# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000524
**Filing Date:** 2025-8
**Character Count:** 670944
**Document Hash:** 44530fb380c5f86dda29a9083b75efc1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000524.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000524

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277432

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

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

## Series and Classes Contracts Data

### PIMCO Total Return Portfolio (Series ID: S000009665)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026489 | Administrative | VPVTRDV         |
| C000026490 | Institutional  | VPVTRIV         |
| C000030985 | Advisor        | VPVTRVV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000009665

- **c. LEI of Series:** WXIJUDZ58N7QM7IEFC20

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8071754113.01

**Total Liabilities:** $3661531906.94

**Net Assets:** $4410222206.07

**Delayed Delivery Securities:** $31492043.91

**Cash Not Reported:** $58968550.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 160317.022300 | **1-Year:** 258855.092100 | **5-Year:** 1245223.936100 | **10-Year:** 381719.698400 | **30-Year:** -24723.409900

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

- **3-Month:** 10193.629000 | **1-Year:** 33879.612000 | **5-Year:** 113183.725400 | **10-Year:** 19245.526900 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026489 | 0.13%                | -0.72%               | 1.75%                |
| Class ID C000030985 | 0.12%                | -0.73%               | 1.74%                |
| Class ID C000026490 | 0.14%                | -0.71%               | 1.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8864369.96             | $4295404.76                                |
| Month 2  | $-13136464.28            | $-33408317.19                              |
| Month 3  | $-1245410.42             | $69364637.69                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ROYALTY PHARMA PLC                                                               | ROYALTY PHARMA PLC COMPANY GUAR 09/25 1.2                  | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2980296.42   | 0.07%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 825707 FN 07/35 FIXED 5.5                        | CUSIP: 31407BKU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $348.61       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4             | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5045151 | PA      | $4722574.43   | 0.11%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255771 FN 07/35 FIXED 6                          | CUSIP: 31371MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1175 | PA      | $1230.15      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5                | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16225363 | PA      | $16233483.04  | 0.37%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $431.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  203700000 | PA      | $203518128.49 | 4.61%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                                   | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000        | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |      16260 | PA      | $18839.22     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 765670 FN 01/34 FIXED 5.5                        | CUSIP: 31404DT32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40690 | PA      | $41492.38     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                   | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   17900000 | PA      | $18602537.05  | 0.42%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/28 VAR                        | CUSIP: 06738ECQ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3729781.08   | 0.08%             | 2028-03-12      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                      | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1140000000 | PA      | $7969669.11   | 0.18%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 2.25                                 | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19000000 | PA      | $13804687.50  | 0.31%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-260340.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                     | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    8800000 | PA      | $9024376.15   | 0.20%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A             | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12587895 | PA      | $10711565.80  | 0.24%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                      | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1560000000 | PA      | $9738178.54   | 0.22%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  209000000 | PA      | $180830699.94 | 4.10%             | 2055-08-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 09/28 1.95            | CUSIP: 36143L2D6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   15400000 | PA      | $14227790.81  | 0.32%             | 2028-09-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | BLUE OWL FINANCE LLC COMPANY GUAR 06/31 3.125              | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7196024.61   | 0.16%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                                     | NEW YORK LIFE GLOBAL FDG SR SECURED 144A 06/27 VAR         | CUSIP: 64953BBY3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4911666.61   | 0.11%             | 2027-06-11      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS LP                                                        | MID AMERICA APARTMENTS SR UNSECURED 03/30 2.75             | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2801894.67   | 0.06%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                                          | DUKE ENERGY CORP DUKE ENERGY CORP                          | CUSIP: ACI2NP7R4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     800000 | PA      | $957429.33    | 0.02%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9381 FN 06/30 FIXED VAR                        | CUSIP: 3138ERM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8618440 | PA      | $8440101.89   | 0.19%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-147278.85   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-INV1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2022 INV1 A2 144A       | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12034841 | PA      | $10240949.27  | 0.23%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1            | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2158 | PA      | $2089.84      | 0.00%             | 2032-09-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1142807.79  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1            | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150989 | PA      | $140860.28    | 0.00%             | 2034-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-18.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GOLDMAN SACHS GROUP INC SNR S* ICE                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $47758.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5490 FR 06/48 FIXED 3.5                | CUSIP: 31329PC35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1170208 | PA      | $1073182.59   | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                      | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1769400000 | PA      | $11288380.04  | 0.26%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A          | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1353716.55   | 0.03%             | 2038-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8D2A2 PIMCO SWAPTION 3.7 CALL USD 20250813             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   59800000 | NC      | $59178.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                      | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    8200000 | PA      | $8334386.03   | 0.19%             | 2028-03-14      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 05/28 8                         | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5350162.05   | 0.12%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 2A3           | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2405077 | PA      | $1092793.35   | 0.02%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/26 5.464          | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    3200000 | PA      | $3216416.58   | 0.07%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8AEA5 PIMCO SWAPTION 3.6 CALL USD 20250805             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  155600000 | NC      | $77597.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1                  | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50447 | PA      | $51003.81     | 0.00%             | 2035-02-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2786.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-95815.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HLDGS PLC SR GLBL 03/30 1                             | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4634884.08   | 0.11%             | 2030-03-04      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91273 FG 10/29 FIXED 4                  | CUSIP: 3128P7MW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45425 | PA      | $45272.33     | 0.00%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RTX CORPORATION                                                                  | RTX CORP RTX CORP                                          | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6520346.43   | 0.15%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H28                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H28 BF             | CUSIP: 38383KLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19097295 | PA      | $19280727.92  | 0.44%             | 2073-12-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745886 FN 04/36 FIXED VAR                        | CUSIP: 31403DUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $243.04       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3885.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9GBA4 PIMCO SWAPTION 2.38 CALL EUR 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-7.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4103.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251204                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-96100.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9GNA1 PIMCO SWAPTION 3.75 CALL USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4100000 | NC      | $-27910.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3              | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $193567.06    | 0.00%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2981 FR 02/26 FIXED 3.5                | CUSIP: 3131X6J27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2072 | PA      | $2061.07      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25P 108.5 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -66 | NC      | $-2062.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91339 FG 10/30 FIXED 4                  | CUSIP: 3128P7PY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10083 | PA      | $10033.12     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $913.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  SEP25 IFLL 20250926                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        150 | NC      | $462731.87    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 3A1          | CUSIP: 12667F2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7157800 | PA      | $5682756.42   | 0.13%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C18                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C18 A4           | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7446000 | PA      | $6923048.06   | 0.16%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-34682.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1720 FN 11/30 FIXED 4.5                        | CUSIP: 31416W4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50148 | PA      | $50121.65     | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20250723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $21492.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-409171.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-3919.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                                | CAPITAL ONE FINANCIAL CO SR UNSECURED 07/26 VAR            | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7499773.95   | 0.17%             | 2026-07-24      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                             | GENERAL MOTORS FINL CO GENERAL MOTORS FINL CO              | CUSIP: 37045XES1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9190982.80   | 0.21%             | 2027-05-08      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75      | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    9200000 | PA      | $9295078.78   | 0.21%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250708                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7026.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 144A 01/26 4.625                 | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    3700000 | PA      | $3701702.96   | 0.08%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2D                      | CUSIP: 00442CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9397406 | PA      | $2119194.02   | 0.05%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                           | CASTLELAKE LP FIRST LIEN TERM LOAN                         | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7110484 | PA      | $6716576.86   | 0.15%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $8416.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-488.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1474.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SANTANDER UK GROUP HLDGS          | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    6375000 | PA      | $6368860.11   | 0.14%             | 2030-09-11      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1214681 | PA      | $11827351.06  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                          | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4926042 | PA      | $4665573.06   | 0.11%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS3                                            | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS3 WMB 144A        | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3037000 | PA      | $2556624.35   | 0.06%             | 2049-10-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6228 FR 04/26 FIXED 3.5                | CUSIP: 3132A64M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        852 | PA      | $846.71       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A      | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5934457 | PA      | $5998032.54   | 0.14%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190367 FN 01/36 FIXED VAR                        | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16170 | PA      | $16697.28     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8D3A1 PIMCO SWAPTION 3.7565 CALL USD 20250             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7000000 | NC      | $-97024.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1            | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433805 | PA      | $345148.11    | 0.01%             | 2046-12-26      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    9136000 | NC      | $47607.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A         | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2453840 | PA      | $2458406.79   | 0.06%             | 2035-12-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A        | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3350000 | PA      | $3350000.00   | 0.08%             | 2035-04-22      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A5          | CUSIP: 46629KAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     934563 | PA      | $701577.55    | 0.02%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-10121.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7047 FR 02/53 FIXED 5                  | CUSIP: 3133BUZL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300220 | PA      | $4230728.29   | 0.10%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679               | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    9400000 | PA      | $8531530.43   | 0.19%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5867.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9FUA5 PIMCO SWAPTION 3.7 CALL USD 20250630             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-4140.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H060689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15700000 | PA      | $15914002.15  | 0.36%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AN1786 GN 07/45 FIXED 3                          | CUSIP: 36185G6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111533 | PA      | $99527.00     | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994126 FN 11/38 FIXED 5.5                        | CUSIP: 31416ALF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1913 | PA      | $1957.22      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                        | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5866 | PA      | $5759.54      | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD5748 FR 02/52 FIXED 2                  | CUSIP: 3133B3L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12217129 | PA      | $9684162.12   | 0.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-81796.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                          | BCAP LLC TRUST BCAP 2007 AA2 12A1                          | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1202049 | PA      | $1148375.08   | 0.03%             | 2047-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 16 3 A PTT PASS THRU CE 04/30 3.25            | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2511147 | PA      | $2356932.60   | 0.05%             | 2030-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-90828.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $182.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-269736.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9350 FN 08/39 FIXED 5                          | CUSIP: 31416TL80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     459214 | PA      | $465314.31    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $39324.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  162800000 | PA      | $159464153.11 | 3.62%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA SR UNSECURED 144A 02/27 VAR       | CUSIP: 74977RDK7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8000000 | PA      | $7825533.04   | 0.18%             | 2027-02-24      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5945.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9O3A6 PIMCO SWAPTION 3.545 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4200000 | NC      | $-15668.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375          | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2508814.56   | 0.06%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255706 FN 05/35 FIXED 5.5                        | CUSIP: 31371MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2043 | PA      | $2107.55      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8402 FR 02/54 FIXED 6                  | CUSIP: 3132DWKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84689 | PA      | $86189.02     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | 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        |          2 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A11           | CUSIP: 762009AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1057190 | PA      | $838905.43    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8221 FR 06/52 FIXED 3.5                | CUSIP: 3132DWD26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     211275 | PA      | $190685.09    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8R1A2 PIMCO SWAPTION 3.515 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -26500000 | NC      | $-50925.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-40530.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-2R                                            | NOMURA RESECURITIZATION TRUST NMRR 2015 2R 3A2 144A        | CUSIP: 65540UAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13028813 | PA      | $11306255.08  | 0.26%             | 2036-11-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3              | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $3079445.56   | 0.07%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 08/25 0.00000                                | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     364000 | PA      | $362087.53    | 0.01%             | 2025-08-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A65652 FG 09/37 FIXED 6                  | CUSIP: 3128KWH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1624 | PA      | $1700.48      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $48821.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1                 | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100394 | PA      | $526282.10    | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9JSA0 PIMCO SWAPTION 4.122 PUT USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-92.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/33 VAR                        | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $5108933.30   | 0.12%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 683351 FN 02/33 FIXED 5.5                        | CUSIP: 31400CEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $424.75       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC6652 FN 12/39 FIXED 4.5                        | CUSIP: 31417TMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92701 | PA      | $92493.01     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | 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        |    6768856 | PA      | $6769475.31   | 0.15%             | 2036-10-16      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-272422.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 2.25             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $17119372.59  | 0.39%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994451 FN 11/38 FIXED 5.5                        | CUSIP: 31416AWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52952 | PA      | $54291.22     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3462 FN 09/33 FIXED 3.5                        | CUSIP: 31418CZ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8413 | PA      | $8286.05      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR              | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1514454.69   | 0.03%             | 2031-07-10      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $38.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255073 FN 02/34 FIXED 5.5                        | CUSIP: 31371LJS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50104 | PA      | $51288.61     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                          | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     715283 | PA      | $679262.43    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST REF MORT 03/48 4.125               | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     950000 | PA      | $690029.64    | 0.02%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 3.125                                | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35700000 | PA      | $28159769.44  | 0.64%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9255 05/08/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-8778.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A          | CUSIP: 92925CCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324385 | PA      | $308931.13    | 0.01%             | 2046-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U88TA4 PIMCO SWAPTION 3.7 CALL USD 20250804             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -24200000 | NC      | $-238154.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-5359.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9LGA8 PIMCO SWAPTION 4.097 PUT USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-503.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928027 FN 01/37 FIXED 6                          | CUSIP: 31412LA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24305 | PA      | $25492.64     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 12/26 6.05                 | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4494038.47   | 0.10%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 01/29 6.25          | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    5898000 | PA      | $6194717.00   | 0.14%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9O7A2 PIMCO SWAPTION 3.525 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-10256.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0156 FN 08/29 FIXED 5                          | CUSIP: 31417YE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9659 | PA      | $9765.20      | 0.00%             | 2029-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                      | CHENIERE ENERGY PARTNERS COMPANY GUAR 01/32 3.25           | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $3677570.85   | 0.08%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 795297 FN 07/44 FLOATING VAR                     | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26092 | PA      | $26335.24     | 0.00%             | 2044-07-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250808                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $33520.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF              | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2910248 | PA      | $2823802.70   | 0.06%             | 2043-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL10 A 144A        | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10166297 | PA      | $10205300.33  | 0.23%             | 2037-09-17      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/27 VAR                 | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16608776.79  | 0.38%             | 2027-04-22      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                           | LEHMAN XS TRUST LXS 2006 8 2A1                             | CUSIP: 52522HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184883 | PA      | $197449.23    | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0268 FN 10/36 FIXED 5.5                        | CUSIP: 31417JJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5563 | PA      | $5726.04      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9L5A0 PIMCO SWAPTION 4.064 PUT USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -4600000 | NC      | $-583.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 06/31 VAR                       | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3905000 | PA      | $3542484.40   | 0.08%             | 2031-06-03      | Floating      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4122 FN 03/52 FIXED 2                          | CUSIP: 3140MHSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16960687 | PA      | $13452078.89  | 0.31%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25             | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1119204.66   | 0.03%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4905985 | PA      | $4647638.39   | 0.11%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6233 GN 12/49 FIXED 4                          | CUSIP: 3617M44S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86654 | PA      | $81940.61     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4              | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $4078931.45   | 0.09%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9011 FN 09/32 FIXED VAR                        | CUSIP: 3140XDAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6416 | PA      | $6323.28      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $252286.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 04/27 VAR                 | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9084996.36   | 0.21%             | 2027-04-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SECURITIES NO 3 PLC                                            | LANDMARK MORTGAGE SECURITIES P LMS 3 A REGS                | CUSIP: ACI0B57H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8532830 | PA      | $11367271.12  | 0.26%             | 2044-04-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                          | DAIMLER TRUCK FINAN NA DAIMLER TRUCK FINAN NA              | CUSIP: 233853AV2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3736831.10   | 0.08%             | 2027-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-169975.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                         | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        290 | PA      | $280.30       | 0.00%             | 2032-01-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $5608.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6395 FN 02/53 FIXED 5                          | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4989612 | PA      | $4916149.94   | 0.11%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $175.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745343 FN 03/36 FIXED VAR                        | CUSIP: 31403DBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $644.39       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0931 FN 01/42 FIXED 5                          | CUSIP: 3138E5A99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54764 | PA      | $54899.02     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1594 FN 01/44 FIXED 5                          | CUSIP: 3138WAXY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45308 | PA      | $45561.96     | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MKA1 PIMCO SWAPTION 3.7 CALL USD 20250721             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-24745.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A76476 FG 04/38 FIXED 6                  | CUSIP: 3128LAFR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25144 | PA      | $25974.01     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3500000 | NC      | $-17544.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                                                    | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                      | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        256 | PA      | $255.85       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1231 FN 11/31 FIXED VAR                        | CUSIP: 3140J5LM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13229 | PA      | $13074.02     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8122 FN 03/28 FIXED 3                          | CUSIP: 3138W6AY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1932 | PA      | $1900.28      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1753370.15  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QSL4 OTC EPUT FN 4.5 JUL25 92.46875 PUT               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2900000 | NC      | $-2.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A            | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        184 | PA      | $2070561.59   | 0.05%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                     | BRISTOL MYERS SQUIBB CO BRISTOL MYERS SQUIBB CO            | CUSIP: 110122EF1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3482085.69   | 0.08%             | 2029-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-46276.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25C 112.7 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -63 | NC      | $-27562.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HLDG S A COMMON STOCK                              | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      14228 | NS      | $291674.00    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C            | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1967761 | PA      | $972820.15    | 0.02%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9GFA0 PIMCO SWAPTION 3.725 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-17038.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $18771.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5247 FN 01/54 FIXED 6                          | CUSIP: 31418EZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210120 | PA      | $213866.74    | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A                 | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4383850 | PA      | $4417678.90   | 0.10%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-297984.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2                 | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312557 | PA      | $134107.29    | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03776 FG 01/38 FIXED 6                  | CUSIP: 3128M5Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1276 | PA      | $1339.84      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 966590 FN 01/38 FIXED 6                          | CUSIP: 31414HKB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2458 | PA      | $2570.63      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1114.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850548 FN 09/36 FIXED 6                          | CUSIP: 31408F5H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15231 | PA      | $15481.68     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1042.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798412 FN 10/34 FIXED 5.5                        | CUSIP: 31405TAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1082 | PA      | $1105.92      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1          | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72288 | PA      | $64137.81     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 2A12          | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1195088 | PA      | $847982.40    | 0.02%             | 2035-10-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $88.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA BPCE SA                                            | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3500000 | PA      | $3602530.61   | 0.08%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9323 FN 08/41 FIXED 5                          | CUSIP: 3138APLD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27585 | PA      | $27807.83     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 08/29 3.75                     | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4096143.79   | 0.09%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR                   | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8000000 | PA      | $8068820.56   | 0.18%             | 2029-03-03      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR                | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1124335.23   | 0.03%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1                | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.12         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902974 FN 12/36 FIXED 6                          | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56294 | PA      | $59045.73     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1206.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9IZA4 PIMCO SWAPTION 4.125 PUT USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3400000 | NC      | $-8.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20250818                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7595.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-20706.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | PROJECT FLASH TERM LOAN 1                                  | CUSIP: BA000KZ61<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | LON              | CORP              | US        |    4000000 | PA      | $4000000.00   | 0.09%             | 2030-04-30      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 01/30 5.565                             | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1100000 | PA      | $1142381.66   | 0.03%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3796.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A81614 FG 09/38 FIXED 6                  | CUSIP: 312927YK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1189 | PA      | $1245.13      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1          | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181395 | PA      | $160043.42    | 0.00%             | 2035-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1567.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.83600 05/02/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-196105.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3849.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806143 FN 12/34 FIXED 5.5                        | CUSIP: 31406CS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4834 | PA      | $4918.29      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-7                                                         | FANNIE MAE FNR 2012 7 QF                                   | CUSIP: 3136A3VW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3143757 | PA      | $3112177.49   | 0.07%             | 2042-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC SR UNSECURED 03/30 5.25                          | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7523902.32   | 0.17%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                                              | SOUTHWESTERN ELEC POWER SR UNSECURED 09/28 4.1             | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    1361000 | PA      | $1349560.54   | 0.03%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $142.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938440 FN 07/37 FIXED 6                          | CUSIP: 31412YBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28883 | PA      | $30294.83     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A16        | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5546099 | PA      | $2157153.54   | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1405 FN 04/52 FIXED VAR                        | CUSIP: 3140XGR35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17425499 | PA      | $15113545.89  | 0.34%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776975 FN 04/34 FIXED 5.5                        | CUSIP: 31404SFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92919 | PA      | $94103.02     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP CHARTER COMM OPT LLC/CAP          | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7600000 | PA      | $7958956.89   | 0.18%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $655358.45    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2666 FN 01/26 FIXED 4                          | CUSIP: 3138A36C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $110.70       | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9IFA6 PIMCO SWAPTION 3.68 CALL USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-6358.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D               | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9847058 | PA      | $4910037.54   | 0.11%             | 2036-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-384145.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9G7A9 PIMCO SWAPTION 3.715 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3600000 | NC      | $-14887.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $48023.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-101059.65   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/31 VAR                        | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   12000000 | PA      | $12209560.56  | 0.28%             | 2031-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A      | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13200000 | PA      | $12217578.12  | 0.28%             | 2042-06-10      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    9200000 | PA      | $9131554.48   | 0.21%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $265.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-15528.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $35267.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5165 FN 10/53 FIXED 5.5                        | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     875203 | PA      | $876634.62    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357705 FN 02/35 FIXED 5.5                        | CUSIP: 31376KKS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        433 | PA      | $446.50       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A         | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9079386 | PA      | $7932572.73   | 0.18%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3410 FN 03/52 FIXED 3                          | CUSIP: 3140QNYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13573056 | PA      | $11773593.81  | 0.27%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                           | CVS HEALTH CORP SR UNSECURED 01/29 5                       | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6600428.64   | 0.15%             | 2029-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-479.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                          | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     200000 | PA      | $204687.13    | 0.00%             | 2029-05-30      | Floating      | 6.88%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-904.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/46 1                                    | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     541496 | PA      | $410670.19    | 0.01%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                                       | PHYSICIANS REALTY LP COMPANY GUAR 03/27 4.3                | CUSIP: 71951QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1546802.27   | 0.04%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20250917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-3105.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A5A             | CUSIP: 12666UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8125465 | PA      | $6798166.12   | 0.15%             | 2046-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3849000 | PA      | $3894124.25   | 0.09%             | 2028-07-22      | Floating      | 4.95%                 | 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        |      21101 | PA      | $20206.30     | 0.00%             | 2035-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $57762.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FC             | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4344339 | PA      | $4357705.09   | 0.10%             | 2066-08-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9898 FR 04/52 FIXED 3                  | CUSIP: 3133B77K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20278266 | PA      | $17585547.61  | 0.40%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A            | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2418201 | PA      | $2472302.92   | 0.06%             | 2041-02-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 09/25 3.25           | CUSIP: ACI1R7WW3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $5779836.90   | 0.13%             | 2025-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782798 GN 11/39 FIXED 6                          | CUSIP: 36241LDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3695 | PA      | $3884.23      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/54 4.625                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19600000 | PA      | $19042625.00  | 0.43%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | CIGNA GROUP/THE CIGNA GROUP/THE                            | CUSIP: 125523CT5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7671342.83   | 0.17%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1570.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS BNP PARIBAS                                    | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8400000 | PA      | $8627796.74   | 0.20%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                      | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625      | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13745106.76  | 0.31%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 10/25 0.00000                 | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  102600000 | PA      | $18215256.45  | 0.41%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-9185.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544860 FN 09/34 FLOATING VAR                     | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9033 | PA      | $8963.49      | 0.00%             | 2034-09-01      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766154 FN 02/34 FIXED 5.5                        | CUSIP: 31404EE36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40948 | PA      | $41148.02     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                   | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 04/64 6         | CUSIP: 268317BB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    3400000 | PA      | $3224108.75   | 0.07%             | 2064-04-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-12147.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9ELA8 PIMCO SWAPTION 2.1 CALL EUR 20250630             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-0.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | PROJECT FLASH TERM LOAN                                    | CUSIP: BA000KZ79<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | LON              | CORP              | US        |    4000000 | PA      | $4000000.00   | 0.09%             | 2030-04-30      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2479 FR 01/47 FIXED 4                  | CUSIP: 3131XVXG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1717067 | PA      | $1627244.59   | 0.04%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4              | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649622 | PA      | $647091.60    | 0.01%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A              | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5010240 | PA      | $4506995.44   | 0.10%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/54 4.25                                 | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13300000 | PA      | $12149757.75  | 0.28%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA             | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2539743 | PA      | $2545282.29   | 0.06%             | 2066-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5                | CUSIP: 3132DWH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4444410 | PA      | $4452254.21   | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 993888 FN 12/38 FIXED 6                          | CUSIP: 31416ACZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56206 | PA      | $57741.89     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256464 FN 09/26 FIXED 4.5                        | CUSIP: 31371MZ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2343 | PA      | $2333.40      | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1          | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1218845 | PA      | $1199648.25   | 0.03%             | 2035-10-25      | Floating      | 5.05%                 | 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        |      18378 | PA      | $18828.72     | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901132 FN 09/36 FIXED 6                          | CUSIP: 31410YED2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        681 | PA      | $706.13       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-375748.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891386 FN 10/35 FIXED 5.5                        | CUSIP: 31410MJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7944 | PA      | $8171.33      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                  | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67702 | PA      | $70129.34     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2483 FN 04/53 FIXED 5                          | CUSIP: 3140NJXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     948466 | PA      | $932698.31    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5                | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87070 | PA      | $87165.18     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | 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        |    2665197 | PA      | $3135231.66   | 0.07%             | 2031-07-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $68179.48     | 0.00%             |  |  |  | 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        |          1 | PA      | $0.13         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/40 0.00000                                       | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $1779218.85   | 0.04%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735022 FN 12/34 FIXED VAR                        | CUSIP: 31402QSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3692 | PA      | $3801.91      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA0653 FN 12/38 FIXED 5                          | CUSIP: 31416HWP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42049 | PA      | $42629.27     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7799.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-370181.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 699537 FN 07/33 FIXED 5.5                        | CUSIP: 31400WEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        764 | PA      | $780.10       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9EJA1 PIMCO SWAPTION 3.727 CALL USD 202506             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4700000 | NC      | $-16542.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3128 FN 04/40 FIXED 5                          | CUSIP: 31418QPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12705 | PA      | $12870.33     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1070.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34894.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2                 | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15626787.20  | 0.35%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25                | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4346107.87   | 0.10%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $112555.55    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                                            | PFIZER INVESTMENT ENTER COMPANY GUAR 05/33 4.75            | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    1700000 | PA      | $1695578.95   | 0.04%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5566.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-10232.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | NATIONAL GRID PLC SR UNSECURED 06/28 5.602                 | CUSIP: 636274AD4<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $3418072.32   | 0.08%             | 2028-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 07/25 0.00000                                | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      30000 | PA      | $29944.87     | 0.00%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                  | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4833 | PA      | $5018.78      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256059 FN 01/36 FIXED 5.5                        | CUSIP: 31371MMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13245 | PA      | $13676.39     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A             | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4372351 | PA      | $4386923.61   | 0.10%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-10606.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1              | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79130 | PA      | $73862.12     | 0.00%             | 2035-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                              | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875               | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   17800000 | PA      | $21394412.32  | 0.49%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.35000 04/29/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-16752.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                         | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A         | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7030470 | PA      | $9671968.01   | 0.22%             | 2053-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 01/28 5.842               | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    4400000 | PA      | $4538459.16   | 0.10%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                                    | GSAA HOME EQUITY TRUST GSAA 2007 9 A2A                     | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8845714 | PA      | $4978816.56   | 0.11%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250725                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4616.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-43938.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1758 FN 09/26 FIXED 3.5                        | CUSIP: 3138AS5U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        990 | PA      | $981.88       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080578 G2 02/32 FLOATING VAR                  | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24453 | PA      | $24798.86     | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1            | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7050940 | PA      | $4244999.57   | 0.10%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                            | GEORGIA POWER CO GEORGIA POWER CO                          | CUSIP: 373334KV2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4058181.68   | 0.09%             | 2027-02-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA             | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1113652 | PA      | $1116556.64   | 0.03%             | 2066-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 777557 FN 05/34 FIXED 5.5                        | CUSIP: 31404SZW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8894 | PA      | $9081.96      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $126833.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725425 FN 04/34 FIXED VAR                        | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     340064 | PA      | $348793.97    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/32 FIXED 3.151    | CUSIP: 88880LAP8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7095000 | PA      | $6321105.78   | 0.14%             | 2032-06-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B          | CUSIP: 59023AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2296929 | PA      | $883963.30    | 0.02%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-374516.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                          | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20978 | PA      | $19838.78     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8601 FN 03/28 FIXED 3                          | CUSIP: 31417FRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9478 | PA      | $9317.99      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5037 FR 03/40 FIXED 2.5                | CUSIP: 3133KYS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     592296 | PA      | $539805.31    | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 720087 FN 07/33 FIXED 5.5                        | CUSIP: 31401V6Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        813 | PA      | $820.40       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 02/29 VAR                      | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6207870.57   | 0.14%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $10335.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9LHA7 PIMCO SWAPTION 3.697 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-20918.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -196 | NC      | $-104125.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9556 FN 07/42 FIXED 4                          | CUSIP: 3138M1TN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3821 | PA      | $3680.55      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 10/30 VAR                      | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9219326.99   | 0.21%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 5.152       | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5885000 | PA      | $5927500.53   | 0.13%             | 2029-09-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250724                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2692.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12581436 | PA      | $12089461.71  | 0.27%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $7904428.72   | 0.18%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -15 | NC      | $-6007.55     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP PACIFICORP                                      | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9436849.22   | 0.21%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                               | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                  | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6934713 | PA      | $6919686.70   | 0.16%             | 2036-10-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                                | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3              | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |    6500000 | PA      | $4978909.02   | 0.11%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3223 FN 03/27 FIXED 3.5                        | CUSIP: 3138WQSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1093 | PA      | $1083.60      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2258 FN 05/53 FIXED 5                          | CUSIP: 3140NJQL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     717463 | PA      | $704773.24    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9GEA1 PIMCO SWAPTION 4.075 PUT USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-3.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1              | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1878645 | PA      | $1663522.01   | 0.04%             | 2047-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2C              | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5661712 | PA      | $2061033.07   | 0.05%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15              | CUSIP: P78024AF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2700000 | PA      | $788400.00    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A           | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     595625 | PA      | $455591.28    | 0.01%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                                   | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71                | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |   13300000 | PA      | $12446381.66  | 0.28%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745516 FN 05/36 FIXED VAR                        | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44437 | PA      | $45886.60     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 943891 FN 07/37 FIXED 6                          | CUSIP: 31413FC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18915 | PA      | $19467.07     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H060671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10200000 | PA      | $10352181.65  | 0.23%             | 2054-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9057 FR 05/53 FIXED 5                  | CUSIP: 3133KRB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16246311 | PA      | $15980650.72  | 0.36%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                    | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   16769468 | PA      | $164273706.72 | 3.72%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $42561.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                     | CUBESMART LP COMPANY GUAR 12/28 2.25                       | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $7644963.32   | 0.17%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250707                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-150279.59   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1            | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     505408 | PA      | $359921.88    | 0.01%             | 2036-01-26      | Floating      | 5.06%                 | 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        |   13724040 | PA      | $7979795.98   | 0.18%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745933 FN 09/36 FIXED VAR                        | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21333 | PA      | $22373.53     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15             | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2377351.27   | 0.05%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45                 | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   28700000 | PA      | $22183637.76  | 0.50%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9J0A0 PIMCO SWAPTION 3.775 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3400000 | NC      | $-30172.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-6948.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8873 FN 07/34 FIXED VAR                        | CUSIP: 3140XC2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13327 | PA      | $13156.99     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3379 FR 06/26 FIXED 3.5                | CUSIP: 3131X6XG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2160 | PA      | $2142.98      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR             | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5818616.29   | 0.13%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S DANSKE BANK A/S                            | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4579179.08   | 0.10%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 1 M1             | CUSIP: 64352VFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6868522 | PA      | $6982940.97   | 0.16%             | 2034-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                            | IVORY COAST SR UNSECURED 144A 10/31 5.875                  | CUSIP: ACI1G4C61<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    6200000 | PA      | $6918921.66   | 0.16%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC NATWEST GROUP PLC                        | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8830942.57   | 0.20%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3614.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 06/28 VAR                 | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15384060.48  | 0.35%             | 2028-06-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                    | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12057 | PA      | $11478.72     | 0.00%             | 2034-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12018.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                     | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10414971 | PA      | $8859346.85   | 0.20%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9LLA2 PIMCO SWAPTION 4.095 PUT USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-693.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6214.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953781 FN 11/37 FIXED 6                          | CUSIP: 31413SCS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23699 | PA      | $24782.20     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $10061.05     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: BP7M6FII1<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      57594 | PA      | $86976.00     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0115 FN 12/35 FIXED VAR                        | CUSIP: 31419ADV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1072.52      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A              | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2259000 | PA      | $3120970.93   | 0.07%             | 2049-12-21      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952645 FN 07/37 FIXED 6                          | CUSIP: 31413QZJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6345 | PA      | $6564.27      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783793 FN 07/34 FIXED 6                          | CUSIP: 31405AXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $536.19       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $56315.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910088 FN 03/37 FIXED 6                          | CUSIP: 31411KCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $591.68       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                       | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/28 1    | CUSIP: ACI0SY7X1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   18519110 | PA      | $22144434.35  | 0.50%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 983471 FN 05/38 FIXED 5.5                        | CUSIP: 31415LQY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6630 | PA      | $6781.77      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 768601 FN 02/34 FIXED 5.5                        | CUSIP: 31404G3J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39008 | PA      | $39552.32     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3101 FN 03/52 FIXED 2                          | CUSIP: 3140MGNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9720819 | PA      | $7705384.09   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3656444.70   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990649 FN 09/38 FIXED 6                          | CUSIP: 31415VQA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     518984 | PA      | $544366.14    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1515 FN 12/30 FIXED 4                          | CUSIP: 3138A2VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23450 | PA      | $23294.31     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/45 3                                    | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27600000 | PA      | $21149578.06  | 0.48%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1875314.46   | 0.04%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-872.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-400251.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829372 FN 06/35 FIXED 6                          | CUSIP: 31407FMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17229 | PA      | $17510.74     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  237900000 | PA      | $221191302.85 | 5.02%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $880.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-12                                                        | JP MORGAN REREMIC JPMRR 2009 12 3A2 144A                   | CUSIP: 46634BBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8116361 | PA      | $5680734.16   | 0.13%             | 2036-05-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255984 FN 11/25 FIXED 4.5                        | CUSIP: 31371MJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $360.61       | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250929                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-79804.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0396 FN 12/35 FIXED VAR                        | CUSIP: 3138EGNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $1020.08      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250709                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3614.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 3A2              | CUSIP: 02660YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11432472 | PA      | $1603034.91   | 0.04%             | 2036-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2595 FR 10/25 FIXED 3.5                | CUSIP: 3131X53C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $406.73       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                                           | INTL FLAVOR + FRAGRANCES SR UNSECURED 144A 10/27 1.832     | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    1276000 | PA      | $1202843.47   | 0.03%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0484 FN 12/38 FIXED VAR                        | CUSIP: 31419ARE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3429 | PA      | $3515.30      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $9455.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $165856.63    | 0.00%             | 2055-07-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8COA0 PIMCO SWAPTION 3.65 CALL USD 2025081             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17400000 | NC      | $13533.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7958.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3              | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     801000 | PA      | $763341.30    | 0.02%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918          | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1313458.55   | 0.03%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8996 FN 08/26 FIXED 3.5                        | CUSIP: 3138AN7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        632 | PA      | $626.48       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889684 FN 08/37 FIXED VAR                        | CUSIP: 31410KM92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3803 | PA      | $3926.89      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 6 A2D            | CUSIP: 69121TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8618017 | PA      | $3784116.02   | 0.09%             | 2037-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9JLA7 PIMCO SWAPTION 3.79 CALL USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-41669.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829307 FN 09/35 FIXED 6                          | CUSIP: 31407FKU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17072 | PA      | $17851.26     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5               | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6757000 | PA      | $6687242.76   | 0.15%             | 2036-03-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 04/09/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-29965.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 10/27 4.3         | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9531194.30   | 0.22%             | 2027-10-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/33 VAR                   | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    7500000 | PA      | $8160474.00   | 0.19%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250729                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6482.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-389414.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 B1              | CUSIP: 576433QG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1601331 | PA      | $1209099.72   | 0.03%             | 2034-08-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828904 FN 04/35 FLOATING VAR                     | CUSIP: 31407E3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98075 | PA      | $99008.11     | 0.00%             | 2035-04-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR                 | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9447585.25   | 0.21%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20250917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-375.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250724                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2681.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10140.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 750548 FN 02/34 FIXED 5.5                        | CUSIP: 31403JZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2529 | PA      | $2595.57      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2             | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12617230 | PA      | $3844549.35   | 0.09%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20250728                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-15.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5                | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186483 | PA      | $192115.41    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05666 FG 04/38 FIXED 6                  | CUSIP: 3128M7TX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14513 | PA      | $15231.79     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC DELAYED DRAW TERM LOAN                      | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     429630 | PA      | $433926.72    | 0.01%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0520 FN 07/41 FIXED VAR                        | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     338507 | PA      | $347069.06    | 0.01%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-33.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 PT             | CUSIP: 38376RYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5465656 | PA      | $5641006.26   | 0.13%             | 2066-09-20      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745418 FN 04/36 FIXED VAR                        | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6871 | PA      | $7094.90      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91263 FG 08/29 FIXED 4                  | CUSIP: 3128P7ML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8128 | PA      | $8100.99      | 0.00%             | 2029-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-6909.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-41264.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766366 FN 02/34 FIXED 5.5                        | CUSIP: 31404EMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4513 | PA      | $4635.81      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5                | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        459 | PA      | $471.00       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-28047.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15              | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   19500000 | PA      | $5694000.00   | 0.13%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| EMORY UNIVERSITY                                                                 | EMORY UNIVERSITY UNSECURED 09/30 2.143                     | CUSIP: 29157TAD8<br>LEI: 95MD72NUUVZ3P8PQ6919 | Long             | DBT              | CORP              | US        |   12700000 | PA      | $11418259.36  | 0.26%             | 2030-09-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255844 FN 09/35 FIXED 6                          | CUSIP: 31371MER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10737 | PA      | $11260.83     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 08/25 0.00000                                | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     284000 | PA      | $282334.91    | 0.01%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 768217 FN 04/34 FIXED 5.5                        | CUSIP: 31404GPA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53254 | PA      | $53735.81     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $30605.74     | 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        |   10250000 | PA      | $10257687.50  | 0.23%             | 2035-07-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A     | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7583621 | PA      | $6800041.40   | 0.15%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-237787.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 02/30 3.05                   | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1991857.96   | 0.05%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ0309 FN 08/41 FIXED 4.5                        | CUSIP: 3138ARKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47207 | PA      | $46484.51     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1005 GN 10/49 FIXED 4                          | CUSIP: 3617LKDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68610 | PA      | $64330.28     | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                       | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A       | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3246544 | PA      | $3249534.49   | 0.07%             | 2030-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9O2A7 PIMCO SWAPTION 3.895 PUT USD 2025072             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4200000 | NC      | $-9393.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A2          | CUSIP: 92925GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3120647 | PA      | $2778477.48   | 0.06%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 04/31 5.45                            | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2372362.00   | 0.05%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-35242.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  209858963 | PA      | $181623077.50 | 4.12%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25P 109 EXP 07/25/2025                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -128 | NC      | $-4000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 727051 FN 09/33 FIXED 5.5                        | CUSIP: 31402EWL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $234.57       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $107042.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-626272.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9N2A9 PIMCO SWAPTION 3.564 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-11827.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357944 FN 09/35 FIXED 6                          | CUSIP: 31376KS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7906 | PA      | $8266.26      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1766320.58  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942569 FN 08/37 FIXED 6                          | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2163 | PA      | $2252.18      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP MIZUHO FINANCIAL GROUP              | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    9300000 | PA      | $9571228.92   | 0.22%             | 2030-07-10      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $13121.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL OPTION  AUG25C 118.5 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -23 | NC      | $-2980.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ABU DHABI NATIONAL ENERGY COMPANY PJSC (TAQA)                                    | ABU DHABI NATIONAL ENERG SR UNSECURED 144A 10/31 4.375     | CUSIP: 00388WAQ4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    7000000 | PA      | $6895952.00   | 0.16%             | 2031-10-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                              | DOLP TRUST DOLP 2021 NYC A 144A                            | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20100000 | PA      | $17917144.02  | 0.41%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-58720.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                                | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A               | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     414914 | PA      | $418458.42    | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2023 1 A PTT PASS THRU CE 07/37 5.8             | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8693357 | PA      | $8898284.27   | 0.20%             | 2037-07-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $601.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG44 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $78586.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250708                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-236.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 339016 FN 11/35 FLOATING VAR                     | CUSIP: 31375MSD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3265 | PA      | $3230.53      | 0.00%             | 2035-11-01      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255814 FN 08/35 FIXED 5.5                        | CUSIP: 31371MDT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36806 | PA      | $38006.33     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | 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        |   18669768 | PA      | $17187373.86  | 0.39%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      63238 | PA      | $95689.70     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH             | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1249286 | PA      | $1255479.27   | 0.03%             | 2066-01-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 08/28 4.8                         | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4066782.40   | 0.09%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6086 FN 03/53 FIXED 5                          | CUSIP: 3140NAXQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262869 | PA      | $258744.70    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-905.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                             | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A1 144A           | CUSIP: 30227FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3002047 | PA      | $3005826.12   | 0.07%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.25          | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   17000000 | PA      | $14920367.39  | 0.34%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16875.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1            | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375745 | PA      | $346299.73    | 0.01%             | 2034-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745822 FN 09/36 FIXED VAR                        | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6276 | PA      | $6582.98      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940415 FN 06/37 FIXED 6                          | CUSIP: 31413BGY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57944 | PA      | $59564.32     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65471 04/07/25-30Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $89549.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C62771 FG 01/32 FIXED 7.5                | CUSIP: 31287NCG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2007 | PA      | $2061.96      | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR                 | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $8380399.18   | 0.19%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 07/25 1.412            | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1900000 | PA      | $1897405.21   | 0.04%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR               | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $11627673.64  | 0.26%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3           | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1862420 | PA      | $1623741.33   | 0.04%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1          | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     661942 | PA      | $656538.83    | 0.01%             | 2035-05-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5            | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3209635 | PA      | $1912655.53   | 0.04%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 01/27 2.75                | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   13400000 | PA      | $13086100.98  | 0.30%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915635 FN 06/37 FIXED 6                          | CUSIP: 31411VHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2437 | PA      | $2548.13      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25C 112 EXP 07/25/2025                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -66 | NC      | $-49500.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 07/29 VAR                      | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9463268.86   | 0.21%             | 2029-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                   | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/38 6.129       | CUSIP: 39541EAA1<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    2500000 | PA      | $2579516.40   | 0.06%             | 2038-02-23      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                                               | DTE ENERGY CO DTE ENERGY CO                                | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4692300.10   | 0.11%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                    | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54707 | PA      | $24962.33     | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8PVA3 PIMCO SWAPTION 3.36 CALL USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  126200000 | NC      | $2877.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/26 3.875            | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   12100000 | PA      | $12032472.32  | 0.27%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829768 FN 08/35 FIXED 6                          | CUSIP: 31407FZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12402 | PA      | $12604.41     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7802.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11516.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC COMPANY GUAR 144A 02/33 2.6                   | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16900000 | PA      | $14460986.93  | 0.33%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $20735984.50  | 0.47%             | 2054-08-15      | Fixed         | 2.50%                 | 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        |    2436733 | PA      | $2438279.53   | 0.06%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A                 | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46734 | PA      | $46578.88     | 0.00%             | 2040-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250811                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $25791.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0178 FN 05/53 FIXED 5                          | CUSIP: 3140NGFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     309173 | PA      | $305377.85    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 05/35 4.5                            | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   15550000 | PA      | $14824570.11  | 0.34%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $342936.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 04/32 VAR                                 | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   17000000 | PA      | $15238679.30  | 0.35%             | 2032-04-19      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6042 G2 07/49 FIXED 5                       | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385188 | PA      | $385262.44    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4071 FN 06/53 FIXED 5                          | CUSIP: 3140NLQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     523172 | PA      | $515721.50    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1          | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     565752 | PA      | $484503.67    | 0.01%             | 2036-05-25      | Floating      | 4.83%                 | 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        |   49897215 | PA      | $27207523.28  | 0.62%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $54.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9024 GN 03/50 FIXED 4                          | CUSIP: 3617MYAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80720 | PA      | $75688.59     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5468                                                          | FREDDIE MAC FHR 5468 QF                                    | CUSIP: 3137HHBP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8374556 | PA      | $8320240.68   | 0.19%             | 2054-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9N4A7 PIMCO SWAPTION 3.555 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-11542.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R1 1A1 144A            | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4616980 | PA      | $4037300.83   | 0.09%             | 2037-12-26      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775474 FN 05/34 FIXED 5.5                        | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10459 | PA      | $10755.01     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64159 04/07/25-30Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $187954.23    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $56101.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $26786.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/48 3.375                                | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17700000 | PA      | $14007199.26  | 0.32%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7          | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   59100000 | PA      | $18204468.31  | 0.41%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3          | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126435 | PA      | $112232.70    | 0.00%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 04/32 4.2             | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $15165471.84  | 0.34%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5                  | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5538911 | PA      | $5450102.73   | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 03/19/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-55906.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                              | WELLS FARGO BANK NA SR UNSECURED 12/26 VAR                 | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    9100000 | PA      | $9172775.52   | 0.21%             | 2026-12-11      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                     | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14998500 | PA      | $13665342.88  | 0.31%             | 2055-06-20      | Fixed         | 3.50%                 | 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        |     270594 | PA      | $259202.15    | 0.01%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/18/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $603833.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/55 2.375                                | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3151212 | PA      | $3049292.57   | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | 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        |          1 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/28 1.902          | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   17000000 | PA      | $15785370.91  | 0.36%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5                | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92022 | PA      | $94726.05     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                             | SALES TAX SECURITIZATION CORP STSGEN 01/33 FIXED 3.007     | CUSIP: 79467BDG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1788000.60   | 0.04%             | 2033-01-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5190 FN 11/53 FIXED 5.5                        | CUSIP: 31418EXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1787343 | PA      | $1790267.16   | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8RKA1 PIMCO SWAPTION 3.5 CALL USD 20250721             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  249700000 | NC      | $35057.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ2 A4 144A       | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10896988 | PA      | $8894070.59   | 0.20%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.54841 06/13/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1320019.54  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6378 FR 01/26 FIXED 3.5                | CUSIP: 3132A7CP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $363.41       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1180.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT SEP25 XCBT 20250919                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -870 | NC      | $-1922529.72  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA7022 FN 06/39 FIXED 4.5                        | CUSIP: 31416QYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42493 | PA      | $42376.27     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-630632.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28200000 | PA      | $26224905.56  | 0.59%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-43160.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9109 FN 01/34 FIXED VAR                        | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     214709 | PA      | $214883.43    | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06840 FG 05/40 FIXED 6                  | CUSIP: 3128M84Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4187 | PA      | $4349.26      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS JV LLC                                             | CREDIT OPPORTUNITIES PARTNERS 2025A SR UNSECD NT TRANCHE B | CUSIP: 955SEVII3<br>LEI: 5493003CSKFS2RY0JR63 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1819800.00   | 0.04%             | 2030-03-20      | Fixed         | 6.74%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2518.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-1A                                                        | T MOBILE US TRUST TMUST 2024 1A A 144A                     | CUSIP: 87267RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9200000 | PA      | $9275370.08   | 0.21%             | 2029-09-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6241 FN 05/53 FIXED 4.5                        | CUSIP: 3140QR5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2234645 | PA      | $2144997.87   | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-13302.35    | -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        |   27243000 | PA      | $19907401.07  | 0.45%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03620 FG 10/37 FIXED 6.5                | CUSIP: 3128M5K90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1882 | PA      | $1997.52      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1988.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8R0A3 PIMCO SWAPTION 3.45 CALL USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  222500000 | NC      | $18334.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897984 FN 07/36 FIXED 6                          | CUSIP: 31410UUH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        817 | PA      | $834.44       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888086 FN 02/36 FIXED VAR                        | CUSIP: 31410FUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        999 | PA      | $1047.36      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ7187 GN 10/49 FIXED 4                          | CUSIP: 3617LR6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248832 | PA      | $233311.64    | 0.01%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-66470.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257101 FN 02/28 FIXED 5                          | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1710 | PA      | $1718.70      | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $151.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-24.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250707                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $99144.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 2022 41A A1 144A                 | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7008501.57   | 0.16%             | 2035-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                       | ONTARIO (PROVINCE OF) SR UNSECURED 12/34 3.8               | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    7500000 | PA      | $5505101.18   | 0.12%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6201 GN 03/52 FIXED 4                          | CUSIP: 3617YD3J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     692058 | PA      | $646968.20    | 0.01%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QMB2 PIMCO CDSOPT PUT USD 0.9 20250716                | CUSIP: OP0043WK0<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -6700000 | NC      | $-454.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                             | ADNOC MURBAN RSC LTD ADNOC MURBAN RSC LTD                  | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    4200000 | PA      | $4183412.18   | 0.09%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835168 FN 08/35 FIXED 5.5                        | CUSIP: 31407MZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70175 | PA      | $72463.87     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-10364.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-63114.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9LMA1 PIMCO SWAPTION 3.695 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-22937.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-37.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250724                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3381.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26582321.84  | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-A                                                  | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 A 2A1              | CUSIP: 92977TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63546 | PA      | $62157.08     | 0.00%             | 2036-05-20      | Floating      | 6.99%                 | 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        |      45946 | PA      | $44420.95     | 0.00%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1020.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $69284.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 713975 FN 07/33 FIXED 5.5                        | CUSIP: 31401PFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6062 | PA      | $6206.15      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $13635.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172               | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $466895.72    | 0.01%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962062 FN 03/38 FIXED 5                          | CUSIP: 31414CJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39167 | PA      | $39785.98     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 03/28 4.125               | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3527247.71   | 0.08%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN3897 GN 06/49 FIXED 4                          | CUSIP: 3617K7KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47003 | PA      | $44071.54     | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO JPM CHASE                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -339967 | PA      | $-340288.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9501 FN 07/40 FIXED 5                          | CUSIP: 31418XRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1426 | PA      | $1412.68      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-254998.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255411 FN 10/34 FIXED 5.5                        | CUSIP: 31371LVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61759 | PA      | $63260.06     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11690.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H01                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H01 FA             | CUSIP: 38382YQ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8568949 | PA      | $8588245.02   | 0.19%             | 2073-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 05/30 4.65                        | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4946744.24   | 0.11%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2              | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $10739319.36  | 0.24%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1821 FN 12/28 FIXED 3.5                        | CUSIP: 3138XDAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3629 | PA      | $3588.27      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX SA COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       4828 | NS      | $98974.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DRYDEN XXVI SENIOR LOAN FUND 2013-26A                                            | DRYDEN SENIOR LOAN FUND DRSLF 2013 26A AR 144A             | CUSIP: 26250UAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2513140 | PA      | $2514558.46   | 0.06%             | 2029-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION LLC                                           | VIRGINIA POWER FUEL SEC SR SECURED 05/33 4.877             | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9356936.08   | 0.21%             | 2033-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-32T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 32T1 A3          | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2196677 | PA      | $1169997.77   | 0.03%             | 2035-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                          | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1          | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3297979 | PA      | $3017558.99   | 0.07%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-172033.99   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/28 VAR                | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9122626.80   | 0.21%             | 2028-01-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/49 2.25                                 | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34000000 | PA      | $21338984.46  | 0.48%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1490 FN 09/30 FIXED 4.5                        | CUSIP: 31416WUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1030 | PA      | $1032.75      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                  | BAE SYSTEMS PLC SR UNSECURED 144A 02/31 1.9                | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5300000 | PA      | $4607806.43   | 0.10%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250701                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $21296.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3302 FR 06/26 FIXED 3.5                | CUSIP: 3131X6U32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5055 | PA      | $5009.74      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $304.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45             | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3137227.34   | 0.07%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR          | CUSIP: ACI1M15X9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $5871410.28   | 0.13%             | 2030-05-04      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786223 FH 01/28 FLOATING VAR             | CUSIP: 31348S4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.02        | 0.00%             | 2028-01-01      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9GAA5 PIMCO SWAPTION 2.64 PUT EUR 20250703             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-1726.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2190 FN 06/52 FIXED VAR                        | CUSIP: 3140XHNG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1274808 | PA      | $1198391.40   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP AVIATION CAPITAL GROUP              | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3464242.42   | 0.08%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 7A1            | CUSIP: 863579C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3804238 | PA      | $2463554.55   | 0.06%             | 2035-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                        | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15             | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8203952.65   | 0.19%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823767 FN 05/35 FIXED 6                          | CUSIP: 31406YFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5148 | PA      | $5286.32      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU9223 FN 09/28 FIXED 3                          | CUSIP: 3138X9G94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5462 | PA      | $5343.08      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5              | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5028107 | PA      | $4553131.29   | 0.10%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $31515.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $204413.79    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3833 FN 08/43 FIXED 4.5                        | CUSIP: 3138X3HK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1025 | PA      | $1018.62      | 0.00%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883947 FN 06/36 FIXED 6                          | CUSIP: 31410BBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1308 | PA      | $1354.14      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875          | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  216700000 | PA      | $11429911.35  | 0.26%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $10665.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COMPANIES INC                                                   | MARSH + MCLENNAN COS INC SR UNSECURED 03/30 4.65           | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4249304.68   | 0.10%             | 2030-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-15500.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                    | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3186775 | PA      | $2314446.62   | 0.05%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $18573.89     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                 | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2160400000 | PA      | $1142917.11   | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 935536 FN 08/39 FIXED 4.5                        | CUSIP: 31412UY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13601 | PA      | $13463.32     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FC                                    | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161828 | PA      | $161901.13    | 0.00%             | 2037-05-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2D                  | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2299243 | PA      | $704455.08    | 0.02%             | 2036-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941448 FN 07/37 FIXED 6                          | CUSIP: 31413CL56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2057 | PA      | $2132.45      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT SEP25 XMOD 20250918                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        427 | NC      | $331045.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375          | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    2100000 | PA      | $1618979.53   | 0.04%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250708                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4343.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3022 FR 02/26 FIXED 3.5                | CUSIP: 3131X6LB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1861 | PA      | $1847.97      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0101 FN 11/30 FIXED 4                          | CUSIP: 3138A1DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4072 | PA      | $4045.39      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 6A1                 | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289185 | PA      | $286856.35    | 0.01%             | 2034-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702916 FN 05/33 FIXED 5.5                        | CUSIP: 31401A3Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $769.01       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1           | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        192 | PA      | $200.19       | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-951.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-6323.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                                     | NEW YORK LIFE GLOBAL FDG SECURED 144A 01/26 VAR            | CUSIP: 64953BBK3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7314806.81   | 0.17%             | 2026-01-16      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6722 FN 11/30 FIXED VAR                        | CUSIP: 3138EPPG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $383.35       | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936805 FN 06/37 FIXED 6                          | CUSIP: 31412WGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11616 | PA      | $11954.78     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                                 | CUSIP: 21H020675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15300000 | PA      | $12464433.41  | 0.28%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-23617.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                             | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P A 144A       | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17400000 | PA      | $16384351.55  | 0.37%             | 2039-09-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2121012.60   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | ROYAL BANK OF CANADA ROYAL BANK OF CANADA                  | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    7200000 | PA      | $7272756.07   | 0.16%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-456547.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1            | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157921 | PA      | $156843.61    | 0.00%             | 2035-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735635 FN 06/35 FIXED VAR                        | CUSIP: 31402RHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29154 | PA      | $30010.98     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0958 FN 10/26 FIXED VAR                        | CUSIP: 3138EHB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179062 | PA      | $178085.75    | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2952.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735227 FN 02/35 FIXED VAR                        | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138716 | PA      | $142893.88    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905896 FN 12/36 FIXED 5.5                        | CUSIP: 31411ENM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1025 | PA      | $1044.29      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A68998 FG 11/37 FIXED 6                  | CUSIP: 3128L07K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19502 | PA      | $20479.93     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2808 FR 12/25 FIXED 3.5                | CUSIP: 3131X6DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4853 | PA      | $4830.07      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828351 FN 07/35 FIXED 5.5                        | CUSIP: 31407EH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3827 | PA      | $3940.00      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.75000 06/15/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $325630.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                     | BRISTOL MYERS SQUIBB CO BRISTOL MYERS SQUIBB CO            | CUSIP: 110122EE4<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5775103.71   | 0.13%             | 2027-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.75000 12/20/28-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $1047.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                                  | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95              | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11074899.48  | 0.25%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-16138.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A              | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1179000 | PA      | $1616897.45   | 0.04%             | 2049-12-21      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR                  | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $279.46       | 0.00%             | 2030-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4             | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5769224 | PA      | $5726469.82   | 0.13%             | 2035-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008847 G2 04/26 FLOATING VAR                  | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        852 | PA      | $850.82       | 0.00%             | 2026-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20250729                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-3361.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965309 FN 10/38 FIXED 6                          | CUSIP: 31414F3S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1388 | PA      | $1445.28      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A3           | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4733750 | PA      | $1734987.01   | 0.04%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG          | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $48000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CITIGROUP REPO REPO                     5807               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   24100000 | PA      | $24100000.00  | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75            | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9611582.54   | 0.22%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820266 FN 07/35 FIXED 5.5                        | CUSIP: 31406UJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23281 | PA      | $24040.35     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $179778.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1927 FN 01/39 FIXED 5                          | CUSIP: 31416KD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1004 | PA      | $1016.73      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45           | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    6450000 | PA      | $6286003.59   | 0.14%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 07/29 4.5            | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4492948.59   | 0.10%             | 2029-07-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                       | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100792 | PA      | $100568.55    | 0.00%             | 2044-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B              | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     421473 | PA      | $297168.82    | 0.01%             | 2037-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.25000 12/21/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $56873.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2A                      | CUSIP: 00443PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1795053 | PA      | $936612.16    | 0.02%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A56718 FG 01/37 FIXED 6                  | CUSIP: 3128KKPB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     569980 | PA      | $598539.35    | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL EDISON INTERNATIONAL                  | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    9400000 | PA      | $9301263.72   | 0.21%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7916.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256436 FN 10/36 FIXED 6                          | CUSIP: 31371MY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36392 | PA      | $38169.51     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5405 FN 10/52 FIXED 4.5                        | CUSIP: 3140QRAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524545 | PA      | $502999.62    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB             | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3985615 | PA      | $4044144.21   | 0.09%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831149 FN 12/35 FIXED 6                          | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6387 | PA      | $6669.08      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $19686.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4                             | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 4 A2C            | CUSIP: 69121QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17547705 | PA      | $14346563.15  | 0.33%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A4             | CUSIP: 17307GRE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109046 | PA      | $105009.64    | 0.00%             | 2035-05-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3                                    | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $1917187.49   | 0.04%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1             | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11212 | PA      | $10695.53     | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3                 | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4452057 | PA      | $4296266.22   | 0.10%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.32 05/08/25-01/02/29 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $16109.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | PARAMOUNT GLOBAL SR UNSECURED 06/28 3.7                    | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1165140.65   | 0.03%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/26 2.75                          | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $15325732.11  | 0.35%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1938.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1            | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75707 | PA      | $72742.71     | 0.00%             | 2034-01-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $638.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-60.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  SEP25 XEUR 20250908                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -157 | NC      | $174882.42    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0818 FN 08/31 FIXED 4                          | CUSIP: 31417Y4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11206 | PA      | $11129.28     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3851 FN 04/48 FIXED 4                          | CUSIP: 3140HHH57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238832 | PA      | $225795.97    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA              | CUSIP: 61690U7W4<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5821531.07   | 0.13%             | 2026-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY EVERSOURCE ENERGY                        | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $7000200.54   | 0.16%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5N3 PIMCO FXVAN PUT EUR USD 1.11000000               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4283000 | NC      | $12320.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A              | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     674000 | PA      | $912583.63    | 0.02%             | 2049-12-21      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $76200.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 01/29 4.85                   | CUSIP: 87264ADE2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5475000 | PA      | $5552476.12   | 0.13%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-5486.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4298 FN 03/29 FIXED 4.5                        | CUSIP: 31416MX41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60493 | PA      | $60615.98     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9EIA2 PIMCO SWAPTION 4.127 PUT USD 2025063             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4700000 | NC      | $-0.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254393 FN 06/32 FIXED 7                          | CUSIP: 31371KRN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27915 | PA      | $29023.33     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 12A5           | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155046 | PA      | $138946.25    | 0.00%             | 2034-04-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                           | IPALCO ENTERPRISES INC SR SECURED 05/30 4.25               | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1056767.83   | 0.02%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800006 FN 11/34 FIXED 5.5                        | CUSIP: 31405UYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4368 | PA      | $4433.64      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                                 | FREDDIE MAC FHR 4790 F                                     | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3910881 | PA      | $3835315.04   | 0.09%             | 2043-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A5           | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     618869 | PA      | $563739.82    | 0.01%             | 2036-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE SR UNSECURED 144A 01/27 VAR               | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    6100000 | PA      | $6155623.58   | 0.14%             | 2027-01-12      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-130098.82   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1                 | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281353 | PA      | $268794.04    | 0.01%             | 2035-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MQA5 PIMCO SWAPTION 3.583 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-6973.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      43458 | NS      | $890889.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95              | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   22241000 | PA      | $6826872.60   | 0.15%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                        | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70777 | PA      | $69320.35     | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2843.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/36 3.187                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     700000 | PA      | $580583.67    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-9163.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6558.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888222 FN 02/37 FIXED VAR                        | CUSIP: 31410FYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179202 | PA      | $187944.81    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-47914.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-111000.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                              | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4595148.14   | 0.10%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10432.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                                        | FANNIE MAE FNR 2015 58 AI                                  | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3288619 | PA      | $185066.04    | 0.00%             | 2055-08-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04621 FG 05/35 FIXED 6                  | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5958 | PA      | $6132.69      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-27869.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP (BNY MELLON)                                        | BANK OF NY MELLON CORP BANK OF NY MELLON CORP              | CUSIP: 06406RBV8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9421668.85   | 0.21%             | 2030-03-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1141385.80   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MJA3 PIMCO SWAPTION 4.05 PUT USD 20250721             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-1441.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831811 FN 09/36 FIXED 6                          | CUSIP: 31407JDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4334 | PA      | $4545.62      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $50952.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP          | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    6700000 | PA      | $6769225.87   | 0.15%             | 2029-07-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9JRA1 PIMCO SWAPTION 4.12 PUT USD 20250709             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-50.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A11                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A11 1A1           | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795811 | PA      | $461942.15    | 0.01%             | 2035-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR                   | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4600000 | PA      | $4923512.20   | 0.11%             | 2034-03-09      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1569.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5                | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14115 | PA      | $14306.86     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 03/04/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-102596.30   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1013 FN 01/37 FIXED VAR                        | CUSIP: 3138EHDT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4049 | PA      | $4151.44      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890836 FN 11/27 FIXED VAR                        | CUSIP: 31410LV58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     288324 | PA      | $286687.67    | 0.01%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 08/25 4.125       | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   14600000 | PA      | $14587246.75  | 0.33%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-316138.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0578 FN 08/26 FIXED VAR                        | CUSIP: 3138EGUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3411 | PA      | $3389.32      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | 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        |    4312747 | PA      | $4315754.15   | 0.10%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYSTEMS EUROPE BV                                               | AMERICAN MEDICAL SYST EU COMPANY GUAR 03/29 3.375          | CUSIP: ACI2N0SQ8<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |    6300000 | PA      | $7588879.91   | 0.17%             | 2029-03-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-2148.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080045 G2 02/27 FLOATING VAR                  | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $78.69        | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250807                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6831.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/28 2.1        | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   14200000 | PA      | $13107841.93  | 0.30%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR               | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7161109.20   | 0.16%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942283 FN 08/37 FIXED 6                          | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2384 | PA      | $2500.05      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25               | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2286011.21   | 0.05%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                    | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15163096 | PA      | $4083969.26   | 0.09%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735224 FN 02/35 FIXED VAR                        | CUSIP: 31402QYV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43385 | PA      | $44525.62     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                     | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    1100000 | PA      | $1069750.00   | 0.02%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250709                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $10337.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5080.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BZ2346 FN 11/29 FIXED 4.3                        | CUSIP: 3140NWTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1508271.29   | 0.03%             | 2029-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                         | GENERAL ELECTRIC CO SR UNSECURED 05/26 VAR                 | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    3771000 | PA      | $3772275.39   | 0.09%             | 2026-05-05      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A             | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     870497 | PA      | $715878.82    | 0.02%             | 2035-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 08/34 4                             | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   10201016 | PA      | $505802.32    | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/55 4.625                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24300000 | PA      | $23662125.00  | 0.54%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $5204.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3083 FN 02/52 FIXED 2                          | CUSIP: 3140MGM99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7254426 | PA      | $5753708.57   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9GMA2 PIMCO SWAPTION 4.1 PUT USD 20250703              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4100000 | NC      | $-2.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889176 FN 03/38 FIXED VAR                        | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186341 | PA      | $191282.01    | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97500 03/21/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-96974.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1217.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A80388 FG 12/36 FIXED 6                  | CUSIP: 312926ND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9381 | PA      | $9820.70      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 10/61 0.5                   | CUSIP: BMBL1DII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1700000 | PA      | $609278.01    | 0.01%             | 2061-10-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-6                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 6 A2B            | CUSIP: 69121TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1752623 | PA      | $769606.03    | 0.02%             | 2037-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0534 FN 10/30 FIXED 4                          | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73227 | PA      | $72775.61     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A      | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6800000 | PA      | $7239271.84   | 0.16%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A3            | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33035306 | PA      | $9665278.17   | 0.22%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9JTA9 PIMCO SWAPTION 3.772 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-31428.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 827898 FN 07/35 FIXED 6                          | CUSIP: 31407DX34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10974 | PA      | $11226.60     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3122 FN 03/52 FIXED 3                          | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31651530 | PA      | $27458779.50  | 0.62%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $25382.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES UNITED MEXICAN STATES                | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2700000 | PA      | $2671380.00   | 0.06%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/18/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1343393.60   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $23139.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 GF             | CUSIP: 38382YY64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9571335 | PA      | $9627477.22   | 0.22%             | 2073-02-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-266869.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3482 FR 08/26 FIXED 3.5                | CUSIP: 3131X62P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1052 | PA      | $1043.18      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 09/29 VAR                | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9897963.55   | 0.22%             | 2029-09-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                 | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2162300000 | PA      | $1144523.14   | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/49 2.375                                | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $643476.56    | 0.01%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1            | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     604256 | PA      | $578177.04    | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |     128056 | NS      | $2625148.00   | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1562 GN 07/49 FIXED 4                          | CUSIP: 3617KGWX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5836 | PA      | $5472.14      | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                        | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     413803 | PA      | $392157.72    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | 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        |   14423070 | PA      | $13210691.11  | 0.30%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250708                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $14004.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1629 GN 07/49 FIXED 4                          | CUSIP: 3617KGY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23498 | PA      | $22062.66     | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $804.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B         | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     955708 | PA      | $980962.66    | 0.02%             | 2046-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                                              | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15              | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    3100000 | PA      | $2348312.34   | 0.05%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $23597.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/48 3.125                                | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3500000 | PA      | $2656582.04   | 0.06%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3918 FN 06/52 FIXED 4.5                        | CUSIP: 3140QPK89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305507 | PA      | $293056.08    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/41 3.75                                 | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27700000 | PA      | $24825043.04  | 0.56%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/50 2                                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19100000 | PA      | $11222742.09  | 0.25%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-107965.02   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3321 FN 03/28 FIXED 3.5                        | CUSIP: 31418CVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5436 | PA      | $5384.32      | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 03/27 3.75                  | CUSIP: BPSNB4II5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   45000000 | PA      | $61699436.39  | 1.40%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0915 FN 12/38 FIXED VAR                        | CUSIP: 31418NAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48523 | PA      | $49769.61     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                                | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A            | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3258050 | PA      | $3296128.12   | 0.07%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-185.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-214281.67   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/35 5.7              | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1883984.39   | 0.04%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC ALLY FINANCIAL INC                      | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8449628.40   | 0.19%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893589 FN 09/36 FIXED 6                          | CUSIP: 31410PXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2857 | PA      | $2955.96      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 03/27 2.8               | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    8000000 | PA      | $7815005.92   | 0.18%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3507179 | PA      | $1744015.84   | 0.04%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13680000 | PA      | $13627445.54  | 0.31%             | 2038-05-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/48 3                                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9900000 | PA      | $7358871.07   | 0.17%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                  | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     500000 | PA      | $531352.41    | 0.01%             | 2053-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 3.375                                | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10100000 | PA      | $8310800.76   | 0.19%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/29 3.25                 | CUSIP: 756109AW4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     900000 | PA      | $863988.52    | 0.02%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $163.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250724                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4804.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889274 FN 12/35 FIXED VAR                        | CUSIP: 31410G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171327 | PA      | $176914.95    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/43 3.875                                | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4300000 | PA      | $3842117.17   | 0.09%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2118900.43  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4                | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5900000 | PA      | $5767389.24   | 0.13%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC                                   | READYCAP COMMERCIAL MORTGAGE T RCMT 2023 FL11 A 144A       | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4055763 | PA      | $4055809.90   | 0.09%             | 2039-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7253.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0793 FN 10/39 FIXED 4.5                        | CUSIP: 31417J3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60422 | PA      | $60224.95     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U88WA0 PIMCO SWAPTION 3.7075 CALL USD 20250             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -14600000 | NC      | $-148543.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -15 | NC      | $-2473.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A      | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2215500 | PA      | $2138525.61   | 0.05%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4918 FN 02/53 FIXED 5                          | CUSIP: 31418EPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5932047 | PA      | $5836935.01   | 0.13%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-3105.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798675 FN 11/34 FIXED 5.5                        | CUSIP: 31405TJU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3535 | PA      | $3613.65      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A          | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1320589 | PA      | $671642.86    | 0.02%             | 2035-12-19      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA              | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3677506.96   | 0.08%             | 2028-05-26      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3789 FN 11/43 FIXED 5                          | CUSIP: 3138XFF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        822 | PA      | $824.08       | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17289.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 12/34 FIXED 5.048    | CUSIP: 54627RAS9<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    6900000 | PA      | $7060634.07   | 0.16%             | 2034-12-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A            | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2583078 | PA      | $2675412.00   | 0.06%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2584 FR 12/25 FIXED 3.5                | CUSIP: 31329K2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1076 | PA      | $1070.64      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-974.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                                    | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                     | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5542924 | PA      | $1995241.38   | 0.05%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                     | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 10/31 4.375     | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    6800000 | PA      | $6708724.28   | 0.15%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                         | FANNIEMAE ACES FNA 2020 M33 X2                             | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14960303 | PA      | $868298.97    | 0.02%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080428 G2 07/30 FLOATING VAR                  | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $436.32       | 0.00%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9FPA1 PIMCO SWAPTION 3.677 CALL USD 202506             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-0.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5         | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2595658.78   | 0.06%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257238 FN 06/28 FIXED 5                          | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1938 | PA      | $1947.05      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1945.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891157 FN 05/36 FIXED 6                          | CUSIP: 31410MB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251222 | PA      | $262689.68    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555417 FN 05/33 FIXED VAR                        | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $223.65       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $673.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                               | FANNIE MAE FNR 2007 73 A1                                  | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135184 | PA      | $132798.66    | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   16600000 | PA      | $15240471.79  | 0.35%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                        | COREBRIDGE GLOB FUNDING COREBRIDGE GLOB FUNDING            | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1007474.44   | 0.02%             | 2027-08-20      | Fixed         | 4.65%                 | 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        |    6000186 | PA      | $7048915.38   | 0.16%             | 2031-12-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6189 GN 03/52 FIXED 4                          | CUSIP: 3617YD2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     818378 | PA      | $767322.08    | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3604 FN 05/48 FIXED 4                          | CUSIP: 3140FBAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     456248 | PA      | $428550.65    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-454.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A              | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     674000 | PA      | $920169.99    | 0.02%             | 2049-12-21      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2668 FN 09/47 FIXED 3.5                        | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25076 | PA      | $22915.79     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 10/30 3                          | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1609498.85   | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   24426000 | NC      | $69370.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING COMPANY LLC                                         | COLUMBIA PIPELINES OPCO SR UNSECURED 144A 08/30 5.927      | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3274255.46   | 0.07%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-1025507.37  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H19 FK             | CUSIP: 38376RGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2513338 | PA      | $2513038.29   | 0.06%             | 2065-08-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                         | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5704011.49   | 0.13%             | 2034-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735894 FN 09/35 FIXED VAR                        | CUSIP: 31402RRP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $785.08       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B         | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4999697 | PA      | $4859744.31   | 0.11%             | 2046-09-25      | Floating      | 4.81%                 | 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        |    1510712 | PA      | $1197688.70   | 0.03%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $904.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANK PLC                                                                  | LLOYDS BANK PLC SR UNSECURED REGS 04/32 VAR                | CUSIP: ACI14DZD4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |   14200000 | PA      | $10307982.35  | 0.23%             | 2032-04-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995938 FN 01/39 FIXED VAR                        | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11964 | PA      | $12548.41     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 713974 FN 07/33 FIXED 5.5                        | CUSIP: 31401PFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7747 | PA      | $7820.26      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | VENTAS REALTY LP COMPANY GUAR 10/26 3.25                   | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4037207.97   | 0.09%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832446 FN 08/35 FLOATING VAR                     | CUSIP: 31407JZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89671 | PA      | $90855.91     | 0.00%             | 2035-08-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA BONDS REGS 05/30 3.624                             | CUSIP: ACI1MJRS7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   14000000 | PA      | $15685213.89  | 0.36%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9N3A8 PIMCO SWAPTION 3.905 PUT USD 2025072             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-5910.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                   | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368641 | PA      | $354530.12    | 0.01%             | 2035-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/45 2.5                                  | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9800000 | PA      | $6902109.42   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3038000 | PA      | $-3040227.87  | -0.07%            |  |  |  | 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        |   88224675 | PA      | $88075889.38  | 2.00%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6685.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 1A1A          | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3875779 | PA      | $3862559.91   | 0.09%             | 2045-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-5279.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8CPA9 PIMCO SWAPTION 3.739 CALL USD 202508             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-25636.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1006522.54  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR35                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR35 2A1A         | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1084032 | PA      | $971848.01    | 0.02%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-151194.42   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953725 FN 11/37 FIXED 6                          | CUSIP: 31413SA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        331 | PA      | $346.42       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A1          | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3334153 | PA      | $1389665.03   | 0.03%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-676.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LTD                                                             | LFT CRE LLC LMNT 2021 FL1 A 144A                           | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5220882 | PA      | $5221469.48   | 0.12%             | 2039-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2          | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390354 | PA      | $378019.92    | 0.01%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOFTBANK GROUP CORP SNR JP SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-10919.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA            | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2532073.37   | 0.06%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  SEP25 XEUR 20250908                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $623.18       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A3                | CUSIP: 61755CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6307505 | PA      | $5687983.72   | 0.13%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA/NEW YORK BRANCH                                           | GOLDMAN SACHS BANK USA SR UNSECURED 03/27 VAR              | CUSIP: 38151LAE0<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7720555.38   | 0.18%             | 2027-03-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                     | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1931047 | PA      | $1886132.80   | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $13767.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $832.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON SOUTHERN CAL EDISON                    | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9297088.98   | 0.21%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 02/31 3.375          | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10987094.52  | 0.25%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                            | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                     | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    7947075 | PA      | $7937146.28   | 0.18%             | 2037-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834558 FN 09/35 FLOATING VAR                     | CUSIP: 31407ME76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9635 | PA      | $9838.58      | 0.00%             | 2035-09-01      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/20/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8229759.59   | 0.19%             |  |  |  | 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        |     337733 | PA      | $193956.46    | 0.00%             | 2035-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2023-2                                                   | BMW VEHICLE LEASE TRUST BMWLT 2023 2 A3                    | CUSIP: 055979AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2882890 | PA      | $2893297.53   | 0.07%             | 2026-09-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-17712.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FB                                    | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2403432 | PA      | $2367891.41   | 0.05%             | 2040-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/47 2.75                                 | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3800000 | PA      | $2710171.86   | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $119417.38    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERA COMMERCIAL MORTGAGE 2021-FL1                                                | HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A          | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2470842 | PA      | $2472197.59   | 0.06%             | 2038-02-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250929                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-89247.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2827 FR 12/25 FIXED 3.5                | CUSIP: 3131X6D80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2552 | PA      | $2538.85      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                                 | FREDDIE MAC FHR 2241 PH                                    | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        815 | PA      | $850.76       | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928490 FN 06/37 FIXED 6                          | CUSIP: 31412LRK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4680 | PA      | $4894.14      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                                              | MFRA TRUST MFRA 2020 NQM1 A1 144A                          | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1742975 | PA      | $1685842.40   | 0.04%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25       | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4687342.15   | 0.11%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A           | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89954 | PA      | $83162.63     | 0.00%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                      | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14400000 | PA      | $12246631.20  | 0.28%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-67141.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $8070.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6220 FN 05/53 FIXED 4.5                        | CUSIP: 3140QR4E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2341890 | PA      | $2248829.70   | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $25.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866593 FN 01/36 FIXED 5.5                        | CUSIP: 31409BXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1777 | PA      | $1829.74      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                   | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000        | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $2633031.00   | 0.06%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6728 FN 07/53 FIXED 5                          | CUSIP: 3140QSPN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5666473 | PA      | $5594892.80   | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 09/31 VAR                                 | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5000000 | PA      | $4678715.40   | 0.11%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9JKA8 PIMCO SWAPTION 4.14 PUT USD 20250709             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-46.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870702 FN 08/36 FIXED 6                          | CUSIP: 31409GKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41239 | PA      | $43122.42     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-8431.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/30 4.8                       | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6486808.77   | 0.15%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/40 1.375                                | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96500000 | PA      | $61507441.17  | 1.39%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4439 FN 04/53 FIXED VAR                        | CUSIP: 3140XK4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5846632 | PA      | $5761321.40   | 0.13%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 05/42 0.00000                                       | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15100000 | PA      | $6563936.18   | 0.15%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -60900000 | PA      | $-48224051.72 | -1.09%            | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65             | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1989306.86   | 0.05%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                  | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2643232.88   | 0.06%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-1628586.98  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                          | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422      | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3732307 | PA      | $3753613.82   | 0.09%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND REPUBLIC OF POLAND                      | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    4600000 | PA      | $4628254.35   | 0.10%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7130 FR 04/52 FIXED 3                  | CUSIP: 3133KN4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9688282 | PA      | $8394178.73   | 0.19%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.49576 06/14/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-340481.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1          | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7340636 | PA      | $1961442.84   | 0.04%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55             | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8700000 | PA      | $8495799.26   | 0.19%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $6326.09      | 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        |      11698 | PA      | $11603.03     | 0.00%             | 2036-12-01      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                 | CUSIP: 21H050680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   45700000 | PA      | $44871631.75  | 1.02%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1939 FN 12/25 FIXED 3.5                        | CUSIP: 31416XEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177359 | PA      | $176464.30    | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/41 0.00000                                       | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $409614.89    | 0.01%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1585 FN 10/30 FIXED 4.5                        | CUSIP: 31416WXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72229 | PA      | $72516.12     | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831232 FN 01/36 FIXED 5.5                        | CUSIP: 31407HPR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6356 | PA      | $6563.12      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766197 FN 02/34 FIXED 5.5                        | CUSIP: 31404EGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10132 | PA      | $10384.80     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | 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        |    8655779 | PA      | $8673085.51   | 0.20%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QN88 PIMCO CDSOPT PUT USD 0.85 20250716               | CUSIP: OP00442S4<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -7500000 | NC      | $-537.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/49 3                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13600000 | PA      | $10024687.57  | 0.23%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $20259.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-12019.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0898 FN 02/31 FIXED VAR                        | CUSIP: 3138EG7L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1979 | PA      | $2000.71      | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR                | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5250000 | PA      | $5250847.56   | 0.12%             | 2028-04-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12701.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995939 FN 06/39 FIXED VAR                        | CUSIP: 31416CLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159055 | PA      | $163791.65    | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3.25                                 | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1737996.10   | 0.04%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8RLA0 PIMCO SWAPTION 3.489 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -29700000 | NC      | $-57110.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                          | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7240 | PA      | $6860.36      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5866.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-51971.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-786.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A81618 FG 09/38 FIXED 6                  | CUSIP: 312927YP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18011 | PA      | $18830.27     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                               | ELMWOOD CLO 15 LTD ELM15 2022 2A A1 144A                   | CUSIP: 29003JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   10000000 | PA      | $10000000.00  | 0.23%             | 2035-04-22      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1            | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451499 | PA      | $337406.94    | 0.01%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-405824.44   | -0.01%            |  |  |  | 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        |     291772 | PA      | $286025.24    | 0.01%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7195 FN 09/27 FIXED 3                          | CUSIP: 3138LX7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3806 | PA      | $3749.61      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888795 FN 11/36 FIXED VAR                        | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54236 | PA      | $56004.83     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250710                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $86211.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725423 FN 05/34 FIXED VAR                        | CUSIP: 31402C4G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     716945 | PA      | $735246.86    | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                  | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4571020.36   | 0.10%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739439 FN 09/33 FIXED 5.5                        | CUSIP: 31402VPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27655 | PA      | $28089.13     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/27 3.95                       | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $995674.40    | 0.02%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 09/25 0.00000                                | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     313000 | PA      | $310161.44    | 0.01%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898493 FN 10/36 FIXED 6                          | CUSIP: 31410VGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2204 | PA      | $2274.06      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $24.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                                          | CFCRE COMMERCIAL MORTGAGE TRUS CFCRE 2016 C7 ASB           | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1833351 | PA      | $1818519.87   | 0.04%             | 2054-12-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                                 | FREDDIE MAC FHR 2266 F                                     | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.97         | 0.00%             | 2030-11-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932840 FN 12/25 FIXED 3.5                        | CUSIP: 31412RLV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $777.04       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250922                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-101736.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25P 110.2 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -63 | NC      | $-7875.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                                   | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                    | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4887331 | PA      | $2694243.59   | 0.06%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9271 05/08/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-84442.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0736 FN 05/41 FIXED 5                          | CUSIP: 31417YZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11331 | PA      | $11478.37     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-7050.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 04/31 2.1                    | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $5322479.96   | 0.12%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-759026.82   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A          | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3830563 | PA      | $3856906.50   | 0.09%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                   | VENTURE CDO LTD VENTR 2017 27A AR 144A                     | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4025916 | PA      | $4018815.01   | 0.09%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8033 FR 02/35 FIXED 3.5                | CUSIP: 3132D54S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13827 | PA      | $13444.89     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | 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        |     412016 | PA      | $411063.94    | 0.01%             | 2072-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1042000 | NC      | $76769.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-64.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806214 FN 01/35 FIXED 5.5                        | CUSIP: 31406CVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28745 | PA      | $29590.22     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9N1A0 PIMCO SWAPTION 3.914 PUT USD 2025072             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-5372.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7545 FN 10/28 FIXED 3                          | CUSIP: 3138X7L35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2215.98      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375          | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $6556673.05   | 0.15%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-250567.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7363.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $62966.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA 144A 09/26 VAR                               | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    9300000 | PA      | $9252448.45   | 0.21%             | 2026-09-22      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CE4252 GN 10/51 FIXED 4                          | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     801016 | PA      | $748985.92    | 0.02%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2023-1A                                     | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2023 1A A 144A        | CUSIP: 89231WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4696854.84   | 0.11%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3195 FR 06/53 FIXED 5                  | CUSIP: 3132DQRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7839984 | PA      | $7783162.41   | 0.18%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 12/27 5.05        | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8062601.12   | 0.18%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA SR UNSECURED 144A 03/30 VAR                   | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    7000000 | PA      | $7241456.39   | 0.16%             | 2030-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR                | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6151225.38   | 0.14%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2          | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2640676 | PA      | $2617468.12   | 0.06%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1           | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266659 | PA      | $121106.70    | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 05/41 0.00000                                       | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $323308.74    | 0.01%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1          | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11439356 | PA      | $8779010.59   | 0.20%             | 2037-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA              | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9357475.40   | 0.21%             | 2028-01-14      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 FB                                    | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $503.74       | 0.00%             | 2030-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  154500000 | PA      | $156864239.34 | 3.56%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) SEP25 XCBT 20250930                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       4668 | NC      | $5699480.73   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4118 FR 05/27 FIXED 3.5                | CUSIP: 3131X7SF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2913 | PA      | $2875.89      | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR             | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $62.09        | 0.00%             | 2030-07-01      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/50 1.375                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14500000 | PA      | $7153711.01   | 0.16%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20250818                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8895.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV ENEL FINANCE INTL NV                  | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    8600000 | PA      | $8763104.93   | 0.20%             | 2029-06-26      | Fixed         | 5.12%                 | 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        |      69915 | PA      | $70220.77     | 0.00%             | 2045-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE3326 FN 10/30 FIXED 4                          | CUSIP: 31419DVU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4193 | PA      | $4167.07      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $58494.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                         | MID ATLANTIC INTERSTATE SR UNSECURED 144A 05/28 4.1        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2086842.81   | 0.05%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3                | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2171950 | PA      | $2131603.45   | 0.05%             | 2046-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4820 FN 10/52 FIXED 4.5                        | CUSIP: 3140QQLA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4142543 | PA      | $3971831.98   | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-13.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9EPA4 PIMCO SWAPTION 3.701 CALL USD 202506             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-4283.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2605 FR 10/25 FIXED 3.5                | CUSIP: 3131X53N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1518 | PA      | $1511.19      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $8213.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                               | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5               | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14909310.75  | 0.34%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/35 3.137                 | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   13663000 | PA      | $11529384.69  | 0.26%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| AVOCA CLO XXV DAC                                                                | AVOCA CLO AVOCA 25A A 144A                                 | CUSIP: ACI2RSH69<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5000000 | PA      | $5883292.18   | 0.13%             | 2034-10-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1            | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     502578 | PA      | $434372.69    | 0.01%             | 2037-02-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-1725.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE FINANCE SUBSIDIARY LLC                                                   | CARLYLE FINANCE SUB LLC COMPANY GUAR 144A 09/29 3.5        | CUSIP: 14314DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4700758.90   | 0.11%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01353 FG 03/32 FIXED 7.5                | CUSIP: 31292HQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11260 | PA      | $11891.62     | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR             | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.59         | 0.00%             | 2027-07-01      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3078 FR 03/26 FIXED 3.5                | CUSIP: 3131X6M31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3326 | PA      | $3304.66      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                  | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7447668 | PA      | $7671029.65   | 0.17%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900130 FN 09/36 FIXED 6                          | CUSIP: 31410XA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16341 | PA      | $17062.87     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2266.85      | 0.00%             |  |  |  | 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        |    3303144 | PA      | $2775891.23   | 0.06%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/20/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $359961.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5            | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   72600000 | PA      | $3569851.13   | 0.08%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-27440.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65                | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     200000 | PA      | $161863.31    | 0.00%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC SR UNSECURED 10/27 1.375              | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    4525000 | PA      | $4242013.65   | 0.10%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91245 FG 04/29 FIXED 4                  | CUSIP: 3128P7L27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $557.93       | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | 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        |        212 | PA      | $211.15       | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                     | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     679654 | PA      | $663846.81    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | EXPEDIA GROUP INC COMPANY GUAR 02/30 3.25                  | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11700000 | PA      | $11041403.49  | 0.25%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                   | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/42 6.51        | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    4900000 | PA      | $5081608.36   | 0.12%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1221159.77   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-32528.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QM06 PIMCO CDSOPT PUT USD 0.9 20250716                | CUSIP: OP0043SX7<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -14500000 | NC      | $-983.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12060.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250922                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-178222.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 969064 FN 03/38 FIXED 5.5                        | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     441697 | PA      | $453589.46    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-66924.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823544 FN 07/35 FIXED 6                          | CUSIP: 31406X5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9440 | PA      | $9689.81      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-13393.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256022 FN 12/35 FIXED 5.5                        | CUSIP: 31371MLB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36537 | PA      | $37728.50     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2569 FR 09/25 FIXED 3.5                | CUSIP: 3131X52A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $106.54       | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1372.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4526.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7420.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                                        | FANNIE MAE FNR 2015 38 DF                                  | CUSIP: 3136APAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     658683 | PA      | $651668.68    | 0.01%             | 2055-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A              | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5519492 | PA      | $7603603.97   | 0.17%             | 2049-12-21      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2              | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     639173 | PA      | $624831.85    | 0.01%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1033973 | PA      | $744939.19    | 0.02%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848220 FN 11/35 FIXED 5.5                        | CUSIP: 31408DK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18544 | PA      | $19148.47     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03698 FG 12/37 FIXED 6                  | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19168 | PA      | $20126.20     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 373183 FN 10/32 FLOATING VAR                     | CUSIP: 31377CRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26601 | PA      | $26293.85     | 0.00%             | 2032-10-01      | Floating      | 4.49%                 | 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        |     137223 | PA      | $138711.40    | 0.00%             | 2043-06-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 07/27 5.05                       | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $9030677.72   | 0.20%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-QH1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 QH1 A1B 144A       | CUSIP: 12666XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1421446 | PA      | $1330355.57   | 0.03%             | 2036-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 23A1          | CUSIP: 07384M4K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39380 | PA      | $37925.97     | 0.00%             | 2035-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL OPTION  AUG25P 117.2 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -23 | NC      | $-4876.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AO7556 GN 08/45 FIXED 3                          | CUSIP: 3617A8MD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     576578 | PA      | $514520.13    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735718 FN 07/35 FIXED VAR                        | CUSIP: 31402RK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7238 | PA      | $7568.27      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-307.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250814                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5365.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 03/24/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-136925.55   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/7.75000 04/07/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $12318.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256476 FN 11/36 FIXED 6                          | CUSIP: 31371M2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1594 | PA      | $1671.93      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-3342.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4130 FN 07/52 FIXED 4.5                        | CUSIP: 3140QPSU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4073260 | PA      | $3906586.44   | 0.09%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8PWA2 PIMCO SWAPTION 3.519 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15000000 | NC      | $-20346.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1221159.77   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC T MOBILE USA INC                          | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7946774.80   | 0.18%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES COMPANY                                                | PIONEER NATURAL RESOURCE SR UNSECURED 03/26 5.1            | CUSIP: 723787AV9<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4622732.37   | 0.10%             | 2026-03-29      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 09/25 0.00000                                | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1014000 | PA      | $1005414.47   | 0.02%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING ATHENE GLOBAL FUNDING                | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9063412.11   | 0.21%             | 2026-02-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A           | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12512025 | PA      | $11055272.06  | 0.25%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735124 FN 11/34 FIXED VAR                        | CUSIP: 31402QVR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $838.17       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-58303.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 808413 FN 01/35 FIXED 5.5                        | CUSIP: 31406FDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3821 | PA      | $3915.06      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG RESOURCES INC SR UNSECURED 07/28 4.4                   | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7846619.82   | 0.18%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                                       | ALLIANT ENERGY FINANCE COMPANY GUAR 144A 03/29 5.95        | CUSIP: 01882YAE6<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4620903.41   | 0.10%             | 2029-03-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75      | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    9700000 | PA      | $9781933.57   | 0.22%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9IEA7 PIMCO SWAPTION 4.03 PUT USD 20250707             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-27.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250708                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-732.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $30418.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MPA6 PIMCO SWAPTION 3.933 PUT USD 2025072             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-2378.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A78008 FG 06/38 FIXED 6                  | CUSIP: 3128LB3R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6721 | PA      | $7055.36      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9FOA2 PIMCO SWAPTION 4.077 PUT USD 2025063             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-0.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2006-CL1                                                       | PRIME MORTGAGE TRUST PRIME 2006 CL1 A1                     | CUSIP: 74161QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224042 | PA      | $223715.87    | 0.01%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 11/25 4.625                | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4099785.41   | 0.09%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 144A 11/36 7.1       | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3000000 | PA      | $2979412.95   | 0.07%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-25527.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125     | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    3200000 | PA      | $3254184.38   | 0.07%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9L4A1 PIMCO SWAPTION 3.6525 CALL USD 20250             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4200000 | NC      | $-18278.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 2 A2 144A          | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6438094 | PA      | $6467744.78   | 0.15%             | 2026-12-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 144A 07/30 3.95                  | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6088232.96   | 0.14%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-18CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 18CB 2A25        | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4460283 | PA      | $2629494.94   | 0.06%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $4265335.80   | 0.10%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QMA4 PIMCO CDSOPT PUT USD 1.0 20250716                | CUSIP: OP0043WJ3<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -6900000 | NC      | $-429.46      | -0.00%            |  |  |  | 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        |     110844 | PA      | $106601.24    | 0.00%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5               | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |     497052 | PA      | $472749.89    | 0.01%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-477835.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948602 FN 08/37 FIXED 6                          | CUSIP: 31413LKP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60989 | PA      | $62373.61     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1            | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2099605 | PA      | $1961453.44   | 0.04%             | 2037-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0563 FN 11/30 FIXED 4                          | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1667 | PA      | $1657.15      | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                      | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4400000 | PA      | $4517351.17   | 0.10%             | 2027-11-07      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1212000 | NC      | $84876.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1540.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1545.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-76244.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U8AFA4 PIMCO SWAPTION 3.6283 CALL USD 20250             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -18500000 | NC      | $-134006.60   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 08/25 0.00000                                | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     293000 | PA      | $291721.48    | 0.01%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1            | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2297670 | PA      | $1139818.90   | 0.03%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                                | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69000000 | PA      | $47480625.00  | 1.08%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $8231.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8100 FN 08/41 FIXED 4.5                        | CUSIP: 3138ANAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97547 | PA      | $96194.70     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.3537 05/12/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $15888.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2005-WMC1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 WMC1 M2            | CUSIP: 92977YAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4293324 | PA      | $3938924.17   | 0.09%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0570 FN 08/37 FIXED VAR                        | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2869 | PA      | $2951.13      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828005 FN 06/35 FIXED 5.5                        | CUSIP: 31407D3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1222 | PA      | $1248.78      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2022-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2022 3 AB 144A         | CUSIP: 69547MAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1479 | PA      | $1480.53      | 0.00%             | 2030-03-15      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-275738.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766604 FN 03/34 FIXED 5.5                        | CUSIP: 31404EU53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5271 | PA      | $5336.69      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-163.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NATWEST MARKETS PLC SR UNSECURED 144A 03/30 5.022          | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    6900000 | PA      | $7011213.51   | 0.16%             | 2030-03-21      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930407 FN 01/39 FIXED 6                          | CUSIP: 31412NU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $382.75       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06479 FG 01/41 FIXED 4                  | CUSIP: 3128M8Q80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     480232 | PA      | $464959.45    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $3033519.52   | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256253 FN 05/26 FIXED 5                          | CUSIP: 31371MTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1163 | PA      | $1159.92      | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254145 FN 01/32 FIXED 5.5                        | CUSIP: 31371KHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1651 | PA      | $1703.68      | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                               | FANNIE MAE FNR 2007 42 AF                                  | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9237 | PA      | $9059.94      | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                                        | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                   | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2596489 | PA      | $2599392.96   | 0.06%             | 2030-04-22      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                            | PROJECT HUDSON II FIXED TERM LOAN                          | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2333378.29   | 0.05%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 3.2       | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $9531484.71   | 0.22%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 4.625                                | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7100000 | PA      | $6964933.58   | 0.16%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $45669.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 4.75      | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   16100000 | PA      | $16040337.10  | 0.36%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) SEP25 XCBT 20250930                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         91 | NC      | $74885.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP SR UNSECURED 03/28 4                               | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $6834340.57   | 0.15%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $65672.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) SEP25 XCBT 20250919                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -39 | NC      | $-193229.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5196 GN 01/50 FIXED 4                          | CUSIP: 3617MFXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     455326 | PA      | $426944.67    | 0.01%             | 2050-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                          | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/27 4.9           | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9105009.84   | 0.21%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                                            | GRAY OAK PIPELINE LLC SR UNSECURED 144A 10/27 3.45         | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13300000 | PA      | $13020893.12  | 0.30%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-5                                                          | MORTGAGEIT TRUST MHL 2005 5 A2                             | CUSIP: 61915RAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442342 | PA      | $439809.25    | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 3A4                 | CUSIP: 466247QA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18701 | PA      | $18787.14     | 0.00%             | 2035-06-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | NATIONAL GRID PLC SR UNSECURED 06/33 5.809                 | CUSIP: 636274AE2<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3680462.00   | 0.08%             | 2033-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC (AKA: PROGRESS ENERGY CAROLINAS INC)                    | DUKE ENERGY PROGRESS LLC 1ST MORTGAGE 08/31 2              | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10425239.40  | 0.24%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A         | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3397164 | PA      | $3399533.67   | 0.08%             | 2036-07-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | REPUBLIC OF CHILE SR UNSECURED 07/31 0.83                  | CUSIP: ACI1CXLV6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   14400000 | PA      | $14671196.28  | 0.33%             | 2031-07-02      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/13/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-633393.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-2491.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                                | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1813708 | PA      | $1349219.97   | 0.03%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                     | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11522071 | PA      | $11543355.75  | 0.26%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA COOPERATIEVE RABOBANK UA          | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    9200000 | PA      | $9490727.64   | 0.22%             | 2030-03-05      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9EKA9 PIMCO SWAPTION 2.36 PUT EUR 20250630             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-0.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $423.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QSK6 OTC ECAL FN 4.5 JUL25 96.46875 CALL              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2900000 | NC      | $-1082.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102     | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6090428 | PA      | $6232736.47   | 0.14%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/54 4.5                                  | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6100000 | PA      | $5815015.63   | 0.13%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FB             | CUSIP: 38382YN90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7669416 | PA      | $7670157.19   | 0.17%             | 2073-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| DUKE UNIVERSITY                                                                  | DUKE UNIVERSITY UNSECURED 10/44 2.682                      | CUSIP: 26442TAF4<br>LEI: FY5ICUIRRDCHN4HHL592 | Long             | DBT              | CORP              | US        |   18900000 | PA      | $13431806.64  | 0.30%             | 2044-10-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2404.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250915                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-74981.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/26 4.125                 | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10300000 | PA      | $10272358.92  | 0.23%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9FTA7 PIMCO SWAPTION 4.05 PUT USD 20250630             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3300000 | NC      | $-0.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972606 FN 04/38 FIXED 5.5                        | CUSIP: 31414QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34398 | PA      | $35031.58     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5010 FR 07/39 FIXED 2.5                | CUSIP: 3133KYR76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209519 | PA      | $191184.88    | 0.00%             | 2039-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8518 FR 02/29 FIXED 3.5                | CUSIP: 3132A9PB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16909 | PA      | $16703.37     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U88VA1 PIMCO SWAPTION 3.65 CALL USD 2025080             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  122500000 | NC      | $71491.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65517 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-305254.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $126366.73    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS BANK PLC SNR SE ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $47272.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                                             | FREDDIE MAC FHR 2142 Z                                     | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3901 | PA      | $3926.29      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535341 FN 09/39 FLOATING VAR                     | CUSIP: 31384VWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5949 | PA      | $6008.73      | 0.00%             | 2039-09-01      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9273 FN 02/29 FIXED 3.5                        | CUSIP: 3138XMJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9633 | PA      | $9487.40      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885569 FN 08/36 FIXED 6                          | CUSIP: 31410C2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2255 | PA      | $2337.99      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2007-1                                                                  | ALBA PLC ALBA 2007 1 A3 REGS                               | CUSIP: 995NAMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4125330 | PA      | $5577571.10   | 0.13%             | 2039-03-17      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5           | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     436914 | PA      | $432529.74    | 0.01%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6672 FN 07/53 FIXED 5                          | CUSIP: 3140QSMW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4637072 | PA      | $4571428.34   | 0.10%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255843 FN 09/35 FIXED 5.5                        | CUSIP: 31371MEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52960 | PA      | $54686.12     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $58286.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $3201.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25P 109.5 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -68 | NC      | $-4250.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $133055.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941919 FN 07/37 FIXED 5.5                        | CUSIP: 31413C4C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1691 | PA      | $1720.48      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5                | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156901 | PA      | $157433.18    | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 10/26 VAR                | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5640921.72   | 0.13%             | 2026-10-24      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A         | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10922676 | PA      | $10932379.30  | 0.25%             | 2037-02-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                         | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16100000 | PA      | $15234082.43  | 0.35%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6470 FR 02/29 FIXED 3.5                | CUSIP: 3131XAFK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3543 | PA      | $3489.17      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 04/28 VAR                             | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   14000000 | PA      | $13954479.84  | 0.32%             | 2028-04-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 916385 FN 05/37 FIXED 6                          | CUSIP: 31411WCW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        764 | PA      | $776.62       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9L6A9 PIMCO SWAPTION 3.664 CALL USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -4600000 | NC      | $-21919.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $476.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-10005.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89900 03/11/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-61692.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-93925.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900232 FN 08/36 FIXED 6                          | CUSIP: 31410XED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3674 | PA      | $3734.14      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5072 FN 07/53 FIXED 5.5                        | CUSIP: 31418ET67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     440662 | PA      | $441496.15    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES SSNM 144A UNFUNDED COMM                             | CUSIP: 955RVLII8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     121671 | PA      | $156155.91    | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/44 3                                    | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  155300000 | PA      | $119635597.27 | 2.71%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 07/54 4.375                 | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15295000 | PA      | $18197975.96  | 0.41%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | PROLOGIS LP SR UNSECURED 02/33 4.2                         | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   12800000 | PA      | $9465574.19   | 0.21%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.41000 11/05/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5708.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY JR SUBORDINA 12/99 VAR               | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |    3900000 | NS      | $3868137.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-368649.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/17/25-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2804053.11   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995112 FN 07/36 FIXED VAR                        | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2710 | PA      | $2791.97      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6496.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-319.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256125 FN 01/26 FIXED 5                          | CUSIP: 31371MPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2809 | PA      | $2800.42      | 0.00%             | 2026-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852463 FN 12/35 FIXED 6                          | CUSIP: 31408JB83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12991 | PA      | $13326.26     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A5                | CUSIP: 59020UVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617282 | PA      | $555381.38    | 0.01%             | 2035-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3364 FN 04/52 FIXED 3                          | CUSIP: 3140QNW24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8484221 | PA      | $7358528.62   | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85       | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16224785.04  | 0.37%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/27 VAR                 | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    7200000 | PA      | $7251474.60   | 0.16%             | 2027-07-02      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $7141.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838797 FN 08/35 FIXED 6                          | CUSIP: 31407R3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3118 | PA      | $3197.83      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | 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        |    6930414 | PA      | $8184380.92   | 0.19%             | 2033-11-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-107467.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                     | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87321 | PA      | $86762.30     | 0.00%             | 2037-03-26      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A       | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13110962 | PA      | $10704868.64  | 0.24%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $23689.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A2 144A       | CUSIP: 78435VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     660008 | PA      | $660389.23    | 0.01%             | 2027-06-21      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 698772 GN 12/38 FIXED 6                          | CUSIP: 36296RJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2995 | PA      | $3108.48      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3              | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3029491.46   | 0.07%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7800.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260626                                 | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1284700000 | PA      | $674686.44    | 0.02%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2056 FN 08/26 FIXED VAR                        | CUSIP: 3138EJJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     269837 | PA      | $267652.52    | 0.01%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/42 0.00000                                       | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6800000 | PA      | $2913784.50   | 0.07%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40400000 | PA      | $38677767.39  | 0.88%             | 2054-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080344 G2 11/29 FLOATING VAR                  | CUSIP: 36225CL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4357 | PA      | $4367.21      | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -41400000 | PA      | $-40577569.96 | -0.92%            | 2054-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BANK OF AMERICA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -437802 | PA      | $-438220.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250708                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $243828.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 11/28 VAR                   | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7200000 | PA      | $7647845.69   | 0.17%             | 2028-11-03      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3099 FN 09/32 FIXED VAR                        | CUSIP: 3140X6NR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     316865 | PA      | $314526.25    | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/49 2.875                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51600000 | PA      | $37057265.50  | 0.84%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17735.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1           | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2088837 | PA      | $2084992.50   | 0.05%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A2           | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885469 | PA      | $1717421.80   | 0.04%             | 2037-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815696 FN 03/35 FIXED 5                          | CUSIP: 31406PGD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $292.81       | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250718                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-14479.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NY SOCIETY FOR RELIEF OF RUPTURED & CRIPPLED MAINTAINING HOSP SPECIAL SURGERY    | HOSPITAL SPECIAL SURGERY SECURED 10/50 2.667               | CUSIP: 44107HAF9<br>LEI: 549300U0XV0GGBTV6I72 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1795050.18   | 0.04%             | 2050-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN POWER & UTILITIES CORP                                                 | ALGONQUIN PWR + UTILITY SR UNSECURED 06/26 VAR             | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |    9700000 | PA      | $9753849.94   | 0.22%             | 2026-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A67153 FG 10/37 FIXED 6                  | CUSIP: 3128KX5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17693 | PA      | $18629.37     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FB             | CUSIP: 38376R4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158945 | PA      | $160946.92    | 0.00%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250825                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-208439.61   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2C                      | CUSIP: 00441XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4612636 | PA      | $1371914.58   | 0.03%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1718.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-25.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357843 FN 07/35 FIXED 6                          | CUSIP: 31376KP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4805 | PA      | $5024.08      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/52 0.125                                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5530896 | PA      | $2956215.85   | 0.07%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | CITIBANK NA CITIBANK NA                                    | CUSIP: 17325FBE7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7009970.59   | 0.16%             | 2026-04-30      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257132 FN 03/28 FIXED 5                          | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81170 | PA      | $81490.09     | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/41 3.125                                | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20500000 | PA      | $16818808.65  | 0.38%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5           | CUSIP: 614878II9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  372500000 | PA      | $21829978.11  | 0.49%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-207.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A            | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        184 | PA      | $86196.80     | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL2                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL2 A3 144A      | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2326088 | PA      | $2281802.50   | 0.05%             | 2037-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)SEP25 XCBT 20250919                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       4866 | NC      | $8740965.81   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250903                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $475977.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                 | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1688546000 | PA      | $885393.95    | 0.02%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $3696406.05   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2941 FN 03/32 FIXED 3.5                        | CUSIP: 31418CHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11508 | PA      | $11354.31     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255900 FN 10/35 FIXED 6                          | CUSIP: 31371MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6620 | PA      | $6940.12      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                               | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   10000000 | PA      | $5750000.00   | 0.13%             | 2029-04-09      | Floating      | 17.31%                | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA            | CUSIP: 44891ACU9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5590427.70   | 0.13%             | 2029-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/27 VAR                                     | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    8800000 | PA      | $9010857.50   | 0.20%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/20/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $705807.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40100000 | PA      | $37282472.55  | 0.85%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1073 FN 03/52 FIXED VAR                        | CUSIP: 3140XGFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16524680 | PA      | $14316842.76  | 0.32%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7627.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9O6A3 PIMCO SWAPTION 3.875 PUT USD 2025072             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-7905.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                           | KOREA DEVELOPMENT BANK SR UNSECURED 10/26 VAR              | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |    1900000 | PA      | $1911678.10   | 0.04%             | 2026-10-23      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2022-FL4                                                               | FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A                 | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4786303 | PA      | $4798263.19   | 0.11%             | 2039-01-19      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5                | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218022 | PA      | $225127.82    | 0.01%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/27 VAR              | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   11600000 | PA      | $11201346.98  | 0.25%             | 2027-10-13      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M1             | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1234691 | PA      | $1219073.13   | 0.03%             | 2035-11-25      | Floating      | 5.14%                 | 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        |   26267078 | PA      | $23817658.27  | 0.54%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 02/28 VAR                 | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2023426.30   | 0.05%             | 2028-02-16      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8010 FR 03/52 FIXED 2                  | CUSIP: 3133B53T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8360683 | PA      | $6627247.58   | 0.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                        | FANNIE MAE FNR 2025 18 FM                                  | CUSIP: 3136BVKH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8519518 | PA      | $8491370.44   | 0.19%             | 2054-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | SUTTER HEALTH UNSECURED 08/40 3.161                        | CUSIP: 86944BAH6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   13100000 | PA      | $10149581.06  | 0.23%             | 2040-08-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2015-6A                                                | ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A AR3 144A           | CUSIP: 03328QBL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11500000 | PA      | $11525846.48  | 0.26%             | 2034-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5              | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2423328.49   | 0.05%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2        | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |     945000 | PA      | $1113163.36   | 0.03%             | 2026-02-27      | Floating      | 4.26%                 | Yes           |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF             | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6070512 | PA      | $6142532.80   | 0.14%             | 2072-12-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9LEA0 PIMCO SWAPTION 2.72 PUT EUR 20250716             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-3302.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/44 3.625                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2483691.40   | 0.06%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922989 FN 12/36 FIXED 6                          | CUSIP: 31412ENE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95766 | PA      | $99267.79     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5050.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256750 FN 06/27 FIXED 5                          | CUSIP: 31371NEX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1744 | PA      | $1742.71      | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR3206 FN 03/28 FIXED 3                          | CUSIP: 3138W0R43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10221 | PA      | $10040.23     | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250710                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $57175.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS8865 FN 02/35 FIXED VAR                        | CUSIP: 3140XQZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3476351 | PA      | $3354972.59   | 0.08%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                   | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 05/33 6.25      | CUSIP: 28504DAC7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    5200000 | PA      | $5575020.93   | 0.13%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-1                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 1 A3                    | CUSIP: 14318DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4238372 | PA      | $4243378.49   | 0.10%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76473 12/17/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $165015.28    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2694 FN 04/41 FIXED 4.5                        | CUSIP: 31416X7G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12739 | PA      | $12658.31     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2B                             | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2612253 | PA      | $1439982.51   | 0.03%             | 2036-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A68937 FG 11/37 FIXED 6                  | CUSIP: 3128L04W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4412 | PA      | $4590.99      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2724 FR 11/25 FIXED 3.5                | CUSIP: 3131X6AZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        404 | PA      | $402.44       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889633 FN 08/37 FIXED VAR                        | CUSIP: 31410KLN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10755 | PA      | $11105.84     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3098 FN 08/30 FIXED VAR                        | CUSIP: 3140X6NQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        807 | PA      | $803.04       | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $456425.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5548 FN 05/38 FLOATING VAR                     | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1758591 | PA      | $1825061.80   | 0.04%             | 2038-05-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY DEUTSCHE BANK NY                          | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $610062.67    | 0.01%             | 2028-02-08      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $14221.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0443 FN 05/30 FIXED 5                          | CUSIP: 31417YP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5740 | PA      | $5809.39      | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR              | CUSIP: 61690U8C7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5015549.55   | 0.11%             | 2028-05-26      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $938.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1          | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     713739 | PA      | $592474.10    | 0.01%             | 2035-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3935750 | PA      | $2699939.56   | 0.06%             | 2036-06-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2023-2A                                                | KUBOTA CREDIT OWNER TRUST KCOT 2023 2A A2 144A             | CUSIP: 500945AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     840053 | PA      | $840976.62    | 0.02%             | 2026-07-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904700 FN 11/36 FIXED 6                          | CUSIP: 31411DDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10412 | PA      | $10677.38     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3097 FN 10/52 FIXED VAR                        | CUSIP: 3140XJNP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3717253 | PA      | $3498215.90   | 0.08%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5420 FN 07/54 FIXED 5.5                        | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12605605 | PA      | $12614866.00  | 0.29%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948689 FN 08/37 FIXED 6                          | CUSIP: 31413LNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91293 | PA      | $94642.89     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D           | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10922656 | PA      | $6007277.21   | 0.14%             | 2037-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                        | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    6900000 | PA      | $6253686.18   | 0.14%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5725 FN 08/42 FIXED 5                          | CUSIP: 3138M9LF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93041 | PA      | $93638.62     | 0.00%             | 2042-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-992.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888893 FN 08/37 FIXED VAR                        | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2686 | PA      | $2773.92      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A           | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1585737 | PA      | $1596589.51   | 0.04%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A            | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29558 | PA      | $30661.00     | 0.00%             | 2035-10-25      | Floating      | 7.23%                 | 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        |    5049440 | PA      | $3661823.89   | 0.08%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                     | SYNOPSYS INC SR UNSECURED 04/30 4.85                       | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3853951.07   | 0.09%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9G6A0 PIMCO SWAPTION 4.065 PUT USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3600000 | NC      | $-0.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1132834.05  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                        | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR        | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    6600000 | NS      | $6595908.00   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-413688.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                              | FANNIE MAE FNR 2006 118 A1                                 | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49433 | PA      | $48366.44     | 0.00%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                        | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2040000000 | PA      | $13414092.57  | 0.30%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0098 FN 06/29 FIXED 4                          | CUSIP: 31417YDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16720 | PA      | $16592.47     | 0.00%             | 2029-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A1             | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70772 | PA      | $69968.54     | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | 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        |      82812 | PA      | $72494.82     | 0.00%             | 2035-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0087 05/12/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-2487.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                               | FANNIE MAE FNR 2003 25 KP                                  | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107941 | PA      | $107603.37    | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4808066.22   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| PANTHEON SENIOR DEBT SECONDARIES III                                             | PANTHEON SNR DBT SCNDRS IIIUSD TERM LOAN                   | CUSIP: BA000HYC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1500000 | PA      | $1500000.00   | 0.03%             | 2026-03-26      | Floating      | 6.32%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                     | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399960 | PA      | $364409.60    | 0.01%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7172.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                             | FIRSTENERGY PENN ELECTRI SR UNSECURED 144A 03/28 3.25      | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1651014.36   | 0.04%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $3825.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91335 FG 09/30 FIXED 4                  | CUSIP: 3128P7PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50832 | PA      | $50579.02     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                             | SALES TAX SECURITIZATION CORP STSGEN 01/31 FIXED 2.857     | CUSIP: 79467BDE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5000000 | PA      | $4618571.00   | 0.10%             | 2031-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A2B          | CUSIP: 59020U6K6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3980741 | PA      | $788030.76    | 0.02%             | 2037-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| AMEREN MISSOURI SECURITIZATION FUNDING I LLC                                     | AMEREN MISSOURI SEC FU I SR SECURED 10/41 4.85             | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4467233.70   | 0.10%             | 2041-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 792160 FN 07/37 FIXED 6                          | CUSIP: 31405LB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15605 | PA      | $15965.58     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-5111.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7072 FN 12/40 FIXED 5                          | CUSIP: 31419H2E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6984 | PA      | $7021.18      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                     | SYNOPSYS INC SR UNSECURED 04/28 4.65                       | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1313496.02   | 0.03%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843492 FN 10/35 FIXED 6                          | CUSIP: 31407XC58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1241 | PA      | $1301.48      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                           | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG A 144A          | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13427466 | PA      | $13402146.74  | 0.30%             | 2039-02-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-107965.05   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  326900000 | PA      | $312577562.99 | 7.09%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                                   | FREMONT HOME LOAN TRUST FHLT 2005 D M1                     | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9247527 | PA      | $8506745.40   | 0.19%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 751259 FN 02/34 FIXED 5.5                        | CUSIP: 31403KTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3889 | PA      | $3967.42      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC LAST OUT TERM LOAN                          | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1941101 | PA      | $1960512.30   | 0.04%             | 2031-01-03      | Floating      | 8.82%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845341 FN 01/36 FIXED 5.5                        | CUSIP: 31408AEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1570 | PA      | $1620.86      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $37617.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7986 G2 04/52 FIXED 2                       | CUSIP: 36179W2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582046 | PA      | $474496.09    | 0.01%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB             | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3377204 | PA      | $3377702.04   | 0.08%             | 2065-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR        | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3611090.85   | 0.08%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | PROJECT FLASH DELAYED DRAW TERM LOAN 2                     | CUSIP: BA000KJT9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | LON              | CORP              | US        |    4000000 | PA      | $4000000.00   | 0.09%             | 2030-04-30      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4354 FN 09/52 FIXED VAR                        | CUSIP: 3140XKZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7767975 | PA      | $7449677.07   | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9EOA5 PIMCO SWAPTION 4.101 PUT USD 2025063             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-0.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $3119510.27   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824324 FN 06/35 FIXED 6                          | CUSIP: 31406YYV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $926.49       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03646 FG 01/38 FIXED 6                  | CUSIP: 3128M5L32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13449 | PA      | $14120.78     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/28 5.2                             | CUSIP: 404119CP2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1532826.24   | 0.03%             | 2028-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2)             | SCENTRE GROUP TRUST 1/2 COMPANY GUAR 144A 01/26 3.625      | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   15900000 | PA      | $15807879.38  | 0.36%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254983 FN 12/33 FIXED 5.5                        | CUSIP: 31371LFY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $538.93       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 772297 FN 03/34 FIXED 5.5                        | CUSIP: 31404L7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3686 | PA      | $3688.92      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AO3585 GN 08/45 FIXED 3                          | CUSIP: 3617A36W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234829 | PA      | $209556.71    | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-10532.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $5330.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3052.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910724 FN 03/37 FIXED 6                          | CUSIP: 31411KYV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16886 | PA      | $17551.72     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 05/28 4.5                         | CUSIP: 68389XCM5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4931176.15   | 0.11%             | 2028-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88400 03/25/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9257.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2051 FN 06/26 FIXED VAR                        | CUSIP: 3138EJH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231979 | PA      | $230676.19    | 0.01%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $549.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257203 FN 05/28 FIXED 5                          | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1601 | PA      | $1607.45      | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3                  | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18408749 | PA      | $15977261.11  | 0.36%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | WELLTOWER OP LLC COMPANY GUAR 01/30 3.1                    | CUSIP: 95040QAJ3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6632608.36   | 0.15%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5647.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9JQA2 PIMCO SWAPTION 3.77 CALL USD 2025070             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-29227.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A        | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17300000 | PA      | $16827832.83  | 0.38%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0199 FN 04/51 FIXED 3                          | CUSIP: 3140QKGH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     438315 | PA      | $381926.79    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250707                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6816.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7396 FN 01/27 FIXED 3.5                        | CUSIP: 3138XXGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20446 | PA      | $20280.36     | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/25 1.474          | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2500000 | PA      | $2498513.08   | 0.06%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 02/41 0.00000                                       | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $1264018.80   | 0.03%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888566 FN 01/37 FIXED VAR                        | CUSIP: 31410GFF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        552 | PA      | $569.83       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9LFA9 PIMCO SWAPTION 2.46 CALL EUR 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-2234.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                      | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  886000000 | PA      | $4947399.88   | 0.11%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920422 FN 11/36 FIXED 6                          | CUSIP: 31412BSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9036 | PA      | $9367.79      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0720 FN 04/31 FIXED 5                          | CUSIP: 31417YYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36657 | PA      | $37190.19     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A        | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $12275809.00  | 0.28%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745412 FN 12/35 FIXED VAR                        | CUSIP: 31403DDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1536 | PA      | $1581.39      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $5340.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QN05 PIMCO CDSOPT PUT USD 0.85 20250716               | CUSIP: OP0043Z50<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -7300000 | NC      | $-523.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $2542614.52   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 06/28 5.75            | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7900000 | PA      | $8100193.90   | 0.18%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889982 FN 11/38 FIXED VAR                        | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195223 | PA      | $200559.64    | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                            | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                     | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11142130 | PA      | $11150026.85  | 0.25%             | 2039-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FM             | CUSIP: 38376RXJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10054 | PA      | $9993.89      | 0.00%             | 2066-08-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1218 GN 09/49 FIXED 4                          | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24357 | PA      | $22878.34     | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8        | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9875782 | PA      | $9892140.62   | 0.22%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                            | ENTERGY LOUISIANA LLC 1ST MORTGAGE 06/32 2.35              | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $13404233.07  | 0.30%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-347234.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                   | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2536114.02   | 0.06%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0733 FN 05/26 FIXED 3.5                        | CUSIP: 31417YY76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12650 | PA      | $12561.75     | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889692 FN 05/38 FIXED VAR                        | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $348.07       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-113875.60   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-194589.94   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $17.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2             | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6186280 | PA      | $5968725.54   | 0.14%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5              | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.19         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                                | HUNTINGTON INGALLS INDUS COMPANY GUAR 08/28 2.043          | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $15832892.54  | 0.36%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04715 FG 06/38 FIXED 6                  | CUSIP: 3128M6SC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8844 | PA      | $9286.24      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-657393.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3580.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1            | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11408 | PA      | $11516.09     | 0.00%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC ENBRIDGE INC                                  | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2900000 | PA      | $2952394.07   | 0.07%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75             | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1548091.54   | 0.04%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED 02/34 6.5                 | CUSIP: 005048II6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $369641.11    | 0.01%             | 2034-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1508 GN 09/49 FIXED 4                          | CUSIP: 3617L7U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     223828 | PA      | $210240.68    | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80662 04/02/25-30Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42516.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                          | FREDDIE MAC FHR 4989 FA                                    | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2627789 | PA      | $2590197.47   | 0.06%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7240 FN 10/28 FIXED 3                          | CUSIP: 3138X7BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37191 | PA      | $36436.68     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-327721.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3          | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1815028 | PA      | $1362974.80   | 0.03%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D           | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2106986 | PA      | $1032257.50   | 0.02%             | 2037-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20250917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $370813.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5293.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 1A1             | CUSIP: 86363GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     591519 | PA      | $488131.08    | 0.01%             | 2047-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-9733.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $30806.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3500000 | NC      | $-1506.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA3 A1            | CUSIP: 74923XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3693916 | PA      | $3332943.30   | 0.08%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2532 FR 09/25 FIXED 3.5                | CUSIP: 3131X5Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $865.65       | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $208.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/31 FIXED 2.246    | CUSIP: 2350366T2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2500000 | PA      | $2207560.25   | 0.05%             | 2031-11-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $132.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4936078.61  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-120685.71   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-155626.80   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-30562.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875         | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4862646.00   | 0.11%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2022-B33                                               | BENCHMARK MORTGAGE TRUST BMARK 2022 B33 A5                 | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $13733319.00  | 0.31%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.46000 03/13/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-20665.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/27 VAR                   | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4100000 | PA      | $4125022.96   | 0.09%             | 2027-01-12      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                                    | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A        | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12297428 | PA      | $10002574.27  | 0.23%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A64142 FG 08/37 FIXED 6                  | CUSIP: 3128KUS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34829 | PA      | $36576.03     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | 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        |          1 | PA      | $0.15         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5                | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9457280 | PA      | $9472752.81   | 0.21%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                               | FANNIE MAE FNR 2005 79 NF                                  | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90495 | PA      | $89900.33     | 0.00%             | 2035-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U88SA5 PIMCO SWAPTION 3.65 CALL USD 2025080             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  203100000 | NC      | $118529.16    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1                                        | ELLINGTON FINANCIAL MORTGAGE T EFMT 2020 1 A1 144A         | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71850 | PA      | $71328.53     | 0.00%             | 2065-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG          | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |   12300000 | PA      | $1476000.00   | 0.03%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                 | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45965 | PA      | $39971.59     | 0.00%             | 2036-02-20      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8722 G2 03/53 FIXED 3.5                     | CUSIP: 36179XVP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293528 | PA      | $268586.49    | 0.01%             | 2053-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 842150 FN 10/35 FIXED 6                          | CUSIP: 31407VTF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4280 | PA      | $4440.98      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $39917.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04589 FG 08/37 FIXED 5.5                | CUSIP: 3128M6NE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2670 | PA      | $2756.78      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4            | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        773 | PA      | $760.75       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-198459.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9L3A2 PIMCO SWAPTION 4.0525 PUT USD 202507             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4200000 | NC      | $-606.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CK0445 GN 02/52 FIXED 4                          | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     295286 | PA      | $276598.01    | 0.01%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR                  | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4205 | PA      | $4205.33      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255111 FN 03/34 FIXED 5.5                        | CUSIP: 31371LKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1200 | PA      | $1228.36      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-204522.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $604.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 GF             | CUSIP: 38382Y3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9308555 | PA      | $9363006.17   | 0.21%             | 2073-03-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $155.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357797 FN 06/35 FIXED 5.5                        | CUSIP: 31376KNN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $858.22       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250813                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $14118.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $848.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878386 FN 02/36 FIXED 6                          | CUSIP: 31409T2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5590 | PA      | $5733.82      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2540 FR 09/25 FIXED 3.5                | CUSIP: 3131X5ZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $667.12       | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11680.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905141 FN 02/37 FIXED 5.5                        | CUSIP: 31411DS67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        535 | PA      | $551.23       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M5                | CUSIP: 70069FGE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250691 | PA      | $1232330.52   | 0.03%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1          | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     457471 | PA      | $421690.50    | 0.01%             | 2035-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250710                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $7554.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                | CI FINANCIAL CORP CI FINANCIAL CORP                        | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    4700000 | PA      | $4961333.87   | 0.11%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1389.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/17/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-826654.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2580.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A        | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1763576 | PA      | $861352.85    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-372864.33   | -0.01%            |  |  |  | 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        |    1565897 | PA      | $1269918.07   | 0.03%             | 2037-05-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2524 FR 10/52 FIXED 4                  | CUSIP: 3132DPYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6124643 | PA      | $5710186.38   | 0.13%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9468 FN 08/31 FIXED 4                          | CUSIP: 3138APQW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17876 | PA      | $17665.84     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A2             | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1161692 | PA      | $917712.00    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815549 FN 03/35 FIXED 5.5                        | CUSIP: 31406PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6556 | PA      | $6694.68      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $24867.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 3A2 144A       | CUSIP: 05968KAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19509917 | PA      | $2837044.32   | 0.06%             | 2036-07-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04479 FG 01/38 FIXED 6                  | CUSIP: 3128M6JY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34451 | PA      | $36271.06     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 08/27 VAR            | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3756875.66   | 0.09%             | 2027-08-07      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11854.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2914 05/08/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $164132.70    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994904 FN 09/35 FIXED 5.5                        | CUSIP: 31416BGM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92490 | PA      | $95210.91     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54900 FG 03/48 FIXED 3.5                | CUSIP: 3132XXNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1416081 | PA      | $1298623.55   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A10         | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367085 | PA      | $290552.91    | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11200000 | PA      | $10982099.41  | 0.25%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 798819 FN 12/34 FIXED 5.5                        | CUSIP: 31405TPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7594 | PA      | $7596.82      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer