# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004491
**Filing Date:** 2025-11
**Character Count:** 588314
**Document Hash:** 03cdc617a6a57189a0872a3418739c72
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004491.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004491

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528331

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

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

## Series and Classes Contracts Data

### PIMCO International Bond Fund (Unhedged) (Series ID: S000009679)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026523 | Institutional  | PFUIX           |
| C000026524 | A              | PFUAX           |
| C000026525 | C              | PFRCX           |
| C000031146 | Administrative | PFUUX           |
| C000064133 | I-2            | PFUPX           |
| C000200439 | I-3            | PFUNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO International Bond Fund (Unhedged)

- **b. EDGAR series identifier (if any):** S000009679

- **c. LEI of Series:** KCDOXOJHAWHO0AANJ261

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1976428667.50

**Total Liabilities:** $920918942.34

**Net Assets:** $1055509725.16

**Delayed Delivery Securities:** $14978481.06

**Cash Not Reported:** $12542764.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -31940.392300 | **1-Year:** 102708.919300 | **5-Year:** 293285.819000 | **10-Year:** 175043.168800 | **30-Year:** 38949.150300

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

- **3-Month:** 1054.418900 | **1-Year:** 4863.305700 | **5-Year:** 16073.565400 | **10-Year:** 4804.179200 | **30-Year:** 31.410000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000031146 | -3.16%               | 2.40%                | 0.19%                |
| Class ID C000026524 | -3.17%               | 2.39%                | 0.18%                |
| Class ID C000026525 | -3.24%               | 2.32%                | 0.12%                |
| Class ID C000064133 | -3.15%               | 2.41%                | 0.20%                |
| Class ID C000200439 | -3.15%               | 2.41%                | 0.20%                |
| Class ID C000026523 | -3.14%               | 2.42%                | 0.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-229930.80              | $-15226243.34                              |
| Month 2  | $1107591.31              | $9372217.19                                |
| Month 3  | $-171705.87              | $3215311.20                                |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate ex-USD Total Return Unhedged USD Index

- **Index Identifier:** LG38TRUU

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                           | RFR USD SOFR/4.10000 12/31/25-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-149424.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5              | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     1000000 | PA      | $519087.02    | 0.05%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4              | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156453 | PA      | $108532.72    | 0.01%             | 2036-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      471969 | PA      | $319758.86    | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-50582.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 05/35 1.65                  | CUSIP: BT6F11II5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   158200000 | PA      | $21879599.93  | 2.07%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1         | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      986960 | PA      | $705303.96    | 0.07%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2538.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $65.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2308.90      | 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      | $4114.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A          | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1279289 | PA      | $1301817.67   | 0.12%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| PSP CAPITAL INC                                                               | PSP CAPITAL INC PSP CAPITAL INC                         | CUSIP: ACI2QY2T3<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | MUN               | CA        |     3500000 | PA      | $2320442.27   | 0.22%             | 2031-09-05      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.23         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-63944.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1568963 | PA      | $1108311.70   | 0.11%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3434.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-18326.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      552932 | PA      | $460572.25    | 0.04%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |           1 | NC      | $-73986.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3171.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                            | FANNIE MAE FNR 1999 37 F                                | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         346 | PA      | $344.71       | 0.00%             | 2029-06-25      | Floating      | 4.87%                 | 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        |       10052 | PA      | $9691.76      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3380.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2680.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1087.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                 | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124991 | PA      | $130112.34    | 0.01%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $15659.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $180533.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $3949.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-11370.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                            | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         396 | PA      | $395.05       | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4143.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         242 | NC      | $22605.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                          | ROYAL BANK OF CANADA SR UNSECURED 08/29 VAR             | CUSIP: 78017DAK4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     2100000 | PA      | $2116831.21   | 0.20%             | 2029-08-06      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |           1 | NC      | $7048.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A  | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      866551 | PA      | $787895.35    | 0.07%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-215880.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $3879.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                                   | QATAR ENERGY SR UNSECURED 144A 07/31 2.25               | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      600000 | PA      | $540743.25    | 0.05%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $6448.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                          | GSAMP TRUST GSAMP 2006 FM2 A2D                          | CUSIP: 36245DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1583730 | PA      | $547910.09    | 0.05%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $594.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $8072.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1      | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295712 | PA      | $134534.33    | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-256132.47   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-660168.42   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                                 | OCP EURO CLO OCPE 2020 4A ARR 144A                      | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4710658.97   | 0.45%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $39945.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 10/50 0.625              | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3500000 | PA      | $1640911.84   | 0.16%             | 2050-10-22      | Fixed         | 0.62%                 | 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      | $-23056.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                  | HUNGARY SR UNSECURED 144A 09/35 6                       | CUSIP: 445545AW6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      400000 | PA      | $419212.56    | 0.04%             | 2035-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8V2 PIMCO FXVAN PUT AUD USD 0.61750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2783000 | NC      | $3.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8115.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      300000 | PA      | $285262.49    | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-15758.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $593.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-511910.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2215.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      144062 | PA      | $141168.29    | 0.01%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S 144A 10/30 VAR                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     2400000 | PA      | $2413834.22   | 0.23%             | 2030-10-02      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $108.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $23.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-17867.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4809.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4349.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                               | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18747 | PA      | $14303.80     | 0.00%             | 2035-11-25      | Floating      | 4.85%                 | 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        |    14800000 | PA      | $14254250.00  | 1.35%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251229                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-187.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $1134.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     3900000 | PA      | $3906315.39   | 0.37%             | 2029-09-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RNO1 PIMCO FXVAN PUT EUR HUF 386.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1338000 | NC      | $5450.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/30 2.7         | CUSIP: ACI2S1GW1<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3000000 | PA      | $3550329.20   | 0.34%             | 2030-01-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $510.12       | 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        |     3700000 | PA      | $3642502.74   | 0.35%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      463608 | PA      | $424538.25    | 0.04%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                     | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |     5300000 | PA      | $5383793.00   | 0.51%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2102.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-37544.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B       | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      433522 | PA      | $399654.76    | 0.04%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                       | FREDDIE MAC FHR 5511 FB                                 | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3475090 | PA      | $3503427.85   | 0.33%             | 2055-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-5924.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                           | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75             | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     5500000 | PA      | $6391511.26   | 0.61%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272619 | PA      | $255042.59    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-24291.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3776851 | PA      | $3446992.28   | 0.33%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $24492.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $585128.23    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $110.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                            | CANADIAN NATURAL RESOU                                  | CUSIP: 13638WXN7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1096968.29   | 0.10%             | 2025-10-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                            | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1900000 | PA      | $1906502.41   | 0.18%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 03/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-22024.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $3467.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1395.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1          | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128696 | PA      | $117661.41    | 0.01%             | 2037-10-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-2220.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-86.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $380614.91    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8800 12/04/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-16160.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25          | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     1500000 | PA      | $977655.45    | 0.09%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | BUONI POLIENNALI DEL TES SR UNSECURED REGS 10/27 2.7    | CUSIP: ACI2S4Q61<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     3800000 | PA      | $4502214.26   | 0.43%             | 2027-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148801 | PA      | $136714.60    | 0.01%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                  | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40599416 | PA      | $37043631.89  | 3.51%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-11                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 11 8A4         | CUSIP: 2254W0PH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107178 | PA      | $77669.88     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-117453.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1100000 | PA      | $1018166.57   | 0.10%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      897100 | PA      | $831124.05    | 0.08%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/33 3.5                               | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1400000 | PA      | $1359367.18   | 0.13%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      143154 | PA      | $140876.16    | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR          | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1611411.70   | 0.15%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1        | CUSIP: 161630AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34077 | PA      | $34139.57     | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | 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      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1734.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DD6416 FN 04/55 FIXED 6.5                     | CUSIP: 3140B7DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2990824 | PA      | $3094063.89   | 0.29%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $7050.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $2018.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-577716.18   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-112890.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8194.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1025.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $11853.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260316                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-3485.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 11/32 2.5    | CUSIP: ACI23KK01<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     8400000 | PA      | $4916016.07   | 0.47%             | 2032-11-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $1.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-5                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2005 5 2A1          | CUSIP: 05946XE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      249583 | PA      | $243425.83    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       12097 | PA      | $8782.28      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1507.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   217000000 | PA      | $12344623.62  | 1.17%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC CITIGROUP INC                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2800807.55   | 0.27%             | 2035-06-11      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9M1 PIMCO FXVAN PUT EUR USD 1.12200000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |      136000 | NC      | $260.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1440.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113446 | PA      | $106149.61    | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3625000 | NC      | $-2305.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41.4 GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $-418634.07   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7368 G2 05/51 FIXED 3                    | CUSIP: 36179WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119345 | PA      | $106717.96    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                    | PACIFICORP 1ST MORTGAGE 02/31 5.3                       | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1037492.36   | 0.10%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86629 03/18/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17858.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-591.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $70205.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH67 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1580000 | NC      | $-8580.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/17/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $32955.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                            | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5151016 | PA      | $4473410.47   | 0.42%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/48 8.75        | CUSIP: S6989ZAQ7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    13600000 | PA      | $680732.37    | 0.06%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $895.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $76685.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $543.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.82700 05/06/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $17365.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2765.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.9314* 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6457.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.75000 09/17/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-17999.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 13A1        | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368990 | PA      | $327099.49    | 0.03%             | 2034-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $390.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 01/33 4.5                  | CUSIP: 46514BRA7<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      600000 | PA      | $586511.09    | 0.06%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.00000 06/21/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $0.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A      | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3100000 | PA      | $3099886.54   | 0.29%             | 2034-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-506833.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 06/45 2.5                   | CUSIP: ACI2YNYV8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    90000000 | PA      | $600255.60    | 0.06%             | 2045-06-20      | Fixed         | 2.50%                 | 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        |     4039350 | PA      | $517678.27    | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $8455.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-3                                           | CITICORP MORTGAGE SECURITIES, CMSI 2007 3 1A1           | CUSIP: 17312FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26470 | PA      | $23063.61     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7054.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2      | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93190 | PA      | $88094.10     | 0.01%             | 2045-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2100000 | PA      | $2082972.21   | 0.20%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1186000000 | PA      | $4854191.30   | 0.46%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-9243.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $13020.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    10838400 | PA      | $105555176.60 | 10.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP SR UNSECURED 06/31 3.375             | CUSIP: ACI2XWZN6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $2001484.59   | 0.19%             | 2031-06-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-428.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5166 FN 10/53 FIXED 6                       | CUSIP: 31418EW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77116 | PA      | $79018.76     | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA7553 FN 01/54 FIXED 6                       | CUSIP: 3140A8MB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46644 | PA      | $47740.72     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-4                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 4 1A2          | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21751 | PA      | $20093.23     | 0.00%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41 CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $48206.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A1        | CUSIP: 92925VAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107976 | PA      | $92922.01     | 0.01%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1        | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      294860 | PA      | $241673.57    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-46884.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-24031.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | JPN 10Y BOND(OSE) DEC25 XOSE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -59 | NC      | $123677.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $9085.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12079.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                               | PHILIP MORRIS INTL INC SR UNSECURED 06/32 3.25          | CUSIP: ACI2XLY76<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1635165.05   | 0.15%             | 2032-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $250.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251024                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $63.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-7                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 7 1A3          | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      311790 | PA      | $285342.20    | 0.03%             | 2035-04-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 12/22/25 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-708794.17   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                             | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2A        | CUSIP: 81378AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22751 | PA      | $11212.93     | 0.00%             | 2036-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-9777.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 09/30 VAR                | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1500000 | PA      | $1567033.82   | 0.15%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101813 | PA      | $19930.15     | 0.00%             | 2037-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11       | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200025 | PA      | $85752.71     | 0.01%             | 2036-02-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5                                      | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A5 1A4        | CUSIP: 466284AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      975533 | PA      | $886038.85    | 0.08%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7873.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                     | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1107320 | PA      | $1300450.33   | 0.12%             | 2033-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8194.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1342.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM7441 FN 05/51 FIXED VAR                     | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67615 | PA      | $59475.77     | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      729279 | PA      | $695674.20    | 0.07%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  DEC25 IFLL 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         197 | NC      | $-81223.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $730.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RO44 PIMCO FXVAN PUT EUR HUF 387.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1445000 | NC      | $7050.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $70698.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-3170.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3        | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      623334 | PA      | $419263.58    | 0.04%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-3683.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3600000 | NC      | $-12016.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-10243.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $0.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A2       | CUSIP: 12668BE33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360646 | PA      | $328933.77    | 0.03%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $1634735.15   | 0.15%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1084000 | NC      | $-689.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-20.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $20795.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-880076.80   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1866.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/34 4.375                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      600000 | PA      | $614003.90    | 0.06%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4         | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3800000 | PA      | $4479505.77   | 0.42%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2232346.33   | 0.21%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1663.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     1000000 | PA      | $353194.99    | 0.03%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-26.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-7752.66     | -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        |      250000 | PA      | $187241.21    | 0.02%             | 2049-02-15      | Fixed         | 3.00%                 | 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        |       59216 | PA      | $58181.01     | 0.01%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBSORA/1.50000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $28672.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32178 | PA      | $30427.39     | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-335.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A5B        | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143818 | PA      | $125539.81    | 0.01%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $21575.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $9372.90      | 0.00%             |  |  |  | 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        |     5554000 | NC      | $1754.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-4649.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                                           | TIKEHAU TIKEH 5A AR 144A                                | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2600000 | PA      | $3049503.92   | 0.29%             | 2038-10-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307407 | PA      | $80760.15     | 0.01%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -9 | NC      | $-2007.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $1096.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21       | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127807 | PA      | $80183.34     | 0.01%             | 2035-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9L3 PIMCO FXVAN CALL USD SEK 10.12500000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      612000 | NC      | $4.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $1093.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $35891.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                 | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2308612 | PA      | $2315050.62   | 0.22%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                     | BANQUE FED CRED MUTUEL 144A 01/27 5.088                 | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |      900000 | PA      | $911384.35    | 0.09%             | 2027-01-23      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-4261.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3711.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-828.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A          | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63066 | PA      | $63695.78     | 0.01%             | 2034-03-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15022 | PA      | $14056.36     | 0.00%             | 2033-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                  | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3024 | PA      | $2948.23      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1649.35     | -0.00%            |  |  |  | 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        |         125 | PA      | $132.55       | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                        | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A AR 144A         | CUSIP: ACI2Z96Y3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3400000 | PA      | $4004687.23   | 0.38%             | 2039-10-18      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                    | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9    | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1393067.79   | 0.13%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2493.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $4232.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $600.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-7                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2005 7 4A3          | CUSIP: 05946XU92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107342 | PA      | $105258.95    | 0.01%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-9502.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3658.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $351610.01    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -198 | NC      | $-127156.21   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CDX IG43 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-177443.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                               | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      800000 | PA      | $828287.26    | 0.08%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-42085.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2004-68                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 68 ZC           | CUSIP: 38374HVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      836802 | PA      | $845653.36    | 0.08%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-830.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                   | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     1100000 | PA      | $691630.69    | 0.07%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 02/30 5.375                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2400000 | PA      | $2478525.67   | 0.23%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-187202.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $488.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    12800000 | PA      | $588340.47    | 0.06%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                             | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A         | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      505819 | PA      | $511695.48    | 0.05%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2007-A                                       | POPULAR ABS MORTGAGE PASS THRO POPLR 2007 A A3          | CUSIP: 73316NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1221541 | PA      | $1143921.99   | 0.11%             | 2047-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6               | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59677 | PA      | $61038.04     | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1562.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $6618.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2145.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          10 | PA      | $1.07         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/54 1.8                   | CUSIP: ACI2NMK96<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    18000000 | PA      | $92739.22     | 0.01%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-24198.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3 | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    10392000 | PA      | $12150467.46  | 1.15%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-237.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $145.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $815.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3548.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2691.62      | 0.00%             |  |  |  | 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        |     2400000 | PA      | $2403923.45   | 0.23%             | 2031-10-02      | Fixed         | 4.38%                 | 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        |       28099 | PA      | $27101.11     | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A    | CUSIP: 75585RRT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      607050 | PA      | $425004.84    | 0.04%             | 2055-02-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251124                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-978.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1809.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $3.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-16059.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-424346.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3373 | PA      | $3409.58      | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $481.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1        | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      369435 | PA      | $260324.53    | 0.02%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-892.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-108037.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1499992750 | PA      | $10315397.96  | 0.98%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                        | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A           | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         536 | PA      | $533.62       | 0.00%             | 2031-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      975730 | PA      | $518551.03    | 0.05%             | 2046-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP            | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5         | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1734773.50   | 0.16%             | 2030-08-01      | Fixed         | 5.50%                 | 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        |      219000 | NC      | $4388.21      | 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        |       60199 | PA      | $52283.68     | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBSORA/2.00000 09/17/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $-107705.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-5052.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1182.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1          | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28187 | PA      | $24834.45     | 0.00%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMC8 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |      685000 | NC      | $3689.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO120626                              | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   840000000 | PA      | $498127.14    | 0.05%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR            | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      100000 | PA      | $48712.50     | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                               | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1              | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      826692 | PA      | $420904.07    | 0.04%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5045.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-8581.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $9225.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38729 | PA      | $33605.01     | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1792.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-912.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.00000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $535860.34    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5260.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     1900000 | PA      | $1314476.50   | 0.12%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $139993.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1144.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -9 | NC      | $-2535.95     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | 31750R9K5 PIMCO FXVAN PUT AUD USD 0.62250000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      494000 | NC      | $3.92         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 18630300000 | PA      | $13399394.30  | 1.27%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $488.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1043.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5             | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66718 | PA      | $67528.48     | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $1131.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2400000 | NC      | $-320.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.3000 01/18/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-374112.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3A       | CUSIP: 17312TAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60089 | PA      | $40678.62     | 0.00%             | 2037-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35173 | PA      | $35040.62     | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | 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        |     2400000 | PA      | $2648242.75   | 0.25%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797QQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      296000 | PA      | $294584.05    | 0.03%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179065 | PA      | $174278.01    | 0.02%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A  | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3488730 | PA      | $3031971.57   | 0.29%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8199.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-10163.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1636.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 03/36 VAR                     | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      800000 | PA      | $830381.26    | 0.08%             | 2036-03-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-9259.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 3YR BOND FUT DEC25 XSFE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          26 | NC      | $-9122.01     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $863.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1121.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $63132.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $5681.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-R1                                              | ANGEL OAK MORTGAGE TRUST AOMT 2025 R1 A1 144A           | CUSIP: 034951AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2600000 | PA      | $2595259.42   | 0.25%             | 2062-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA 144A 11/33 VAR                      | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     1000000 | PA      | $1180543.93   | 0.11%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                    | AMETEK INC 11/25 ZCP                                    | CUSIP: 03111BYL3<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1689713.98   | 0.16%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2864.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32       | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      473031 | PA      | $467943.46    | 0.04%             | 2046-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $101232.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMD6 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2854000 | NC      | $-13976.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42194000 | PA      | $43099925.86  | 4.08%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                      | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1       | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43035 | PA      | $37810.10     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                      | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25342 | PA      | $6833.67      | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                          | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1           | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5750 | PA      | $5652.67      | 0.00%             | 2033-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2682.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-2                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M3          | CUSIP: 68389FHD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1743000 | PA      | $1506006.90   | 0.14%             | 2035-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3833.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.94000 08/22/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-17832.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A     | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34807 | PA      | $28811.48     | 0.00%             | 2036-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.96000 06/27/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6338.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2      | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      121334 | PA      | $117821.86    | 0.01%             | 2034-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         966 | PA      | $913.47       | 0.00%             | 2034-07-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1190517 | PA      | $1151307.70   | 0.11%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 03/30 2.75                    | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      100000 | PA      | $72045.03     | 0.01%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-305.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2907.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-114.78      | -0.00%            |  |  |  | No            |                  2 | 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        |      993185 | PA      | $906439.83    | 0.09%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-6775.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5124.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -277 | NC      | $36514.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-594.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC                                              | PNC FINANCIAL SERVICES SR UNSECURED 01/36 VAR           | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2087561.94   | 0.20%             | 2036-01-29      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $35547.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8W0 PIMCO FXVAN PUT EUR USD 1.13150000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4291000 | NC      | $110.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $19499.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/35 5      | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      400000 | PA      | $408822.10    | 0.04%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                  | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      995018 | PA      | $908464.64    | 0.09%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19507 | PA      | $18549.94     | 0.00%             | 2045-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                                  | CASSA DEPOSITI E PRESTIT CASSA DEPOSITI E PRESTIT       | CUSIP: ACI30MXF1<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     2500000 | PA      | $2515041.08   | 0.24%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-7816.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 732218 FN 06/43 FLOATING VAR                  | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11978 | PA      | $12105.11     | 0.00%             | 2043-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                   | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   346000000 | PA      | $1955858.67   | 0.19%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-17002.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.70000 12/31/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-50506.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.58600 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2393.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QJ0915 FR 08/54 FIXED 6               | CUSIP: 3133CRAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29750 | PA      | $30661.99     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-429.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $58932.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-602.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     1800000 | PA      | $2086193.46   | 0.20%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-1355551.34  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $6036.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $628.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2941.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0204A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -21000000 | PA      | $-19305646.29 | -1.83%            | 2040-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5             | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2704638 | PA      | $2797967.71   | 0.27%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 03/19/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $403974.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                    | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37407 | PA      | $33829.97     | 0.00%             | 2033-11-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-33996.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $86373.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-331296.14   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 02/28 VAR     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $687325.31    | 0.07%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-37753.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |    -3600000 | NC      | $-873.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8E0 PIMCO FXVAN PUT EUR USD 1.14500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4862000 | NC      | $376.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A       | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      172537 | PA      | $166305.05    | 0.02%             | 2045-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5421 FN 07/54 FIXED 6                       | CUSIP: 31418FAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      856038 | PA      | $875602.04    | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-9239.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1300000 | PA      | $1337159.79   | 0.13%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $23666.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                               | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1               | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230326 | PA      | $103937.85    | 0.01%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                                 | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                    | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      178143 | PA      | $178235.13    | 0.02%             | 2030-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $838.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 14 2025-1ST1 PLC 25-1ST1A                | TOGETHER ASSET BACKED SECURITI TOGET 2025 1ST1A A 144A  | CUSIP: ACI30HX54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1900000 | PA      | $2560547.37   | 0.24%             | 2066-08-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $301.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROMASTER PLC 2007-1V                                                        | EUROMASTR PLC EMAST 2007 1V A2 REGS                     | CUSIP: ACI018DY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      109492 | PA      | $145221.48    | 0.01%             | 2040-06-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3912.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-351454.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A   | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89489 | PA      | $59677.32     | 0.01%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC GLENCORE FUNDING LLC               | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1958389.72   | 0.19%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2083000 | NC      | $2108.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58323 | PA      | $14475.91     | 0.00%             | 2046-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2        | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98521 | PA      | $92052.68     | 0.01%             | 2035-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 02/35 5.625                | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      300000 | PA      | $310708.79    | 0.03%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2773.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $4988.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 02/34 3.75                    | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1200000 | PA      | $1229836.85   | 0.12%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-148287.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.78000 05/02/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $107225.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $991.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     5230671 | PA      | $670397.56    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A9          | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48273 | PA      | $46637.75     | 0.00%             | 2035-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-11610.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $4616.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB6395 FN 08/54 FIXED 6                       | CUSIP: 3140AGC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47786 | PA      | $49271.06     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-527.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $25995.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-6                                                           | IMPAC CMB TRUST IMM 2004 6 1A2                          | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17301 | PA      | $17305.39     | 0.00%             | 2034-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1200000 | PA      | $905686.16    | 0.09%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67514 | PA      | $62314.34     | 0.01%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $9925.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-77535.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                  | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3408 | PA      | $489.89       | 0.00%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-16189.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000     | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     5500000 | PA      | $6143584.05   | 0.58%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1        | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8018 | PA      | $3392.01      | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-95313.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-45610.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-28444.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $18954.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-23.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 3A1          | CUSIP: 007036HW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         385 | PA      | $383.92       | 0.00%             | 2035-07-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17529.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $9128.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-11383.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                  | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      198734 | PA      | $181328.50    | 0.02%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00500 09/29/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-8356.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC         | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1492148.90   | 0.14%             | 2035-04-25      | Floating      | 5.85%                 | 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        |   588000000 | PA      | $3048685.67   | 0.29%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-315.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          15 | PA      | $1.84         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $58064.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $76140.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $12519.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -7300000 | PA      | $-6413435.00  | -0.61%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.61100 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-124.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2           | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     6100000 | PA      | $3333779.23   | 0.32%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-54183.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                    | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65           | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    13500000 | PA      | $9888961.67   | 0.94%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11052.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          98 | PA      | $11.49        | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1057547 | PA      | $1018838.52   | 0.10%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-2                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1           | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395498 | PA      | $377450.95    | 0.04%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4        | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90168 | PA      | $67305.10     | 0.01%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $810.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR2 2A1        | CUSIP: 92925CDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      437764 | PA      | $390097.71    | 0.04%             | 2036-03-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-20Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-102165.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-CF2                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 CF2 2M1 144A   | CUSIP: 22541SE20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      274555 | PA      | $286617.36    | 0.03%             | 2044-05-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 04/61 3.85          | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      400000 | PA      | $249504.72    | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-230.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                              | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67970 | PA      | $67877.35     | 0.01%             | 2037-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED REGS 11/30 2.25       | CUSIP: ACI1SY321<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      800000 | PA      | $723896.00    | 0.07%             | 2030-11-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-1985.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA2723 FN 11/53 FIXED 6                       | CUSIP: 3140A3AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57026 | PA      | $58430.82     | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $15088.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-15902.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                 | RMAC SECURITIES PLC RMACS 2007 NS1X A2B REGS            | CUSIP: B231LDII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      101140 | PA      | $98916.11     | 0.01%             | 2044-06-12      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-8667.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG45 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-71313.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251030                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $18889.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR            | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1431004.40   | 0.14%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-21872.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1          | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      362760 | PA      | $304769.23    | 0.03%             | 2046-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $9976.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB6394 FN 08/54 FIXED 6                       | CUSIP: 3140AGC85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1131562 | PA      | $1169602.26   | 0.11%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2           | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1190183.48   | 0.11%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    38000000 | PA      | $2208312.68   | 0.21%             | 2030-01-31      | Fixed         | 8.00%                 | 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        |        2060 | PA      | $2043.22      | 0.00%             | 2036-12-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                            | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6               | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    10500000 | PA      | $7647606.38   | 0.72%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 238575 FN 03/33 FLOATING VAR                  | CUSIP: 31370Q6L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9799 | PA      | $9708.99      | 0.00%             | 2033-03-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-882474.81   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QJ4297 FR 09/54 FIXED 6               | CUSIP: 3133CUX27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34623 | PA      | $35440.58     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 11/29 2.5         | CUSIP: ACI2Q20Z1<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   185290000 | PA      | $6015962.16   | 0.57%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2083000 | NC      | $-1362.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $789492.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                         | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 09/30 5       | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2318398.14   | 0.22%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         503 | NC      | $-178851.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-20709.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -6100000 | PA      | $-5572240.99  | -0.53%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-25032.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/2.02754 12/10/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-64530.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 04/51 3.7           | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1200000 | PA      | $792217.91    | 0.08%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $122.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4525.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.06500 06/26/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-20756.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $106686.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                                         | CAIRN CLO BV CRNCL 2018 10A AR 144A                     | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      873789 | PA      | $1026553.69   | 0.10%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1217670 | PA      | $1426818.15   | 0.14%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3375000 | PA      | $3133674.30   | 0.30%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                           | NATWEST MARKETS PLC SR UNSECURED 144A 03/30 VAR         | CUSIP: 63906YAQ1<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     2200000 | PA      | $2222664.20   | 0.21%             | 2030-03-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-25772.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-5568.27     | -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        |     2245707 | PA      | $289018.60    | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | 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        |     2700000 | PA      | $2604734.01   | 0.25%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1        | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      395203 | PA      | $357505.78    | 0.03%             | 2037-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-19.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $3354.08      | 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      | $-174839.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3         | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1275118 | PA      | $265591.73    | 0.03%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7988 G2 04/52 FIXED 3                    | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3166939 | PA      | $2830230.76   | 0.27%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/34 6.25                    | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      200000 | PA      | $242324.06    | 0.02%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA 144A 09/27 VAR                             | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     1200000 | PA      | $1226294.50   | 0.12%             | 2027-09-13      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9559 | PA      | $9411.70      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $6307.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2037604 | PA      | $1795375.40   | 0.17%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4723.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1024.09      | 0.00%             |  |  |  | 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        |      500000 | PA      | $65000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $607.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $214.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                               | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA       | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   123600000 | PA      | $1406766.71   | 0.13%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-3096.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                          | ROYAL BANK OF CANADA SR UNSECURED 08/31 VAR             | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     2300000 | PA      | $2331327.84   | 0.22%             | 2031-08-06      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-1                                      | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11356 | PA      | $9961.33      | 0.00%             | 2037-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1        | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17857 | PA      | $16799.14     | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      200000 | PA      | $200680.48    | 0.02%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300516                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8194.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1        | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156852 | PA      | $140274.09    | 0.01%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5            | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      584803 | PA      | $121998.47    | 0.01%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10516 | PA      | $10542.70     | 0.00%             | 2033-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/50 0.7                   | CUSIP: BL6JRNII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   250000000 | PA      | $1018899.82   | 0.10%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 12/40 4.25               | CUSIP: B64605II9<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2500000 | PA      | $3036345.91   | 0.29%             | 2040-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $47652.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-465.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                             | BROWN + BROWN INC SR UNSECURED 06/55 6.25               | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      700000 | PA      | $737169.59    | 0.07%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77147 03/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9618.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55       | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      400000 | PA      | $354653.01    | 0.03%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $10367.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $170.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-115391.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.06350 11/17/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $579089.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                         | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2005567 | PA      | $2357143.62   | 0.22%             | 2034-10-21      | Floating      | 3.05%                 | 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        |      175000 | PA      | $114549.80    | 0.01%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375      | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      800000 | PA      | $853379.38    | 0.08%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                               | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      775163 | PA      | $352627.99    | 0.03%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4580.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          37 | NC      | $-1086.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $41.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $14695.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                          | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      263077 | PA      | $353958.67    | 0.03%             | 2045-06-13      | Floating      | 5.04%                 | 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        |      200000 | PA      | $26000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                            | FANNIE MAE FNR 2003 34 A1                               | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36953 | PA      | $37416.99     | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $4658.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78079 | PA      | $80881.10     | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $912226.21    | 0.09%             | 2027-08-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625      | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     3100000 | PA      | $3744875.68   | 0.35%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9            | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6600000 | PA      | $1988962.72   | 0.19%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      400000 | PA      | $397382.71    | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                                     | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1850273 | PA      | $1857796.94   | 0.18%             | 2055-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC          | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5427 | PA      | $5203.03      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A4           | CUSIP: 65538PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136366 | PA      | $129096.14    | 0.01%             | 2047-03-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $914.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $765334.27    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18385000 | PA      | $16415040.08  | 1.56%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -8400000 | PA      | $-7078277.64  | -0.67%            | 2055-10-14      | Fixed         | 2.50%                 | 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        |     2100000 | PA      | $1340882.80   | 0.13%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA7768 FN 02/54 FIXED 6                       | CUSIP: 3140A8T28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      676430 | PA      | $692887.29    | 0.07%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXL2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249356.45    | 0.02%             | 2025-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      900000 | PA      | $878125.03    | 0.08%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251021                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-454.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      810963 | PA      | $673458.22    | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05         | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |      900000 | PA      | $825768.53    | 0.08%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $2554.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $980.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $944.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-637.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      621067 | PA      | $530343.37    | 0.05%             | 2047-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1189000000 | PA      | $5179548.84   | 0.49%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMF1 PIMCO FXVAN PUT USD BRL 5.47500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     2854000 | NC      | $78076.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-81.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1955.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                                  | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75   | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     1400000 | PA      | $1411680.28   | 0.13%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3          | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182503 | PA      | $154806.88    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $17.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1509.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158 | CUSIP: 38122NC59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1300000 | PA      | $1282180.77   | 0.12%             | 2026-06-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $416.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 4.542       | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      600000 | PA      | $599634.61    | 0.06%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $889.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251229                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $89.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2056.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      331560 | PA      | $265439.32    | 0.03%             | 2037-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    47500000 | PA      | $8374660.74   | 0.79%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                          | GROSVENOR PLACE CLO GROSV 2024 2A A 144A                | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1800000 | PA      | $2118686.64   | 0.20%             | 2039-01-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                          | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A             | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1523594.90   | 0.14%             | 2035-07-19      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25          | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $78833.77     | 0.01%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      100000 | PA      | $92229.90     | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24600000 | PA      | $25425082.52  | 2.41%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $10189.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $269.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA3439 FN 11/53 FIXED 6.5                     | CUSIP: 3140A3ZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2708614 | PA      | $2802058.41   | 0.27%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A       | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      632127 | PA      | $560646.87    | 0.05%             | 2046-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                       | BCAP LLC TRUST BCAP 2011 RR5 7A1 144A                   | CUSIP: 05534AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112781 | PA      | $111574.51    | 0.01%             | 2047-01-26      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                   | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    74000000 | PA      | $327959.83    | 0.03%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.93000 06/25/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2188.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      700000 | PA      | $786759.53    | 0.07%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.5000 03/22/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-138130.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                        | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1         | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7648 | PA      | $6484.61      | 0.00%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $16261.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2        | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101562 | PA      | $97533.18     | 0.01%             | 2035-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/26 5                       | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      100000 | PA      | $120326.10    | 0.01%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/30 VAR                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      700000 | PA      | $707866.41    | 0.07%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | REPUBLIC OF CHILE REPUBLIC OF CHILE                     | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      800000 | PA      | $819520.00    | 0.08%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   470000000 | PA      | $2913215.00   | 0.28%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A4              | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36631 | PA      | $35489.92     | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                  | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      339710 | PA      | $320799.42    | 0.03%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | BUONI POLIENNALI DEL TES SR UNSECURED REGS 08/27 2.1    | CUSIP: ACI2Y9764<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    16000000 | PA      | $18740478.45  | 1.78%             | 2027-08-26      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                            | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1             | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57057 | PA      | $54815.61     | 0.01%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $10888.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORPORATION 11/25 ZCP                            | CUSIP: 6840C2YK5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      850000 | PA      | $845014.16    | 0.08%             | 2025-11-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-79.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         341 | PA      | $335.22       | 0.00%             | 2032-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                       | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      367638 | PA      | $360050.13    | 0.03%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-48741.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A        | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237297 | PA      | $215871.58    | 0.02%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-153.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $620824.04    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 01/34 5      | CUSIP: ACI2MD4F1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1200000 | PA      | $1230525.54   | 0.12%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2312000 | NC      | $2339.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3600000 | NC      | $-14148.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.565* 03/07/19-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-205883.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                          | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A      | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      937748 | PA      | $953200.37    | 0.09%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2421.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6146.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-8171.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                      | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1       | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21317 | PA      | $17780.84     | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | 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        |      229155 | PA      | $177805.09    | 0.02%             | 2037-05-25      | Floating      | 4.53%                 | 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        |     8700000 | PA      | $8554546.88   | 0.81%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.4000 03/14/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-134480.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.45100 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-941164.08   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-14506.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2             | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     4700000 | PA      | $2384396.74   | 0.23%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7256533 | PA      | $6297423.08   | 0.60%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A            | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         265 | PA      | $254.94       | 0.00%             | 2032-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $5855.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $296266.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND BONDS 02/35 5.375                    | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1300000 | PA      | $1351964.67   | 0.13%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329            | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     1000000 | PA      | $975546.86    | 0.09%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/2.25000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-134093.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QH8983 FR 01/54 FIXED 6               | CUSIP: 3133CM6U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24804 | PA      | $25727.08     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-23.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17654163 | PA      | $16160410.10  | 1.53%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                 | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                  | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34146 | PA      | $34096.78     | 0.00%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                   | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    70000000 | PA      | $448599.25    | 0.04%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-24213.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $21834.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-17123.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -20000 | PA      | $-18847.25    | -0.00%            | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2964.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/55 4.75                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      600000 | PA      | $602062.50    | 0.06%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |       35694 | PA      | $4311.51      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $7761.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-162653.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                      | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                  | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1900000 | PA      | $2233574.08   | 0.21%             | 2034-10-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A5         | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40761 | PA      | $35889.65     | 0.00%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1059.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2          | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      376528 | PA      | $338659.26    | 0.03%             | 2035-09-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $7419.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-75869.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 04/51 5              | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      600000 | PA      | $493800.00    | 0.05%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-100279.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75175 | PA      | $75058.14     | 0.01%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-30672.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      600000 | PA      | $726359.32    | 0.07%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR          | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1882 | PA      | $1928.85      | 0.00%             | 2035-09-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                  | BRISTOL MYERS SQUIBB CO BRISTOL MYERS SQUIBB CO         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      900000 | PA      | $933639.58    | 0.09%             | 2034-02-22      | Fixed         | 5.20%                 | 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        |     4300000 | PA      | $3226017.36   | 0.31%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 01/55 1.92                  | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    70800000 | PA      | $9271139.98   | 0.88%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $723.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |      800000 | PA      | $825495.00    | 0.08%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1471.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $10.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20260129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-98.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4478.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR      | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     2400000 | PA      | $2432197.49   | 0.23%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $6093.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260518                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $126.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7832.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/5.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |           1 | NC      | $2168.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 2                 | CUSIP: ACI22BWW9<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3187.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-5884.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/40 2.625                      | CUSIP: ACI1T3QG2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      800000 | PA      | $601902.90    | 0.06%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-5725.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260713                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $417.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $4519.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                        | CUSIP: 49271JXF9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      450000 | PA      | $449197.11    | 0.04%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-5672.19     | -0.00%            |  |  |  | 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        |      995717 | PA      | $908508.94    | 0.09%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                       | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2094573 | PA      | $2098153.24   | 0.20%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $69.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-6649.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-10565.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           5 | PA      | $0.67         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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        |     2000000 | PA      | $1531639.78   | 0.15%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60000 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1014.24      | 0.00%             |  |  |  | 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        |     1776000 | NC      | $863.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                            | F+G GLOBAL FUNDING SECURED 144A 09/28 VAR               | CUSIP: 30321L2L5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2520966.65   | 0.24%             | 2028-09-08      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $21506.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-9608.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A3 144A                       | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140799 | PA      | $138182.09    | 0.01%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A    | CUSIP: 75585RRU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     2400000 | PA      | $1636490.62   | 0.16%             | 2055-02-12      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-24                                                     | FANNIE MAE FNR 2025 24 FB                               | CUSIP: 3136BVSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2985973 | PA      | $2990740.98   | 0.28%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5217 FN 12/53 FIXED 6.5                     | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2410383 | PA      | $2493878.98   | 0.24%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                           | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1       | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      288329 | PA      | $277762.67    | 0.03%             | 2046-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3911.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                       | BANK OF NOVA SCOTIA COVERED REGS 09/29 0.01             | CUSIP: ACI20BTZ8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     1900000 | PA      | $2016648.14   | 0.19%             | 2029-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2372654.03   | 0.22%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251030                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $900.33       | 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        |     6800000 | PA      | $2076222.40   | 0.20%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-77969.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251124                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7547.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.0500 12/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-209289.23   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-890.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    70900000 | PA      | $12444476.17  | 1.18%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A         | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18621 | PA      | $16953.22     | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-0.94        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11083 | PA      | $10205.40     | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP GST                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-50919.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $17225.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-154.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23129 | PA      | $23062.12     | 0.00%             | 2045-01-25      | Floating      | 4.91%                 | 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        |      194149 | PA      | $170095.17    | 0.02%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                  | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      994738 | PA      | $907858.84    | 0.09%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4         | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      658369 | PA      | $182794.35    | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA0866 FN 09/53 FIXED 5.5                     | CUSIP: 3140A06C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      802813 | PA      | $812694.25    | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   200000000 | PA      | $801365.93    | 0.08%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                         | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                  | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2309164.95   | 0.22%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO110626                              | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   841000000 | PA      | $498971.44    | 0.05%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.43         | 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        |       31617 | PA      | $22410.82     | 0.00%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                        | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1        | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140982 | PA      | $106603.93    | 0.01%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     5700000 | PA      | $1590149.05   | 0.15%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.33507 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $59279.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-9635.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-131491.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR9                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR9 A1         | CUSIP: 92922FWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73380 | PA      | $71620.46     | 0.01%             | 2034-08-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                                 | ARGENT SECURITIES INC. ARSI 2004 W3 A3                  | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97755 | PA      | $103799.92    | 0.01%             | 2034-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     1100000 | PA      | $1203417.19   | 0.11%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-21569.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3523.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M1          | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22924 | PA      | $22864.58     | 0.00%             | 2034-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS SEK 2.47375 02/03/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |           1 | NC      | $65734.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2274.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1200000 | NC      | $-324.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-9172.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-507.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                     | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     1300000 | PA      | $1301430.00   | 0.12%             | 2035-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                              | MORGAN STANLEY PVT BANK SR UNSECURED 07/31 VAR          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2335460.50   | 0.22%             | 2031-07-18      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                          | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10500000 | PA      | $10500000.00  | 0.99%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | IRS NZD 4.75000 06/19/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |           1 | NC      | $225245.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                               | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24841 | PA      | $24972.36     | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2891068.00   | 0.27%             | 2025-10-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                            | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         324 | PA      | $318.38       | 0.00%             | 2034-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-167577.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $500706.29    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $2783.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.30000 12/01/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $46604.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $430.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $9529.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-58782.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   121900000 | PA      | $120825865.96 | 11.45%            | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.95913 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1577.26     | -0.00%            |  |  |  | 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      | $-108854.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5445 FN 08/54 FIXED 6                       | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      250652 | PA      | $256383.00    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $774.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $28028.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-4.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $652522.60    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.96415 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1564.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6152.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1        | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      328812 | PA      | $316036.77    | 0.03%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                            | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      769460 | PA      | $903384.76    | 0.09%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                 | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26222 | PA      | $24482.68     | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY 1.50000 03/18/26-4Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-449036.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A  | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5400583 | PA      | $4485011.42   | 0.42%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RNL7 PIMCO FXVAN PUT EUR CZK 24.10000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2582000 | NC      | $10506.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $203.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $914.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $17527.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $59392.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $282809.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-4318.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFH5 PIMCO FXVAN CALL USD BRL 5.77000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3300000 | NC      | $-6817.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2400000 | NC      | $-14637.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-62111.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $3231.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/27 6.259                  | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      700000 | PA      | $720524.78    | 0.07%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.75000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-47163.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2537.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4       | CUSIP: 02147CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      672515 | PA      | $490482.77    | 0.05%             | 2046-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $10065.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BTP FUTURE   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         559 | NC      | $702808.59    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-BUXL 30Y BND DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          16 | NC      | $8265.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                    | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1 | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     2800000 | PA      | $868939.10    | 0.08%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $125.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $28365.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $173.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                      | LEHMAN XS TRUST LXS 2006 16N A322                       | CUSIP: 52522DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      764856 | PA      | $588708.59    | 0.06%             | 2046-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-449.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-30757.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $137.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-3463.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C      | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1047813 | PA      | $935126.24    | 0.09%             | 2046-09-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-113836.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 11/34 2.04                  | CUSIP: BS1HX9II6<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    84700000 | PA      | $12108428.43  | 1.15%             | 2034-11-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $16954.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $34067.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75   | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     5800000 | PA      | $3046082.07   | 0.29%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-20501.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1151.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                   | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      496903 | PA      | $188835.92    | 0.02%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 3A1         | CUSIP: 05949CCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33672 | PA      | $28411.07     | 0.00%             | 2035-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB8974 FN 07/54 FIXED 6                       | CUSIP: 3140AJ6L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1059005 | PA      | $1083473.41   | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21       | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91196 | PA      | $31738.37     | 0.00%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3600000 | NC      | $-760.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          78 | NC      | $-38398.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      333884 | PA      | $290229.98    | 0.03%             | 2037-09-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75             | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    13900000 | PA      | $16390129.99  | 1.55%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-84996.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5216 FN 12/53 FIXED 6                       | CUSIP: 31418EYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80507 | PA      | $82489.88     | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41809 | PA      | $37322.22     | 0.00%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $101697.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-1081.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ          | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1148055 | PA      | $1154812.87   | 0.11%             | 2073-12-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFF9 PIMCO FXVAN PUT USD BRL 5.22000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -3300000 | NC      | $-10038.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $138.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1300000 | PA      | $1232326.42   | 0.12%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5244.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-500091.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-83073.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1455.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-138017.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 03/18/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $13337.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 3CB1        | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      241423 | PA      | $192325.28    | 0.02%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-9070.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4509.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-6197.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1       | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13806 | PA      | $12679.36     | 0.00%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A4          | CUSIP: 61752UAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      922748 | PA      | $479603.04    | 0.05%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3318.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/35 VAR              | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2911226.47   | 0.28%             | 2035-01-23      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $251.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251028                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2019.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4969.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      249181 | PA      | $239169.47    | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $215337.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1600000 | PA      | $1632114.18   | 0.15%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-0.06        | 0.00%             |  |  |  | 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        |   982000000 | PA      | $5665101.13   | 0.54%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2              | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36246 | PA      | $34706.29     | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1014633.26   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 01/31 VAR          | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1652012.32   | 0.16%             | 2031-01-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.75000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-16767.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $21080.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                        | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413720 | PA      | $37350.74     | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.8468* 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-17578.30    | -0.00%            |  |  |  | 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        |     1344000 | PA      | $1396723.53   | 0.13%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $3522.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1473566 | PA      | $1488518.46   | 0.14%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75             | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     4200000 | PA      | $4987374.26   | 0.47%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT COP SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $92202.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                             | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9           | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     2200000 | PA      | $1419353.02   | 0.13%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.75000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-8327.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                               | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1230637 | PA      | $1445781.10   | 0.14%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                             | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1913756 | PA      | $1909088.71   | 0.18%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $30376.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-6360.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                                                           | BANK OF NEW ZEALAND COVERED REGS 12/28 3.7075           | CUSIP: ACI2GWZD7<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |     3000000 | PA      | $3645371.41   | 0.35%             | 2028-12-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-OAT FUTURE   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -149 | NC      | $8746.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                               | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35888 | PA      | $22692.42     | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                     | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876         | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     4500000 | PA      | $4661883.81   | 0.44%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2087.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A6           | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159454 | PA      | $150994.16    | 0.01%             | 2047-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $4431.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $44914.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1163.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-75103.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/36 VAR         | CUSIP: 86562MEA4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     2300000 | PA      | $2358474.60   | 0.22%             | 2036-07-08      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251211                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $8031.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      249284 | PA      | $153914.85    | 0.01%             | 2046-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5719.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-193.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $17738.73     | 0.00%             |  |  |  | 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        |     2700000 | PA      | $2740035.52   | 0.26%             | 2028-01-18      | Fixed         | 4.75%                 | 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        |     3900000 | PA      | $3134015.63   | 0.30%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     6700000 | PA      | $3724180.04   | 0.35%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $11902.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCUNIA EUROPEAN CLO I DAC 1A                                                 | ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A                   | CUSIP: ACI19ZJ97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      184360 | PA      | $216562.04    | 0.02%             | 2030-07-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/52 1                     | CUSIP: ACI24VWS2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   500000000 | PA      | $2145958.01   | 0.20%             | 2052-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64917 | PA      | $47748.65     | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/56 5.375              | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     1100000 | PA      | $1453470.51   | 0.14%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $1484.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $322.66       | 0.00%             |  |  |  | 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        |      400000 | PA      | $399279.86    | 0.04%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A                                     | BRACCAN MORTGAGE FUNDING BRACN 2025 1A A 144A           | CUSIP: ACI2X1P88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2899996 | PA      | $3920636.06   | 0.37%             | 2067-05-17      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG44 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-596865.61   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $250051.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $5562.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-9361.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3100000 | PA      | $3100039.25   | 0.29%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6          | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |     1532748 | PA      | $1534878.05   | 0.15%             | 2030-06-24      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NGN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $3791.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      208000 | PA      | $207213.55    | 0.02%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED REGS 05/33 VAR           | CUSIP: ACI2G3031<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1800000 | PA      | $2288510.90   | 0.22%             | 2033-05-23      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $21112.69     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-3277.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 5A1          | CUSIP: 05946XJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151299 | PA      | $149147.20    | 0.01%             | 2034-11-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RLA3 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2737919 | NC      | $14371.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFD4 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      728000 | NC      | $3529.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $37749.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3959.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-91017.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1200000 | NC      | $-372.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 03/42 3.5           | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3200000 | PA      | $2306107.20   | 0.22%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-3779.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $979.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $7695.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM3369 FN 01/48 FIXED VAR                     | CUSIP: 3140J7W76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18686 | PA      | $17968.88     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING 2024-3 PLC 24-3A                                         | TOWER BRIDGE FUNDING TWRBG 2024 3A A 144A               | CUSIP: ACI2R23Z7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1957546 | PA      | $2636506.26   | 0.25%             | 2066-12-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 04/31 VAR          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      700000 | PA      | $724020.16    | 0.07%             | 2031-04-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-62174.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                                | BULGARIA SR UNSECURED REGS 07/35 3.375                  | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     1300000 | PA      | $1497724.69   | 0.14%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                         | ROMARK CREDIT FUNDING LTD RCF 2025 4A A 144A            | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1804860.00   | 0.17%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88500 07/12/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-80285.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3013950.35   | 0.29%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-9948.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A      | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      185968 | PA      | $186429.84    | 0.02%             | 2053-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-368.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $3284.69      | 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      | $-112173.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $10379.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A1        | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137895 | PA      | $124766.42    | 0.01%             | 2047-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    72200000 | PA      | $74663887.81  | 7.07%             | 2054-11-15      | Fixed         | 6.50%                 | 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      | $-7675.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-447.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-391.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-6894.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87524 | PA      | $91203.64     | 0.01%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-907118.68   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10885 | PA      | $10231.90     | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $12023.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $335.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   227450000 | PA      | $162095.49    | 0.02%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                            | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1283 | PA      | $1198.47      | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.75000 09/17/25-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $21752.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3105.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5    | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      200000 | PA      | $202532.47    | 0.02%             | 2030-05-06      | Fixed         | 4.50%                 | 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        |      191340 | PA      | $158149.65    | 0.01%             | 2035-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $49523.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $299.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-1973.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-20090.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      604397 | PA      | $577060.06    | 0.05%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1957102.81   | 0.19%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251226                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $167.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RMZ7 PIMCO FXVAN PUT EUR CZK 24.20000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |     1289000 | NC      | $6934.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      555900 | PA      | $526337.14    | 0.05%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-265.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-11877.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-38.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55124 | PA      | $40938.17     | 0.00%             | 2035-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-9978.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $23728.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP          | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46456 | PA      | $16786.70     | 0.00%             | 2036-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A2        | CUSIP: 45667WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      146691 | PA      | $140094.89    | 0.01%             | 2036-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $422.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-5857.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $29825.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12899.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-4932.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6367.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB7197 FN 07/53 FIXED 5.5                     | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5093745 | PA      | $5158508.06   | 0.49%             | 2053-07-01      | Fixed         | 5.50%                 | 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        |      441335 | PA      | $454989.91    | 0.04%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.22         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      265010 | PA      | $13623.17     | 0.00%             | 2038-01-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6361.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14588.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1879.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-6221.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-10759.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $22305.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.00000 03/18/26-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-411527.57   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                              | MORGAN STANLEY PVT BANK SR UNSECURED 07/28 VAR          | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2313519.88   | 0.22%             | 2028-07-06      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $243.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R9N9 PIMCO FXVAN PUT EUR USD 1.12900000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     5242000 | NC      | $184.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                                  | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1919 | PA      | $1963.33      | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $55.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-11063.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $28991.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-3721.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-2126.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1138.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     3700000 | PA      | $850884.59    | 0.08%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD3121 FR 06/53 FIXED 6               | CUSIP: 3132DQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103117 | PA      | $106409.00    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1084000 | NC      | $1089.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2         | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52533 | PA      | $48037.44     | 0.00%             | 2045-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $875.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                      | AMERICAN EXPRESS CO SR UNSECURED 05/32 VAR              | CUSIP: ACI2X3ZW0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $2012537.49   | 0.19%             | 2032-05-20      | Floating      | 3.43%                 | 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        |     3807083 | PA      | $3663306.36   | 0.35%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH42 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1580000 | NC      | $-4120.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $78332.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-3992.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49400 | PA      | $40475.82     | 0.00%             | 2037-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                             | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1             | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8433 | PA      | $5405.24      | 0.00%             | 2045-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RME4 PIMCO FXVAN PUT USD BRL 5.27500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2854000 | NC      | $-23956.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251023                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1844.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85961 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-33439.48    | -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      | $-8863.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77259 03/04/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $44806.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $3441.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $57439.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BY7566 FN 07/54 FIXED 6                       | CUSIP: 3140NQMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16996 | PA      | $17528.50     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4304.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-881.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-171714.97   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78491 | PA      | $72751.54     | 0.01%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A         | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42309 | PA      | $41436.86     | 0.00%             | 2034-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVELOPMENT BANK                                               | INTER AMERICAN DEVEL BK UNSECURED REGS 04/27 2.5        | CUSIP: ACI0QK6X4<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |     1800000 | PA      | $1169763.75   | 0.11%             | 2027-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8202.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $91089.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      503000 | PA      | $483717.35    | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-8128.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.21300 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1143817.14   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-7367.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5457.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2370.52     | -0.00%            |  |  |  | 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        |       30561 | PA      | $22756.94     | 0.00%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $469396.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1079.35     | -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        |     1700000 | PA      | $1737402.53   | 0.16%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7542.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                  | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     1000000 | PA      | $1174050.66   | 0.11%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | 31750RFG7 PIMCO FXVAN PUT USD BRL 5.48000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     3300000 | NC      | $91558.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      567000 | NC      | $573.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA8029 FN 02/54 FIXED 6                       | CUSIP: 3140A84P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      607907 | PA      | $622809.56    | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-8334.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2312000 | NC      | $-1512.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $10190.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED REGS 08/28 VAR                | CUSIP: H3698DDN1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      656000 | PA      | $681734.11    | 0.06%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8742.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3697 | PA      | $3668.88      | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1225.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL BILLS 11/25 0.00000                    | CUSIP: ACI2S28H1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   150000000 | PA      | $99296.86     | 0.01%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18843 | PA      | $18281.39     | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      500000 | PA      | $514939.40    | 0.05%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928164 | PA      | $783983.76    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-617.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                   | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3177247 | PA      | $3185417.33   | 0.30%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC HSBC HOLDINGS PLC                     | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $510614.86    | 0.05%             | 2028-05-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                  | ACE SECURITIES CORP. ACE 2006 FM1 A1A                   | CUSIP: 00441VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2149703 | PA      | $724268.76    | 0.07%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1         | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      763501 | PA      | $234456.00    | 0.02%             | 2047-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-1992.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375  | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1000000 | PA      | $1051619.21   | 0.10%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                           | MFRA TRUST MFRA 2023 NQM4 A1 144A                       | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570598 | PA      | $575934.78    | 0.05%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/30 5.186      | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      800000 | PA      | $824670.64    | 0.08%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QJ0287 FR 07/54 FIXED 6               | CUSIP: 3133CQJ89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      359870 | PA      | $375201.53    | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-117.01      | -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      | $-39188.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5138 FN 09/53 FIXED 5.5                     | CUSIP: 31418EV80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      825213 | PA      | $835132.20    | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20260311                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-541.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 03/35 VAR                | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     2900000 | PA      | $3059271.34   | 0.29%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA5502 FR 06/51 FIXED 3               | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68646 | PA      | $60474.62     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QG9137 FR 08/53 FIXED 5.5             | CUSIP: 3133CAEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2444144 | PA      | $2472074.53   | 0.23%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1631.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251229                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-94.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12      | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327878 | PA      | $99752.96     | 0.01%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                              | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2                | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      461075 | PA      | $101452.77    | 0.01%             | 2046-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1B3940 FH 11/35 FLOATING VAR          | CUSIP: 3128JPHS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14248 | PA      | $14443.71     | 0.00%             | 2035-11-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      265010 | PA      | $261528.21    | 0.02%             | 2038-01-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $947.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $4.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48989 | PA      | $45378.94     | 0.00%             | 2036-03-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BR1297 FN 02/51 FIXED 2.5                     | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66280 | PA      | $56294.54     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-56.62       | -0.00%            |  |  |  | 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        |      100000 | PA      | $70341.80     | 0.01%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-314.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A6         | CUSIP: 74922UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177809 | PA      | $143163.70    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251030                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $29.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR          | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1975 | PA      | $2028.47      | 0.00%             | 2035-08-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-6606.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $15517.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3120121 | PA      | $3122547.13   | 0.30%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $171.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $29380.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-4648.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A         | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25448 | PA      | $24301.66     | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3555551.53   | 0.34%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $8394.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1694177.31   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      721477 | PA      | $605976.23    | 0.06%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7828 G2 01/52 FIXED 3                    | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      446364 | PA      | $399112.71    | 0.04%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA BPCE SA                                         | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     2400000 | PA      | $2482864.25   | 0.24%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      900000 | PA      | $1054267.67   | 0.10%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4337800 | PA      | $4205678.25   | 0.40%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $48.78        | 0.00%             |  |  |  | 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        |     2812618 | PA      | $2805490.14   | 0.27%             | 2039-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR         | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     2350000 | PA      | $2460095.27   | 0.23%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      700000 | PA      | $821227.31    | 0.08%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFW2 PIMCO FXVAN PUT EUR HUF 393.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1104269 | NC      | $12316.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -567000 | NC      | $-370.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $481.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                      | ARCANO EURO CLO ARCAN 2A A 144A                         | CUSIP: ACI2YDJX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2900000 | PA      | $3415508.31   | 0.32%             | 2039-07-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                    | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   320000000 | PA      | $2107475.40   | 0.20%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-15980.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.7500 12/18/18-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-136324.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-25570.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1656946 | PA      | $1662232.91   | 0.16%             | 2038-04-18      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A       | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12385 | PA      | $11982.32     | 0.00%             | 2035-01-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| PEOPLES CHOICE HOME LOAN SECURITIES TRUST 2005-1                              | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 1 M4          | CUSIP: 71085PBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107527 | PA      | $105639.16    | 0.01%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/32 3.775       | CUSIP: B75489II5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    55960000 | PA      | $1998506.59   | 0.19%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-2239.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-750.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/26 VAR                              | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1900000 | PA      | $1893127.30   | 0.18%             | 2026-11-24      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-124.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-44.2 FAR                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $38087.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24891 | PA      | $23279.51     | 0.00%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      324000 | PA      | $323453.39    | 0.03%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $147.73       | 0.00%             |  |  |  | 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        |          14 | PA      | $1.77         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC                                    | CUSIP: 37790AXG3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249519.63    | 0.02%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1027.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $642.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/51 0.7                   | CUSIP: BNKDTMII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   250000000 | PA      | $1009652.77   | 0.10%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $56580.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-171.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $27708.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3 | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     7270000 | PA      | $8738574.96   | 0.83%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $8010.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1252.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A     | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1642896.76   | 0.16%             | 2034-10-15      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-24027.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-16669.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/31 5.125                   | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1800000 | PA      | $2110945.44   | 0.20%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8        | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      400000 | PA      | $364622.57    | 0.03%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6152.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $12788.10     | 0.00%             |  |  |  | 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        |     4800000 | PA      | $5404752.87   | 0.51%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.23         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      412360 | PA      | $421832.25    | 0.04%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/37 4.762                   | CUSIP: ACI0TJ8B0<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     1700000 | PA      | $448891.00    | 0.04%             | 2037-04-07      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-5415.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258963 | PA      | $243173.37    | 0.02%             | 2037-07-27      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9690966 | PA      | $9580588.42   | 0.91%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA8486 G2 12/52 FIXED 3                    | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77272 | PA      | $69188.17     | 0.01%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7709.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-12596.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A      | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20917 | PA      | $19178.92     | 0.00%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      831261 | PA      | $803438.07    | 0.08%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $208553.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.83603 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-28450.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $29617.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $10304.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64596 | PA      | $61300.66     | 0.01%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2227.58      | 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      | $450.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6493.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 773328 FN 06/35 FLOATING VAR                  | CUSIP: 31404ND94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1427 | PA      | $1463.51      | 0.00%             | 2035-06-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-58112.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1246612.68   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $26767.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5         | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1394512 | PA      | $1163784.42   | 0.11%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $18330.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $5686.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2           | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     1000000 | PA      | $557032.37    | 0.05%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R8D2 PIMCO FXVAN PUT AUD USD 0.62500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2376000 | NC      | $4.72         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-3180.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2499.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/30 1.375                   | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |    77760000 | PA      | $52293.73     | 0.00%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6619.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3625000 | NC      | $3643.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-36336.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1         | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      347656 | PA      | $321159.41    | 0.03%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $17108.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-25420.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/28 3.519                   | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    47830000 | PA      | $11437950.28  | 1.08%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                       | HARVEST CLO HARVT 16A ARR 144A                          | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      651282 | PA      | $765283.15    | 0.07%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-61203.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $203284.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-3                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 3A2         | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14616 | PA      | $14034.62     | 0.00%             | 2033-05-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-2529.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A       | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      503080 | PA      | $353711.11    | 0.03%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      400000 | PA      | $396692.21    | 0.04%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20162 | PA      | $20147.19     | 0.00%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1545.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17544.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-102.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138564 | PA      | $125170.77    | 0.01%             | 2035-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                   | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   850000000 | PA      | $4461027.15   | 0.42%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326A3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -39800000 | PA      | $-36294756.29 | -3.44%            | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1        | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156799 | PA      | $140868.44    | 0.01%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                          | VOYA CLO LTD VOYA 2017 1A A1R 144A                      | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       70004 | PA      | $70056.58     | 0.01%             | 2030-04-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RH59 PIMCO FXVAN PUT USD BRL 5.47000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1580000 | NC      | $42015.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/61 3.404      | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      800000 | PA      | $553030.49    | 0.05%             | 2061-04-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                         | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6            | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189270 | PA      | $4841.42      | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $7420.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG REGS 11/30 VAR                         | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      600000 | PA      | $666119.60    | 0.06%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)             | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |      500000 | PA      | $603761.42    | 0.06%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1278997.29   | 0.12%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8287 | PA      | $8289.68      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $16365.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNY BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $4.74         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3254175 | PA      | $3039985.17   | 0.29%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         225 | NC      | $-96702.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR            | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2492545.83   | 0.24%             | 2029-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $0.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 1A1            | CUSIP: 466247XE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      929040 | PA      | $645688.52    | 0.06%             | 2035-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1218077 | PA      | $1115436.42   | 0.11%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 5YR BOND FUT  DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         144 | NC      | $2069.41      | 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        |     2100000 | PA      | $2107970.38   | 0.20%             | 2035-04-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14352 | PA      | $14529.60     | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $616.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $38020.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-7769.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-137073.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BANK OF NEW YORK                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -257112 | PA      | $-257433.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                | COMMONWEALTH BANK AUST COVERED 144A 01/30 4.971         | CUSIP: 202712BW4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     5900000 | PA      | $6134454.55   | 0.58%             | 2030-01-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18600000 | PA      | $19104047.72  | 1.81%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RFX0 PIMCO FXVAN PUT EUR CZK 24.25000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1234000 | NC      | $7001.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA GAS CORPORATION                                                         | KOREA GAS CORP SR UNSECURED REGS 10/29 3.5              | CUSIP: ACI2ZFLG1<br>LEI: 988400TFZILHBD5M3R71 | Long             | DBT              | MUN               | KR        |     2000000 | PA      | $1935807.24   | 0.18%             | 2029-10-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.11518 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-90169.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3009140 | PA      | $3145207.62   | 0.30%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS REGS 02/28 0.75                  | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     4200000 | PA      | $4760202.50   | 0.45%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2004-11                                                       | IMPAC CMB TRUST IMM 2004 11 2A1                         | CUSIP: 45254NMB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7338 | PA      | $6778.34      | 0.00%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1344671.33   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                         | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A          | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4544 | PA      | $4.80         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXH1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1646404.65   | 0.16%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BY7552 FN 07/54 FIXED 6                       | CUSIP: 3140NQMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1360243 | PA      | $1409376.18   | 0.13%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $161.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $12395.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10954.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4238.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $6160.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46559 | PA      | $47159.74     | 0.00%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT DEC25 XSFE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -594 | NC      | $377347.43    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3026 | PA      | $2853.96      | 0.00%             | 2034-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251211                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4583.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1113.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-23649.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                         | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1         | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88556 | PA      | $79743.21     | 0.01%             | 2035-10-25      | Floating      | 4.35%                 | 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        |     1400000 | PA      | $1483136.84   | 0.14%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-14758.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $9070.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 3A3              | CUSIP: 466247SL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2046 | PA      | $2051.73      | 0.00%             | 2035-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6426.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-1174.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4          | CUSIP: 05950RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42222 | PA      | $39389.57     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1904696 | PA      | $1729696.80   | 0.16%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1300000 | PA      | $1337633.41   | 0.13%             | 2029-03-12      | Fixed         | 5.38%                 | 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        |     6600000 | PA      | $6747073.94   | 0.64%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1591.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $10605.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1        | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104088 | PA      | $99357.40     | 0.01%             | 2045-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-5523.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-985.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $56247.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-2437.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113127 | PA      | $99845.79     | 0.01%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1600000 | PA      | $1208562.50   | 0.11%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.34250 05/16/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $34797.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.25000 12/20/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $114194.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.34250 01/10/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $139476.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $209.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 03/35 2.41        | CUSIP: ACI2TGV26<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    20670000 | PA      | $695044.85    | 0.07%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                        | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         314 | PA      | $306.61       | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-61160.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1225.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -10580000 | PA      | $-10660958.58 | -1.01%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                       | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A    | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550100 | PA      | $475449.63    | 0.05%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 3A1        | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7781 | PA      | $7934.26      | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/1.9000 12/18/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-172772.66   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                                       | FREDDIE MAC FHR 5563 FV                                 | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2745240 | PA      | $2759661.33   | 0.26%             | 2055-08-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.50000 09/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $127140.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5             | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3223864 | PA      | $2727203.38   | 0.26%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8553 | PA      | $8304.64      | 0.00%             | 2033-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-21796.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.50000 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $77360.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  2433050000 | PA      | $1430528.81   | 0.14%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $20.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QG5960 FR 07/53 FIXED 5.5             | CUSIP: 3133C6TR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      783427 | PA      | $793206.58    | 0.08%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-56724.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4753275 | PA      | $4139736.44   | 0.39%             | 2052-04-25      | Fixed         | 3.00%                 | 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        |      219000 | NC      | $4498.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -61950000 | PA      | $-49946141.16 | -4.73%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $15921.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4360.51      | 0.00%             |  |  |  | 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        |     2500000 | PA      | $2590043.38   | 0.25%             | 2030-03-05      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75007 | PA      | $67148.41     | 0.01%             | 2046-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32975 | PA      | $9296.31      | 0.00%             | 2037-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290502                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17544.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                | SINGAPORE GOVERNMENT SR UNSECURED REGS 06/54 3.25       | CUSIP: ACI2P78N0<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     4277000 | PA      | $4172379.73   | 0.40%             | 2054-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA22                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1       | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143592 | PA      | $141533.21    | 0.01%             | 2047-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-10312.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $860.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 832802 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3018 | PA      | $3053.25      | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $751.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2212.18     | -0.00%            |  |  |  | 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        |     1879728 | PA      | $1883476.79   | 0.18%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN (RSC) LTD                                                           | MDGH GMTN RSC LTD COMPANY GUAR 144A 04/33 5.5           | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | MUN               | AE        |      600000 | PA      | $640440.00    | 0.06%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $3697.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNY BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1849.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OIL CORP (KNOC)                                                | KOREA NATIONAL OIL CORP SR UNSECURED 144A 09/29 4.25    | CUSIP: 50065LAL4<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |     2000000 | PA      | $2007901.00   | 0.19%             | 2029-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-205365.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     5700000 | PA      | $3202364.33   | 0.30%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-139870.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96149.16     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $992.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 07/34 VAR      | CUSIP: 853254CU2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     2400000 | PA      | $2604065.16   | 0.25%             | 2034-07-06      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2235111.92   | 0.21%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 1A1A       | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      334512 | PA      | $316080.51    | 0.03%             | 2046-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-35687.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A         | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10173 | PA      | $9919.28      | 0.00%             | 2042-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-450676.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                       | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1       | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34908 | PA      | $12199.89     | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5192.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     8961000 | PA      | $2858626.23   | 0.27%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3 | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     4400000 | PA      | $5141801.84   | 0.49%             | 2035-10-31      | Fixed         | 3.20%                 | 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        |   738000000 | PA      | $4861363.22   | 0.46%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8459.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -81 | NC      | $11382.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-72798.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A       | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142813 | PA      | $92476.79     | 0.01%             | 2035-11-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-40338.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-15857.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-2239.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5358.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-9548.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $10487.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $38705.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25443 | PA      | $25189.61     | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $154976.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8396 FR 01/54 FIXED 6               | CUSIP: 3132DWKH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54525 | PA      | $55876.98     | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      600000 | PA      | $584543.39    | 0.06%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3516 | PA      | $3489.58      | 0.00%             | 2034-04-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-471670.55   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1201.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16062 | PA      | $15987.87     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1200000 | NC      | $-440.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/1.5000 06/17/20-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-220835.11   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1633.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-265.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-214149.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                       | NTT FINANCE CORP SR UNSECURED 144A 07/32 5.171          | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     2200000 | PA      | $2253803.09   | 0.21%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5865.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      175000 | PA      | $131619.14    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1000.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                                 | SEQUOIA MORTGAGE TRUST SEMT 2005 4 2A1                  | CUSIP: 81744FJG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10853 | PA      | $10995.95     | 0.00%             | 2035-04-20      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                             | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25992 | PA      | $5556.77      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $4365.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2187.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      815731 | PA      | $751372.05    | 0.07%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2860.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1231.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      500000 | PA      | $378519.80    | 0.04%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |      400000 | PA      | $356563.12    | 0.03%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251211                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-438.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2       | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186578 | PA      | $75710.61     | 0.01%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300509                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8209.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                               | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1                | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      184972 | PA      | $166107.56    | 0.02%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                           | DEVELOPMENT BK OF JAPAN DEVELOPMENT BK OF JAPAN         | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |     1800000 | PA      | $1804261.39   | 0.17%             | 2027-08-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-10921.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6199.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-10.80       | -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      | $293179.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-22673.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      670826 | PA      | $556890.51    | 0.05%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1600000 | PA      | $1878481.06   | 0.18%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX3                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A1        | CUSIP: 45670AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171246 | PA      | $159915.38    | 0.02%             | 2037-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                            | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20515 | PA      | $20369.11     | 0.00%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 12/60 2.78                | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1000000 | PA      | $560800.00    | 0.05%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.22         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95   | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1300000 | PA      | $1284772.28   | 0.12%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $26754.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $76096.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1040000 | PA      | $-1008895.91  | -0.10%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                              | FREDDIE MAC FHR 2395 FT                                 | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5660 | PA      | $5649.46      | 0.00%             | 2031-12-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-40830.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                                  | TCI SYMPHONY CLO TSYMP 2016 1A AR2 144A                 | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1932380 | PA      | $1935199.41   | 0.18%             | 2032-10-13      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      888678 | PA      | $777901.74    | 0.07%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-17116.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY 03/35 1                                  | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3737789.32   | 0.35%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20270610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-137.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.65                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     1500000 | PA      | $1535589.00   | 0.15%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-62.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.32500 12/01/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6912.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1059.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 10/29 VAR              | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2744292.30   | 0.26%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                                | BULGARIA SR UNSECURED REGS 07/45 4.125                  | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     1400000 | PA      | $1590136.57   | 0.15%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                            | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1739852 | PA      | $1743989.42   | 0.17%             | 2032-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48621 | PA      | $44316.45     | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-221583.27   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $213.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           4 | PA      | $0.52         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1813.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                     | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2600000.00   | 0.25%             | 2034-07-10      | Floating      | 5.44%                 | 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        |        1442 | PA      | $1442.86      | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-3964.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-592.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375  | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1200000 | PA      | $1423386.15   | 0.13%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-147014.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2357988 | PA      | $2578796.34   | 0.24%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75   | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      300000 | PA      | $348819.84    | 0.03%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2643.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DB9539 FN 08/54 FIXED 6                       | CUSIP: 3140AKS55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1296493 | PA      | $1345842.22   | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-615488.14   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.37000 10/09/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $158628.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 04/31 VAR           | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     1600000 | PA      | $1649312.45   | 0.16%             | 2031-04-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-109.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/53 1.5                | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2400000 | PA      | $1397425.86   | 0.13%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-13714.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-551.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1        | CUSIP: 46627MBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      865591 | PA      | $588238.44    | 0.06%             | 2035-12-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-7225.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $23708.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $9565.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1 | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     2000000 | PA      | $1033917.83   | 0.10%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1723.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2525.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $151005.08    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $5547.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1250269.21   | 0.12%             | 2035-01-18      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $12203.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A          | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11170 | PA      | $10858.78     | 0.00%             | 2033-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $825.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4224.66     | -0.00%            |  |  |  | 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        |     3305654 | PA      | $2860488.82   | 0.27%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797RR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       96000 | PA      | $95356.85     | 0.01%             | 2025-12-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1087.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875  | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      400000 | PA      | $406256.18    | 0.04%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5655379 | PA      | $4897310.21   | 0.46%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer