT) JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -123 | NC      | $-174670.18   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1       | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      270845 | PA      | $263989.29    | 0.00%             | 2045-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                          | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3043 | PA      | $2944.95      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $580778.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 46CB A12      | CUSIP: 12667G7F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56779 | PA      | $36614.91     | 0.00%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                     | FANNIE MAE FNR 2006 118 A2                              | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23705 | PA      | $23294.93     | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1096966.60   | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1         | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       77555 | PA      | $66052.05     | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $34012490.22  | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-12404.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | UK NATURAL GAS FUTJUN26 IFEU 20260528                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -7 | NC      | $16439.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $19730.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFF ROBUSTA 10TN MAY26 IFEU 20260522                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           2 | NC      | $-10475.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BLUEMOUNTAIN CLO XXII LTD 2018-22A                                      | BLUEMOUNTAIN CLO LTD BLUEM 2018 22A A1 144A             | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      774476 | PA      | $775298.65    | 0.01%             | 2031-07-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-166531.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2191848.47  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                     | SAXON ASSET SECURITIES TRUST SAST 2005 1 M2             | CUSIP: 805564RN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197799 | PA      | $193675.53    | 0.00%             | 2035-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-135610.74   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -48 | NC      | $-237709.72   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    13695665 | PA      | $133382079.27 | 1.72%             |  |  |  | No            |                  1 | 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      | $5355389.64   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        1333 | NC      | $-618541.13   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VITALITY RE XVII LTD                                                    | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR           | CUSIP: 92853KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      500000 | PA      | $500025.00    | 0.01%             | 2031-01-08      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84914 | PA      | $85156.52     | 0.00%             | 2033-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         279 | NC      | $-864529.66   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1076712.74  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-18400.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME NICKEL FUTURE JUL26 XLME 20260713                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -17 | NC      | $18955.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $51.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NATURAL GAS FUTR  JUL26 XNYM 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -126 | NC      | $238055.82    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2937214 | PA      | $2922798.64   | 0.04%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3051.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $19494422.00  | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $86108.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1                | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171088 | PA      | $146161.12    | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A       | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      618306 | PA      | $556284.62    | 0.01%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                | LEHMAN XS TRUST LXS 2006 18N A3                         | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      546304 | PA      | $554294.71    | 0.01%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $44332.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $221964.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                               | SEQUOIA MORTGAGE TRUST SEMT 10 1A                       | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3293 | PA      | $3101.66      | 0.00%             | 2027-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-13230.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                          | COUNTRYWIDE HOME LOANS CWHL 2005 24 A1                  | CUSIP: 126694JR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66102 | PA      | $32233.01     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-5820.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $53761.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    74104875 | PA      | $75278673.25  | 0.97%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT I DAC 1A                                       | INDIGO CREDIT MANAGEMENT INDI 1A AR 144A                | CUSIP: ACI37FVH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3000000 | PA      | $3466190.69   | 0.04%             | 2037-10-15      | Floating      | 3.28%                 | 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        |       11249 | PA      | $11134.95     | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                  | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2135240 | PA      | $2083582.49   | 0.03%             | 2036-06-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.7 04/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1245745.67   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1988.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18877 | PA      | $17940.58     | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $5964.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124457 | PA      | $114793.50    | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | 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        |    45828375 | PA      | $32477130.18  | 0.42%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $7289.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 647904 FN 04/32 FLOATING VAR                  | CUSIP: 31390JX97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         638 | PA      | $636.38       | 0.00%             | 2032-04-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102139 | PA      | $90444.69     | 0.00%             | 2037-09-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZS4760 FR 03/48 FIXED 4               | CUSIP: 3132A5JD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10739 | PA      | $10290.50     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-16937.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2752.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-OP1                                            | ACE SECURITIES CORP. ACE 2004 OP1 M1                    | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      242975 | PA      | $231080.68    | 0.00%             | 2034-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1       | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18127 | PA      | $16518.37     | 0.00%             | 2036-01-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A3         | CUSIP: 68402BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6069423 | PA      | $3011366.68   | 0.04%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $30031.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-51635.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3        | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55001 | PA      | $54278.35     | 0.00%             | 2034-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                  | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7000000 | PA      | $6425388.55   | 0.08%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-9Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1508775.67   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-3040.76     | -0.00%            |  |  |  | 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        |      200265 | PA      | $193757.86    | 0.00%             | 2035-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-10834426.58 | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                    | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A             | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1154653.92   | 0.01%             | 2035-07-19      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5534                                                 | FREDDIE MAC FHR 5534 FP                                 | CUSIP: 3137HLER9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13534948 | PA      | $13543805.53  | 0.17%             | 2055-05-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 A2         | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28823 | PA      | $32964.13     | 0.00%             | 2033-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847614 FH 10/36 FLOATING VAR          | CUSIP: 3128JRN77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7383 | PA      | $7560.88      | 0.00%             | 2036-10-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                 | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                 | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     4200000 | PA      | $4815758.63   | 0.06%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $708554.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IODEX IO FUT      JUL26 XSIM 20260731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |         -22 | NC      | $-5339.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2          | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263899 | PA      | $177656.43    | 0.00%             | 2036-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                        | ARES CLO LTD ARES 2022 65A A1R 144A                     | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2600723.53   | 0.03%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10         | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66109 | PA      | $61545.03     | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-352540.41   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10273.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $61081.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1251.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-17722.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.3 06/04/2025-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-11131.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2411.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-126864.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3769245 | PA      | $2163631.39   | 0.03%             | 2035-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48200000 | PA      | $45389347.14  | 0.58%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $6404.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $45701.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2870433.61   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                   | ARBOUR CLO ARBR 7A AR 144A                              | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4200000 | PA      | $4863065.94   | 0.06%             | 2038-12-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-83                                               | FANNIE MAE FNR 2025 83 FA                               | CUSIP: 3136BXVW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10266306 | PA      | $10328458.16  | 0.13%             | 2055-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/51 0.125                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    62838109 | PA      | $33461925.31  | 0.43%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | PLATINUM FUTURE   JUL26 XNYM 20260729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           4 | NC      | $-43887.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR15                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1        | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      431566 | PA      | $433217.00    | 0.01%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $548.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                            | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A             | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      808284 | PA      | $809121.72    | 0.01%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $213.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                            | MMIFS RE LTD SECURED 144A 01/33 VAR                     | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $179740.85    | 0.00%             | 2033-01-10      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COPPER FUTURE     JUL26 XCEC 20260729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           4 | NC      | $10679.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-77700.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6817.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-909.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                 | FREDDIE MAC FHR 5565 FA                                 | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3918660 | PA      | $3948671.80   | 0.05%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                 | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2702632.28   | 0.03%             | 2034-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 04/32 VAR                | CUSIP: ACI24F5W8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      100000 | PA      | $111215.79    | 0.00%             | 2032-04-02      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                          | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                 | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326565 | PA      | $297903.52    | 0.00%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                  | OZLM LTD OZLM 2019 24A A1AR 144A                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      950934 | PA      | $951949.66    | 0.01%             | 2032-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                 | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295576 | PA      | $297708.04    | 0.00%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2          | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54924 | PA      | $14580.83     | 0.00%             | 2046-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28181 | PA      | $28199.62     | 0.00%             | 2032-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-52                                               | FANNIE MAE FNR 2025 52 FB                               | CUSIP: 3136BWUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2835414 | PA      | $2860845.50   | 0.04%             | 2055-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5          | CUSIP: ACI1X30Y6<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     2488724 | PA      | $257422.00    | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $6231.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $6330.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFFEE 'C' FUTURE SEP26 IFUS 20260918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          13 | NC      | $-6936.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   101462030 | PA      | $104194242.16 | 1.34%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                        | PROJECT CASHMERE CLASS B 144A                           | CUSIP: 990ABJRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     2600000 | PA      | $1793870.48   | 0.02%             | 2057-12-30      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-30223.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                         | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                 | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2729884 | PA      | $3159261.52   | 0.04%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1538.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME ZINC FUTURE   MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          56 | NC      | $-85769.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 2A1          | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107213 | PA      | $99725.71     | 0.00%             | 2033-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                  | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   106577619 | PA      | $98629601.89  | 1.27%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-283.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                      | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1             | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93360 | PA      | $89619.33     | 0.00%             | 2037-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $87875.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-16011.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-304080.57   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                          | LUMINENT MORTGAGE TRUST LUM 2006 7 1A1                  | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111205 | PA      | $109578.62    | 0.00%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                 | ICG US CLO LTD ICG 2015 2RA A1R 144A                    | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      979230 | PA      | $979982.63    | 0.01%             | 2033-01-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $353463.45    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 27 LTD                                                          | KKR FINANCIAL CLO LTD KKR 27A A1R2 144A                 | CUSIP: 48253YBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1500414.59   | 0.02%             | 2035-01-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-2                                    | WELLS FARGO HOME EQUITY TRUST WFHET 2005 2 M9           | CUSIP: 94981PAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150400 | PA      | $150626.36    | 0.00%             | 2034-12-25      | Floating      | 6.19%                 | 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        |      355664 | PA      | $329373.89    | 0.00%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-12677.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-SCHATZ FUT   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        2238 | NC      | $168702.47    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    57127914 | PA      | $29693223.33  | 0.38%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                        | PROJECT CASHMERE CLASS D 144A                           | CUSIP: 990ABJSD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     1000000 | PA      | $689950.19    | 0.01%             | 2057-12-30      | Floating      | 6.56%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-4323.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2              | CUSIP: 46628LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11157 | PA      | $7517.42      | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    52833138 | PA      | $52832267.11  | 0.68%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1          | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50726 | PA      | $50606.72     | 0.00%             | 2035-08-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $583022.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6727.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-GEL4                                     | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL4 M1 144A   | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      913924 | PA      | $914808.86    | 0.01%             | 2036-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16943 | PA      | $15966.85     | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1         | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22189 | PA      | $20692.32     | 0.00%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $422034.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                  | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A          | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      613288 | PA      | $613913.77    | 0.01%             | 2031-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $462284.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8458.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-8270.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR9                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A        | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5640 | PA      | $5538.38      | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-17010.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-16348.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NATURAL GAS FUTR  MAY26 XNYM 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -36 | NC      | $15770.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                                 | FREDDIE MAC FHR 5510 FM                                 | CUSIP: 3137HJMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5403045 | PA      | $5442092.60   | 0.07%             | 2055-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4           | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90202 | PA      | $96508.84     | 0.00%             | 2034-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $88797.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $98392.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                              | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7239435 | PA      | $7344433.63   | 0.09%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 1A4        | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7808424 | PA      | $7336246.22   | 0.09%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $19979.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/43 0.5                  | CUSIP: ACI1TRDT5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      316545 | PA      | $40004.37     | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                   | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                     | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1207 | PA      | $1213.89      | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                            | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2300689.66   | 0.03%             | 2035-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/29 1.625                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    73071985 | PA      | $74250726.73  | 0.96%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/31 0.125                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   146225568 | PA      | $137520170.46 | 1.77%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -7164 | NC      | $8287774.77   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | KC HRW WHEAT FUT  JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -61 | NC      | $-104689.06   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $34100.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1600000 | PA      | $1600318.80   | 0.02%             | 2035-07-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500160.78    | 0.01%             | 2035-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/53 1.5                               | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13785156 | PA      | $10578557.92  | 0.14%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                           | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1983218 | PA      | $1980185.30   | 0.03%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6787.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-369372.57   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80100 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $222694.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H14                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H14 FA          | CUSIP: 38380LYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1056376 | PA      | $1070544.84   | 0.01%             | 2069-08-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.05000 01/13/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $396558.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                    | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    39000000 | PA      | $40128287.55  | 0.52%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZM6968 FR 06/48 FIXED 4               | CUSIP: 3131Y1W55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45773 | PA      | $43862.59     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $14973.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1          | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117707 | PA      | $108422.69    | 0.00%             | 2037-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2 DAC  24-3A                   | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 3A A 144A     | CUSIP: ACI2RRG21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1610855 | PA      | $1863952.72   | 0.02%             | 2034-05-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-52                                               | FANNIE MAE FNR 2024 52 LF                               | CUSIP: 3136BSVF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6749414 | PA      | $6793938.45   | 0.09%             | 2054-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | UK NATURAL GAS FUTMAY26 IFEU 20260429                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -1 | NC      | $-3887.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ITALY GOVT                                                              | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    20560356 | PA      | $23534412.49  | 0.30%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3       | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2223875 | PA      | $2049501.46   | 0.03%             | 2037-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.15         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   155389923 | PA      | $156995999.06 | 2.02%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| KKR CLO 11 LTD                                                          | KKR FINANCIAL CLO LTD KKR 11 AR 144A                    | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      183432 | PA      | $183613.96    | 0.00%             | 2031-01-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COM FWD SMZ6 310.35 11/20/26 BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $7187.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 06/27 VAR                | CUSIP: BJ5FX5II4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      500000 | PA      | $576084.70    | 0.01%             | 2027-06-24      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME LEAD FUTURE   JUL26 XLME 20260713                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -110 | NC      | $76242.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2086513.34   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183303 | PA      | $164344.92    | 0.00%             | 2046-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC          | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1976058 | PA      | $2022730.87   | 0.03%             | 2073-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                                | APIDOS CLO APID 2016 24A A1AL 144A                      | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      172260 | PA      | $172260.24    | 0.00%             | 2030-10-20      | Floating      | 4.88%                 | 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        |     1200124 | PA      | $1202140.55   | 0.02%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                           | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1007084 | PA      | $511774.54    | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/41 2.125                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    55166637 | PA      | $53433050.09  | 0.69%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-220669.25   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA6          | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52073 | PA      | $44327.57     | 0.00%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A5                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A5 A2          | CUSIP: 45660NQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29497 | PA      | $29339.45     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN MEAL FUTR JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         294 | NC      | $-59066.09    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-24008.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                        | GRIFONAS FINANCE PLC GRIF 1 A REGS                      | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       42643 | PA      | $48456.71     | 0.00%             | 2039-08-28      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $27758.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                        | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21             | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      293528 | PA      | $193764.44    | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 35 EURO CLO 2014 BV 14-35A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2014 35A ARR 144A        | CUSIP: ACI2878B5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      359709 | PA      | $416199.54    | 0.01%             | 2033-01-17      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1        | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      163191 | PA      | $156658.68    | 0.00%             | 2034-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HENLEY CLO VI DAC 6A                                                    | HENLEY FUNDING LTD. HNLY 6A A 144A                      | CUSIP: ACI2PTDS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3100000 | PA      | $3578652.82   | 0.05%             | 2034-06-10      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $403623.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7345 | PA      | $7145.21      | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $111930.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5452                                                 | FREDDIE MAC FHR 5452 JF                                 | CUSIP: 3137HFGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      730268 | PA      | $735089.65    | 0.01%             | 2054-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN FUTURE    JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          73 | NC      | $2613.71      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE 2007-4                                                       | FANNIE MAE FNR 2007 4 DF                                | CUSIP: 31396PMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69848 | PA      | $69295.50     | 0.00%             | 2037-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                             | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1        | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |           1 | PA      | $1.33         | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | 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        |     1746962 | PA      | $1748776.56   | 0.02%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3842.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-158975.51   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-15514.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $49195.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $48878.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $566.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10                     | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 10 A3         | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120412 | PA      | $120547.01    | 0.00%             | 2035-10-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $3077.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | KC HRW WHEAT FUT  MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -16 | NC      | $-74780.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   188813462 | PA      | $140195396.52 | 1.81%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                               | FANNIE MAE FNR 2025 66 FK                               | CUSIP: 3136BWYL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4138305 | PA      | $4175120.43   | 0.05%             | 2055-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      251543 | PA      | $78171.44     | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-41095.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 F           | CUSIP: 38382YB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16764249 | PA      | $16906064.73  | 0.22%             | 2072-10-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | KC HRW WHEAT FUT  SEP26 XCBT 20260914                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          47 | NC      | $100701.58    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/32 3.375                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14291082 | PA      | $15774038.85  | 0.20%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      959833 | PA      | $887947.80    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/50 0.25                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104573416 | PA      | $59270134.60  | 0.76%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                      | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A2A             | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1490 | PA      | $1425.68      | 0.00%             | 2029-11-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2504891 | PA      | $1998646.46   | 0.03%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                   | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1001045.68   | 0.01%             | 2034-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-15442.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                  | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1350 | PA      | $1609.14      | 0.00%             | 2035-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-9183.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   153581504 | PA      | $146239294.85 | 1.88%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                  | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3            | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136694 | PA      | $139979.59    | 0.00%             | 2035-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FM2533 FN 06/48 FIXED VAR                     | CUSIP: 3140X5Y72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38338 | PA      | $36737.87     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-3                                          | HOME EQUITY ASSET TRUST HEAT 2004 3 M1                  | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315108 | PA      | $314277.77    | 0.00%             | 2034-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                                           | COUNTRYWIDE HOME LOANS CWHL 2006 6 A4                   | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1105363 | PA      | $524513.41    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                   | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A          | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4276 | PA      | $4.51         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                 | BCAP LLC TRUST BCAP 2011 RR5 10A6 144A                  | CUSIP: 05533YBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      950808 | PA      | $868417.41    | 0.01%             | 2036-04-26      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE - IC JUL26 IFEU 20260716                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -8 | NC      | $-12754.09    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-367351.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1      | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      825934 | PA      | $743447.54    | 0.01%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-59204.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-6225.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                    | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR           | CUSIP: 92853KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $250012.50    | 0.00%             | 2031-01-08      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA          | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27187 | PA      | $27263.46     | 0.00%             | 2066-08-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    57051536 | PA      | $56624668.10  | 0.73%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $3871.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 1.636 06/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2301345.49   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3        | CUSIP: 17309QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16314022 | PA      | $16157741.94  | 0.21%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-298425.95   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 615096 FN 02/32 FLOATING VAR                  | CUSIP: 31388UKH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2526 | PA      | $2532.62      | 0.00%             | 2032-02-01      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32500 07/06/26-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $209817.41    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                     | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1        | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      378173 | PA      | $345089.29    | 0.00%             | 2037-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $110841.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   190656016 | PA      | $135371979.01 | 1.74%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN MEAL FUTR MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          73 | NC      | $127743.06    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1226.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A        | CUSIP: 92925DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      834880 | PA      | $738507.44    | 0.01%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $215424.85    | 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        |       85600 | PA      | $76942.70     | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-346.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB3                                   | CREDIT BASED ASSET SERVICING A CBASS 2005 CB3 M4        | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      293427 | PA      | $287966.83    | 0.00%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $6358.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2007-FA4                                   | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA4 1A8       | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      139340 | PA      | $44915.63     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $2804.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-WMC1                                     | ASSET BACKED FUNDING CERTIFICA ABFC 2003 WMC1 M1        | CUSIP: 04542BEA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91564 | PA      | $91790.35     | 0.00%             | 2033-06-25      | Floating      | 4.77%                 | 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        |     9775635 | PA      | $9484461.90   | 0.12%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7837.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102166 | PA      | $103406.94    | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $448.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                             | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A         | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2340612 | PA      | $2332742.20   | 0.03%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1937254 | PA      | $1750200.43   | 0.02%             | 2046-12-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4            | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54092 | PA      | $53987.55     | 0.00%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHEAT FUTURE(CBT) MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -32 | NC      | $-128802.68   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22244 | PA      | $21426.19     | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                           | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2196963 | PA      | $2012868.11   | 0.03%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D            | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103503 | PA      | $53999.69     | 0.00%             | 2036-10-25      | Floating      | 4.02%                 | 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        |       64897 | PA      | $63248.75     | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   326703465 | PA      | $328433731.89 | 4.23%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10        | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67702 | PA      | $60234.16     | 0.00%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                                      | FANNIE MAE FNR 2006 30 KF                               | CUSIP: 31395B6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15917 | PA      | $15814.17     | 0.00%             | 2036-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.43375 08/27/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-198067.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                                | SEQUOIA MORTGAGE TRUST SEMT 5 A                         | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4597 | PA      | $4577.23      | 0.00%             | 2026-10-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   327239536 | PA      | $320002270.43 | 4.12%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-93                                               | FANNIE MAE FNR 2025 93 FA                               | CUSIP: 3136BXS39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1805789 | PA      | $1812131.82   | 0.02%             | 2055-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3100000 | PA      | $3100685.16   | 0.04%             | 2034-08-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                 | FREDDIE MAC FHR 5564 FB                                 | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1122255 | PA      | $1133513.95   | 0.01%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                              | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A             | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1752415.02   | 0.02%             | 2034-10-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $436155.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME NICKEL FUTURE MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          22 | NC      | $-28237.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H02 FB          | CUSIP: 38380LPZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      470710 | PA      | $475819.19    | 0.01%             | 2068-12-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $1123737.51   | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75842 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $332802.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-19402.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                     | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1           | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105125 | PA      | $60795.56     | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-NC1                                     | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC1 M1         | CUSIP: 144531EY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      924743 | PA      | $910383.25    | 0.01%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-3434.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 07/38 0.1              | CUSIP: ACI25Z7H4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      119867 | PA      | $114869.01    | 0.00%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18681 | PA      | $18143.59     | 0.00%             | 2034-10-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                      | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 1A         | CUSIP: 86359BEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         789 | PA      | $765.84       | 0.00%             | 2034-01-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $7505.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                  | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4600000 | PA      | $4597006.87   | 0.06%             | 2034-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-35501.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.736 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1083295.13   | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54654 | PA      | $54874.52     | 0.00%             | 2031-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-27582.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+11.5/9128283R9 SOG                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-193012.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $17563.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                     | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5258646 | PA      | $6085764.87   | 0.08%             | 2033-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                           | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                   | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2356334 | PA      | $2345648.65   | 0.03%             | 2049-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D        | CUSIP: 17310VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2600321 | PA      | $1819574.28   | 0.02%             | 2036-12-25      | Floating      | 4.25%                 | 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        |       10791 | PA      | $10953.46     | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A A 144A     | CUSIP: ACI2Q3MV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3612411 | PA      | $4179994.29   | 0.05%             | 2034-05-15      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-354579.29   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $408039.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-8498.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/28 2.375                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28349259 | PA      | $29357775.38  | 0.38%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-19403.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-135.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                     | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      924296 | PA      | $918897.35    | 0.01%             | 2034-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $50167.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      361793 | PA      | $312259.10    | 0.00%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| DRYDEN 44 EURO CLO 2015 BV 15-44A                                       | DRYDEN EURO CLO DRYD 2015 44A A1RR 144A                 | CUSIP: ACI1VYV26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      813521 | PA      | $940459.33    | 0.01%             | 2034-04-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $53857.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COTTON NO.2 FUTR  JUL26 IFUS 20260709                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -53 | NC      | $-101847.41   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $155798.88    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                                    | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1974437 | PA      | $1916643.50   | 0.02%             | 2035-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A          | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16082 | PA      | $16351.13     | 0.00%             | 2034-03-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $115546.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-368374.54   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                               | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     8170227 | PA      | $9432427.41   | 0.12%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1422017.82   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   203672648 | PA      | $168457307.18 | 2.17%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $55138.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 29CB A4       | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67240 | PA      | $35061.43     | 0.00%             | 2035-07-25      | 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        |      514510 | PA      | $451662.25    | 0.01%             | 2037-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                             | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4739226 | PA      | $4751455.29   | 0.06%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LIVE CATTLE FUTR  JUN26 XCME 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          80 | NC      | $244188.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 670678 FN 11/33 FLOATING VAR                  | CUSIP: 31391MCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10587 | PA      | $10718.81     | 0.00%             | 2033-11-01      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| VOYA EURO CLO IV DAC 4A                                                 | VOYA EURO CLO VOYE 4A AR 144A                           | CUSIP: ACI21JC13<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2884282.63   | 0.04%             | 2034-10-15      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $83711.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A       | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272836 | PA      | $260892.49    | 0.00%             | 2046-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| ST PAUL'S CLO X DAC 10A                                                 | ST PAULS CLO SPAUL 10A AR 144A                          | CUSIP: ACI1WJ0Z9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3453520 | PA      | $3987641.83   | 0.05%             | 2035-04-22      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1         | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300169 | PA      | $272495.34    | 0.00%             | 2047-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31910 | PA      | $31900.63     | 0.00%             | 2036-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A4       | CUSIP: 12668BSJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      946013 | PA      | $318217.53    | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-546785.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                                         | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6730727 | PA      | $6867304.39   | 0.09%             | 2037-12-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $118.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-7789.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $103255.09    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $18890.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4731.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                    | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR           | CUSIP: 92853KAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $250012.50    | 0.00%             | 2031-01-08      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                   | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6            | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1230258 | PA      | $29512.65     | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                          | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3203903.33   | 0.04%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A      | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    26700000 | PA      | $26732216.22  | 0.34%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZM3037 FR 04/47 FIXED 4               | CUSIP: 3131XWLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      510721 | PA      | $489779.93    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A   | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100479 | PA      | $46531.57     | 0.00%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA          | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1494236 | PA      | $1514916.67   | 0.02%             | 2073-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $31716.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A1        | CUSIP: 92922FZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88770 | PA      | $86124.36     | 0.00%             | 2044-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-5674.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-92068.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $60797.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -2894 | NC      | $11613069.26  | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                   | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A        | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1100000 | PA      | $1270755.02   | 0.02%             | 2036-08-29      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                              | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4800000 | PA      | $4805824.75   | 0.06%             | 2034-10-28      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $202.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN EUR CLO 5A                                                 | BLUEMOUNTAIN EUR CLO BLUME 5A A 144A                    | CUSIP: ACI1GHFQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      518976 | PA      | $600481.57    | 0.01%             | 2033-01-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-247390.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34289 | PA      | $28050.36     | 0.00%             | 2047-02-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1        | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16364 | PA      | $16448.13     | 0.00%             | 2034-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $47446.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $23.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5589                                                 | FREDDIE MAC FHR 5589 FB                                 | CUSIP: 3137HNFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3735191 | PA      | $3758387.99   | 0.05%             | 2055-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.034 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $510062.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/43 0.5              | CUSIP: ACI1RSH20<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.28         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | 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        |      244962 | PA      | $228041.58    | 0.00%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2399.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $23913.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57458 | PA      | $50203.17     | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $506439.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-438610.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12          | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3827358 | PA      | $1924946.55   | 0.02%             | 2046-10-25      | Floating      | 4.00%                 | 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        |     4700000 | PA      | $5429779.79   | 0.07%             | 2038-10-30      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56871 | PA      | $22252.56     | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1          | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17870 | PA      | $17838.55     | 0.00%             | 2030-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 708229 FN 04/33 FLOATING VAR                  | CUSIP: 31401GY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29573 | PA      | $30078.55     | 0.00%             | 2033-04-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 3A1        | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12674 | PA      | $12824.74     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2              | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4195 | PA      | $4228.11      | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 1.8825 11/20/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3961337.15  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                              | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4700000 | PA      | $4704996.24   | 0.06%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP FR NI 1.41 11/15/19-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |           1 | NC      | $-774635.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                 | HARVEST CLO HARVT 21A A1R 144A                          | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      675412 | PA      | $781486.42    | 0.01%             | 2031-07-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BRENT CRUDE FUTR  DEC26 IFEU 20261030                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          24 | NC      | $142320.93    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   296590797 | PA      | $300925139.19 | 3.88%             | 2028-01-15      | Fixed         | 1.75%                 | 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        |      272694 | PA      | $234885.87    | 0.00%             | 2036-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/30 1.125                             | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   208419420 | PA      | $206617075.55 | 2.66%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-14039.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10085.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-544848.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 3.5 08/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-376437.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-221.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                     | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR            | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.00%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2              | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25184 | PA      | $24101.46     | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | GASOLINE RBOB FUT SEP26 XNYM 20260831                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          41 | NC      | $1003761.55   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81100 | PA      | $77059.94     | 0.00%             | 2046-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A           | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      222631 | PA      | $222867.85    | 0.00%             | 2031-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-12637.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $15232.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.813 05/14/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1788816.70   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                      | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A         | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4500000 | PA      | $4503647.70   | 0.06%             | 2028-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-394538.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR7                   | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR7 A1        | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      852431 | PA      | $776968.27    | 0.01%             | 2037-12-28      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR15                                    | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR15 A1       | CUSIP: 94985AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6066 | PA      | $5860.37      | 0.00%             | 2036-10-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8093.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                       | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1493497 | PA      | $1494297.84   | 0.02%             | 2033-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-OAT FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -2495 | NC      | $10861707.43  | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H06                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H06 FL          | CUSIP: 38382YPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      222742 | PA      | $222556.42    | 0.00%             | 2072-01-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 1.76 11/04/19-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14315552.32 | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $6949.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-9558.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS4437 FN 10/52 FIXED VAR                     | CUSIP: 3140XK4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1136883 | PA      | $1102787.69   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR          | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19661 | PA      | $20046.90     | 0.00%             | 2036-07-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFFEE 'C' FUTURE JUL26 IFUS 20260721                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -1 | NC      | $7311.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARBOUR CLO XIII DAC 13A                                                 | ARBOUR CLO ARBR 13A AR 144A                             | CUSIP: ACI38J3K2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4200000 | PA      | $4839948.96   | 0.06%             | 2038-08-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-7                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 7 MV5           | CUSIP: 126673EG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2533188 | PA      | $2314928.41   | 0.03%             | 2034-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-10004.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                               | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A           | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3002585.85   | 0.04%             | 2034-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                  | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M7          | CUSIP: 68383NBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $996693.40    | 0.01%             | 2035-04-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2         | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74602 | PA      | $71642.95     | 0.00%             | 2035-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+11.5/91282CJH5 SOG                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-693620.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6228.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   248720682 | PA      | $232461851.00 | 3.00%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160209 | PA      | $151093.18    | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUXL 30Y BND JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         107 | NC      | $-163371.01   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                 | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32747824 | PA      | $32962712.04  | 0.42%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 144A REGS 10/53 2      | CUSIP: ACI22CN07<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     8881055 | PA      | $1140709.77   | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57330 | PA      | $49710.74     | 0.00%             | 2045-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5538                                                 | FREDDIE MAC FHR 5538 AF                                 | CUSIP: 3137HKXR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1786594 | PA      | $1799556.45   | 0.02%             | 2055-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    16603152 | PA      | $18614074.65  | 0.24%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $52168.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-63497.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                  | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1            | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169034 | PA      | $172832.14    | 0.00%             | 2034-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $57806.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME NICKEL FUTURE MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -27 | NC      | $127278.45    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $67680.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-170                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 170 FC          | CUSIP: 38385HK89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9127692 | PA      | $9162092.95   | 0.12%             | 2055-10-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                      | FANNIE MAE FNR 2006 15 FC                               | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31545 | PA      | $31118.27     | 0.00%             | 2036-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1438686.32   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                   | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2868535 | PA      | $922795.56    | 0.01%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-537967.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A4       | CUSIP: 92922FW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83371 | PA      | $79539.68     | 0.00%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                     | SAXON ASSET SECURITIES TRUST SAST 2005 4 M3             | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1915000 | PA      | $1686651.00   | 0.02%             | 2037-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2074.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO 2024-1 DAC 24-1A                                     | CUMULUS STATIC CLO CMLST 2024 1A A 144A                 | CUSIP: ACI2NK2H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2314662 | PA      | $2678922.71   | 0.03%             | 2033-11-15      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 544860 FN 09/34 FLOATING VAR                  | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1500 | PA      | $1486.39      | 0.00%             | 2034-09-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1550.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $10329.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1         | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39507 | PA      | $37128.22     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A           | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      467388 | PA      | $467850.85    | 0.01%             | 2031-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-7736.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $424.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      290456 | PA      | $251370.58    | 0.00%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2009 | NC      | $-5257654.49  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-91146.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $12759.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5         | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1879 | PA      | $1864.05      | 0.00%             | 2033-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN FUTURE    NOV26 XCBT 20261113                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         135 | NC      | $213430.45    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10876 | PA      | $10317.75     | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-64166.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $26323.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-22741.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-320457.07   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                            | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                 | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2002441.54   | 0.03%             | 2034-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71000000 | PA      | $72241936.26  | 0.93%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $984696.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-12187004.20 | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      393160 | PA      | $393425.64    | 0.01%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 50CB 1A1      | CUSIP: 12668ALH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12473 | PA      | $10090.16     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49675 | PA      | $48362.30     | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -61700000 | NC      | $-912901.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                              | OCP EURO CLO OCPE 2022 6A ARR 144A                      | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4900000 | PA      | $5659682.26   | 0.07%             | 2036-07-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-271581.64   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-3026269.43  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-20660.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $5731.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/28 3.625                             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   257303796 | PA      | $270642931.17 | 3.49%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $679921.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | GOLD 100 OZ FUTR  JUN26 XCEC 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           2 | NC      | $-96032.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZM5146 FR 12/47 FIXED 4               | CUSIP: 3131XYWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18891990 | PA      | $18103639.14  | 0.23%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.8/91282CLV1 MYC                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1746835.68  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                          | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3634316 | PA      | $3633287.31   | 0.05%             | 2032-07-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BM2007 FN 09/48 FIXED VAR                     | CUSIP: 3140J6GR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      146802 | PA      | $140675.71    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-7982.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $912137.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MTGE LOAN TRUST 2004-10                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 10 4A         | CUSIP: 41161PJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78997 | PA      | $74709.01     | 0.00%             | 2035-01-19      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 04/47 2.5               | CUSIP: ACI0B2V53<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |        7622 | PA      | $1093.62      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-22791.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $37434.59     | 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        |      885384 | PA      | $566244.45    | 0.01%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 4 1A3         | CUSIP: 93936NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3689965 | PA      | $2889003.89   | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                 | FREDDIE MAC FHR 4687 FG                                 | CUSIP: 3137BY3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1960061 | PA      | $1920317.21   | 0.02%             | 2047-01-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 11/29 VAR                | CUSIP: ACI21PCV3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      100000 | PA      | $122518.11    | 0.00%             | 2029-11-15      | Floating      | 2.12%                 | 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        |        9234 | PA      | $8125.61      | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $39892.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                      | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3065714 | PA      | $3068950.30   | 0.04%             | 2031-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 13911147150 | PA      | $87391157.86  | 1.13%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                             | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A     | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500608.35    | 0.01%             | 2034-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68300000 | PA      | $65853859.41  | 0.85%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.91510 06/12/23-9Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2020611.40   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $853394.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-410995.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $18690.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-126027.65   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 647903 FN 04/27 FLOATING VAR                  | CUSIP: 31390JX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         260 | PA      | $261.15       | 0.00%             | 2027-04-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                         | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30316 | PA      | $15872.52     | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3900000 | PA      | $4508319.83   | 0.06%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN OIL FUTR  MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -5 | NC      | $-43393.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-4894.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                               | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      184834 | PA      | $213906.05    | 0.00%             | 2031-12-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $250.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1              | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73790 | PA      | $57579.57     | 0.00%             | 2035-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                 | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1        | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131509 | PA      | $143573.68    | 0.00%             | 2033-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1        | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      663710 | PA      | $597523.92    | 0.01%             | 2037-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                          | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2        | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9669 | PA      | $9439.55      | 0.00%             | 2029-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $421007.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $61637.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-415224.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                         | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177270 | PA      | $108110.78    | 0.00%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                          | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3723111 | PA      | $4307883.64   | 0.06%             | 2034-05-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2359.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $21339163.54  | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                          | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                 | CUSIP: 36779CAU0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $3650.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A         | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2758 | PA      | $1718.37      | 0.00%             | 2030-09-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1528.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38756 | PA      | $37846.19     | 0.00%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK8718 FN 08/48 FIXED 4                       | CUSIP: 3140HNVL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49441 | PA      | $47370.33     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                 | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1001219.80   | 0.01%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7781.11      | 0.00%             |  |  |  | No            |                  2 | 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        |      755968 | PA      | $874872.42    | 0.01%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IODEX IO FUT      MAY26 XSIM 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |          -5 | NC      | $-4628.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/55 2.375                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    80389140 | PA      | $74795634.70  | 0.96%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.78/91282CFR7 BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $852800.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-52345.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1772.02     | -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        |     4500000 | PA      | $1375901.61   | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                          | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                 | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                       | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR              | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $251525.00    | 0.00%             | 2029-01-08      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-124880.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $149164.73    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8018181 | PA      | $8081313.34   | 0.10%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                  | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A    | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101570 | PA      | $93575.24     | 0.00%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-359.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHITE SUGAR (ICE) MAY26 IFEU 20260415                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -4 | NC      | $-7948.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | INF SWAP FR NI 1.91 01/15/18-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |           1 | NC      | $-7513.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                    | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1          | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30224 | PA      | $28260.24     | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-9                                          | HOME EQUITY ASSET TRUST HEAT 2005 9 M1                  | CUSIP: 437084QY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      245160 | PA      | $243928.12    | 0.00%             | 2036-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                            | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1368926 | PA      | $1584236.95   | 0.02%             | 2034-04-24      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $1781377.60   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    17750764 | PA      | $2187600.71   | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.28         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5534                                                 | FREDDIE MAC FHR 5534 FD                                 | CUSIP: 3137HLEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1357951 | PA      | $1365396.76   | 0.02%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-18375.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    55500000 | PA      | $52333042.35  | 0.67%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1         | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49695 | PA      | $39087.75     | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                              | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2302361.89   | 0.03%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1WZT66<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     8586992 | PA      | $1037101.25   | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -918 | NC      | $1992628.59   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                        | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1               | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79034 | PA      | $73033.93     | 0.00%             | 2047-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |   -46100000 | NC      | $-604471.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-279270.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $549054.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $48205.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4213533 | PA      | $3899311.51   | 0.05%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      142082 | PA      | $142222.65    | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -26400000 | NC      | $-356411.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3914.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $79876.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 081557 G2 12/35 FLOATING VAR               | CUSIP: 36225DWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      108788 | PA      | $110481.58    | 0.00%             | 2035-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF          | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22049144 | PA      | $22225541.73  | 0.29%             | 2055-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1         | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183392 | PA      | $178067.45    | 0.00%             | 2034-01-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                             | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    39453120 | PA      | $29286431.30  | 0.38%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-11                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 11 2A1A       | CUSIP: 41161PUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55491 | PA      | $53291.44     | 0.00%             | 2045-08-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN OIL FUTR  DEC26 XCBT 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          12 | NC      | $43857.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM TRUST 2019-INV1                                                     | CIM TRUST CIM 2019 INV1 A2 144A                         | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56983 | PA      | $55399.60     | 0.00%             | 2049-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE      MAY26 IFUS 20260513                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           9 | NC      | $11367.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-285.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN OIL FUTR  JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -22 | NC      | $-46553.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM GOVT                                                     | UNITED KINGDOM GILT BONDS REGS 10/31 4                  | CUSIP: BPSNBFII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   120100000 | PA      | $155030045.73 | 2.00%             | 2031-10-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | PALLADIUM FUTURE  JUN26 XNYM 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           2 | NC      | $-48704.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BN8854 FN 04/49 FIXED 4                       | CUSIP: 3140JRZU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25303 | PA      | $24103.03     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.76836 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $360592.06    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4           | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358624 | PA      | $350647.80    | 0.00%             | 2036-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-19345.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3723 | PA      | $3738.41      | 0.00%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2B        | CUSIP: 59023XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8696860 | PA      | $2635044.21   | 0.03%             | 2037-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LEAN HOGS FUTURE  JUN26 XCME 20260612                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -104 | NC      | $142759.06    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                             | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     5800000 | PA      | $5818925.40   | 0.07%             | 2037-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10712.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-OPT1                                   | STRUCTURED ASSET SECURITIES CO SASC 2006 OPT1 M1        | CUSIP: 86359UAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16550409 | PA      | $14150793.58  | 0.18%             | 2036-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4348574 | PA      | $4447242.74   | 0.06%             | 2072-11-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8167910 | PA      | $8170551.36   | 0.11%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SILVER FUTURE     MAY26 XCEC 20260527                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $-48269.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A1                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A1 1A1        | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      575161 | PA      | $549766.17    | 0.01%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2018.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 3.365 09/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $970705.99    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -5465625 | PA      | $-5465625.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                            | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                  | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3799712.80   | 0.05%             | 2036-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RISERVA CLO LTD 2016-3A                                                 | RISERVA CLO, LTD. RSRVA 2016 3A AR3 144A                | CUSIP: 76761RBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2701784.54   | 0.03%             | 2034-01-18      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                                    | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3573490 | PA      | $1116201.74   | 0.01%             | 2036-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    66758538 | PA      | $66502132.47  | 0.86%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/47 2.5          | CUSIP: ACI09WV27<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       17741 | PA      | $2543.88      | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $31.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.78/91282CPH8 BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-504498.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB8                                        | COUNTRYWIDE HOME LOANS CWHL 2004 HYB8 6A1               | CUSIP: 12669GGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5134 | PA      | $5229.05      | 0.00%             | 2035-01-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.78/91282CGW5 BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $75767.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2                 | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC2 A4         | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2422287 | PA      | $2372991.71   | 0.03%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/35 1.875                             | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   303137026 | PA      | $301749458.70 | 3.89%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $40787.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1            | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38443 | PA      | $24701.23     | 0.00%             | 2035-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SPAUL-11A                                                               | ST PAULS CLO SPAUL 11A AR 144A                          | CUSIP: ACI2SP260<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3036803 | PA      | $3510458.05   | 0.05%             | 2032-01-17      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                            | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2             | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      626459 | PA      | $619354.51    | 0.01%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4        | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82829 | PA      | $61498.65     | 0.00%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-63300.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         117 | PA      | $116.67       | 0.00%             | 2034-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-267795.66   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $42633.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   172827191 | PA      | $166514651.92 | 2.15%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-27015.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK5226 FN 09/48 FIXED 4                       | CUSIP: 3140HJYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2704 | PA      | $2680.49      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH2 M2        | CUSIP: 17312BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      982248 | PA      | $978558.76    | 0.01%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CA2376 FN 09/48 FIXED 4                       | CUSIP: 3140Q9UA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86199 | PA      | $82610.27     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   105541024 | PA      | $109511747.76 | 1.41%             | 2029-01-15      | Fixed         | 2.50%                 | 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        |        8588 | PA      | $8022.39      | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         596 | PA      | $580.26       | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA2231 FR 01/49 FIXED 4               | CUSIP: 3133KHPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133009 | PA      | $127979.06    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.86500 02/13/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $31082444.09  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2361.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                 | GSG BIDCO LTD SR SECURED 144A 06/51 6.375               | CUSIP: ACI38RD49<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     5800000 | PA      | $6658042.87   | 0.09%             | 2051-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       92402 | PA      | $89324.94     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $73332.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                     | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4       | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207165 | PA      | $206532.15    | 0.00%             | 2036-04-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $23651.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+11.5/912828Z37 SOG                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1040440.96  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/35 0.005                 | CUSIP: ACI2XCPX9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  5173799400 | PA      | $31149398.74  | 0.40%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5          | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.15         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                             | LUCA RE LTD UNSECURED 144A 07/31 VAR                    | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |      550000 | PA      | $566802.50    | 0.01%             | 2031-07-22      | Floating      | 10.80%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-88679.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $603088.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                         | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9653 | PA      | $9357.56      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST-2006-2                                     | SAXON ASSET SECURITIES TRUST SAST 2006 2 M1             | CUSIP: 80556XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      637984 | PA      | $616582.93    | 0.01%             | 2036-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    64031945 | PA      | $63862532.05  | 0.82%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 09/27 VAR                | CUSIP: ACI27Z6Z3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      300000 | PA      | $401483.82    | 0.01%             | 2027-09-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1           | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1448118 | PA      | $1380605.77   | 0.02%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A4           | CUSIP: 65538PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123912 | PA      | $116300.52    | 0.00%             | 2047-03-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95238 | PA      | $90537.01     | 0.00%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BRENT CRUDE FUTR  SEP26 IFEU 20260731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           5 | NC      | $92170.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H20 FA          | CUSIP: 38382YYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202408 | PA      | $203284.47    | 0.00%             | 2072-08-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $23091.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $4120.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                  | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      907580 | PA      | $73313.80     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2065875 | PA      | $-2066950.98  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $32180.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                           | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3926 | PA      | $3819.21      | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9467 | PA      | $9193.68      | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      787000 | PA      | $784602.11    | 0.01%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                          | LCM LTD PARTNERSHIP LCM 35A A1R 144A                    | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2296550.12   | 0.03%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2008-1                                           | COUNTRYWIDE HOME LOANS CWHL 2008 1 A4                   | CUSIP: 12544YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58440 | PA      | $59647.28     | 0.00%             | 2038-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                  | PIKES PEAK CLO PIPK 2018 2A ARR 144A                    | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4205794.99   | 0.05%             | 2034-10-11      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $39359.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ABS MANUFACTURED HOUSING 2001-B                                  | LEHMAN ABS MANUFACTURED HOUSIN LABMH 2001 B M2          | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3570605 | PA      | $3413898.33   | 0.04%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2D            | CUSIP: 61753KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390274 | PA      | $157842.94    | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5567                                                 | FREDDIE MAC FHR 5567 FB                                 | CUSIP: 3137HMEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2180532 | PA      | $2200567.64   | 0.03%             | 2055-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-587705.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/36 1.875                             | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   113497524 | PA      | $112167066.30 | 1.45%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6                          | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A6 2A1         | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1791152 | PA      | $330432.30    | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | 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        |       17979 | PA      | $17651.86     | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $27946.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-80065.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                          | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A              | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149953 | PA      | $19563.88     | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1573.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB         | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141300 | PA      | $121696.29    | 0.00%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM8                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 NQM8 A1 144A     | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5946486 | PA      | $5426493.41   | 0.07%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-15955.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                               | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2198900.09   | 0.03%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZA6946 FR 05/49 FIXED 4               | CUSIP: 31329QWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      234366 | PA      | $224555.34    | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $13638.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      692078 | PA      | $683556.49    | 0.01%             | 2035-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-49924.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II 2007-1                                      | BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1            | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2558628 | PA      | $1196039.93   | 0.02%             | 2047-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME LEAD FUTURE   MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         104 | NC      | $-75937.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                      | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3202060.61   | 0.04%             | 2036-10-14      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-9868.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                      | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2502522.05   | 0.03%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A3        | CUSIP: 92922FWZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      333369 | PA      | $324305.05    | 0.00%             | 2044-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ST PAULS CLO 4A                                                         | ST PAULS CLO SPAUL 4A ARR1 144A                         | CUSIP: ACI217GH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3162601 | PA      | $3650066.46   | 0.05%             | 2030-04-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.8/91282CNB3 MYC                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-812062.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      287930 | PA      | $252821.34    | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LOW SU GASOIL G   SEP26 IFEU 20260910                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           5 | NC      | $140226.60    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9119 | PA      | $8986.92      | 0.00%             | 2030-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $43597.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-1568.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847524 FH 06/33 FLOATING VAR          | CUSIP: 3128JRLD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13837 | PA      | $14117.34     | 0.00%             | 2033-06-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $8145.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-187988.33   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                             | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |     6580000 | NS      | $6599411.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.87880 06/12/23-9Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $160956.47    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 3.466 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-231619.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME LEAD FUTURE   MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -132 | NC      | $552456.27    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-81403.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1        | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143473 | PA      | $137512.20    | 0.00%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847213 FH 01/34 FLOATING VAR          | CUSIP: 3128JRAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22633 | PA      | $23091.42     | 0.00%             | 2034-01-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2551 | NC      | $-8235354.72  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-2788.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.8/912828Y38 MYC                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-673183.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-1                                      | MLCC MORTGAGE INVESTORS INC MLCC 2004 1 2A2             | CUSIP: 59020UNP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74521 | PA      | $70605.43     | 0.00%             | 2034-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1700000 | PA      | $1702326.25   | 0.02%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                           | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37787 | PA      | $37675.69     | 0.00%             | 2042-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-399910.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CORN FUTURE       MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -105 | NC      | $-113172.43   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                           | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A           | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3201600.00   | 0.04%             | 2035-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                           | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       96119 | PA      | $96214.62     | 0.00%             | 2031-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME ZINC FUTURE   JUL26 XLME 20260713                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          53 | NC      | $60749.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK7608 FN 09/48 FIXED 4                       | CUSIP: 3140HMN26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2393562 | PA      | $2294353.73   | 0.03%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1042.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $9648.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $75726.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                         | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                 | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      786341 | PA      | $746837.47    | 0.01%             | 2037-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC 5A                                             | HAYFIN EMERALD CLO HAYEM 5A AR 144A                     | CUSIP: ACI2RYDM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4625337.16   | 0.06%             | 2037-11-17      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 3.78/91282CNB3 BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-432272.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZS4778 FR 07/48 FIXED 4               | CUSIP: 3132A5JX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76623 | PA      | $73426.00     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2        | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147807 | PA      | $128763.47    | 0.00%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.37 06/06/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2586393.47  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $114764.46    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                           | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2163649 | PA      | $2165749.40   | 0.03%             | 2033-04-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $73033.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78501 | PA      | $73557.79     | 0.00%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR          | CUSIP: 3128NHPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6701 | PA      | $6862.92      | 0.00%             | 2036-09-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A       | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      195782 | PA      | $123730.60    | 0.00%             | 2035-11-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN FUTURE    MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          18 | NC      | $55552.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A1          | CUSIP: 05951EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2057636 | PA      | $1790397.84   | 0.02%             | 2047-01-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $3990592.26   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO4                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO4 2A1        | CUSIP: 761118NN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      624809 | PA      | $342906.65    | 0.00%             | 2045-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-95106.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS SA 12A CLAS/ISIT/TIPS          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       | -9598259962 | PA      | $-60512606.76 | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXI DAC 21A                                      | CORDATUS CLO PLC CORDA 21A A1E 144A                     | CUSIP: ACI2RB2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2885679.48   | 0.04%             | 2034-09-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1        | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75300 | PA      | $60180.59     | 0.00%             | 2035-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $97941.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $78093.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SUGAR  11 (WORLD) OCT26 IFUS 20260930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -319 | NC      | $-705362.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $3590.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BJ0639 FN 03/48 FIXED 4                       | CUSIP: 3140H1V98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      867294 | PA      | $831107.22    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59796 | PA      | $57416.48     | 0.00%             | 2034-01-25      | Floating      | 5.71%                 | 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        |       32333 | PA      | $32425.06     | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA3441 FN 08/38 FIXED 4                       | CUSIP: 31418CZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11397 | PA      | $11172.10     | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2383884 | PA      | $2758021.46   | 0.04%             | 2033-08-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE      JUL26 IFUS 20260716                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          36 | NC      | $25827.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27090 | PA      | $25854.55     | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                                         | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2679086 | PA      | $2409354.32   | 0.03%             | 2037-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-A                                      | MLCC MORTGAGE INVESTORS INC MLCC 2005 A A2              | CUSIP: 59020UTC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7307 | PA      | $6317.41      | 0.00%             | 2030-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5           | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      254961 | PA      | $249670.03    | 0.00%             | 2034-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-708368.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                 | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62766 | PA      | $62609.47     | 0.00%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 01/28 VAR                | CUSIP: ACI1HYKW8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      600000 | PA      | $681444.20    | 0.01%             | 2028-01-14      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                               | FANNIE MAE FNR 2025 16 FA                               | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1343850 | PA      | $1354371.75   | 0.02%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1234545 | PA      | $873034.80    | 0.01%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1            | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.27         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1576336 | PA      | $1375586.96   | 0.02%             | 2046-07-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-16335.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62184 | PA      | $59516.17     | 0.00%             | 2035-08-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BJ4340 FN 12/47 FIXED 4                       | CUSIP: 3140H5ZE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      280165 | PA      | $268092.04    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.30000 11/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-11597891.35 | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $23735.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $142037.97    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $34738.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-28461.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4694                                                 | FREDDIE MAC FHR 4694 FA                                 | CUSIP: 3137BYWC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106478 | PA      | $104488.41    | 0.00%             | 2047-06-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -474 | NC      | $-179064.87   | -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        |     4831963 | PA      | $4878987.96   | 0.06%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-14045.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32500 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3037714.34   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                          | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1574760 | PA      | $1461830.74   | 0.02%             | 2036-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-17699.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-29751.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-OP1                                            | ACE SECURITIES CORP. ACE 2003 OP1 M1                    | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      389641 | PA      | $400341.59    | 0.01%             | 2033-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $53275.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                    | GSAMP TRUST GSAMP 2007 FM1 A1                           | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1537397 | PA      | $820674.75    | 0.01%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7507.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3        | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124410 | PA      | $108204.04    | 0.00%             | 2036-06-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $30088.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                      | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M2         | CUSIP: 86359BV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      184126 | PA      | $184178.01    | 0.00%             | 2035-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                     | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2         | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159788 | PA      | $142887.18    | 0.00%             | 2045-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.682 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $609776.20    | 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      | $-75735.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                          | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                  | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7600000 | PA      | $7607758.16   | 0.10%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-288112.44   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-11896.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $81556.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                               | FANNIE MAE FNR 2024 77 DF                               | CUSIP: 3136BTWY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4785240 | PA      | $4830200.70   | 0.06%             | 2053-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-20510.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $126.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/0.4500 03/20/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $463299.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $251311.75    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97523 | PA      | $27044.97     | 0.00%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A2       | CUSIP: 92922F4B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640109 | PA      | $608197.44    | 0.01%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-27451.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-185773.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COTTON NO.2 FUTR  MAY26 IFUS 20260506                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -14 | NC      | $-32215.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR MAY26 XLME 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          60 | NC      | $531814.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZS4772 FR 06/48 FIXED 4               | CUSIP: 3132A5JR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104628 | PA      | $100262.32    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $45534.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PPM CLO LTD 2019-3A                                                     | PPM CLO 3 LTD. PPMC 2019 3A A1R2 144A                   | CUSIP: 69355EAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2302073.29   | 0.03%             | 2034-07-17      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer