# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007182
**Filing Date:** 2026-5
**Character Count:** 913931
**Document Hash:** 921be9c4faa7ee17428fc267d0841759
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007182.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007182

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043341

**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 (U.S. Dollar-Hedged) (Series ID: S000009678)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026516 | Institutional  | PFORX           |
| C000026517 | Administrative | PFRAX           |
| C000026518 | A              | PFOAX           |
| C000026520 | C              | PFOCX           |
| C000026522 | R              | PFRRX           |
| C000064132 | I-2            | PFBPX           |
| C000200438 | I-3            | PFONX           |

## 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 (U.S. Dollar-Hedged)

- **b. EDGAR series identifier (if any):** S000009678

- **c. LEI of Series:** 549300NKY72DZUNDF872

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $40546572092.32

**Total Liabilities:** $22813246309.28

**Net Assets:** $17733325783.04

**Delayed Delivery Securities:** $97439277.33

**Cash Not Reported:** $99465889.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -102543.630700 | **1-Year:** 1434999.757900 | **5-Year:** 5422914.203600 | **10-Year:** 2990384.745800 | **30-Year:** 520018.704000

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

- **3-Month:** 34324.276700 | **1-Year:** 47245.210200 | **5-Year:** 252718.753500 | **10-Year:** 62528.434100 | **30-Year:** 26.815700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026517 | 0.49%                | 0.98%                | -3.06%               |
| Class ID C000026518 | 0.47%                | 0.97%                | -3.07%               |
| Class ID C000026520 | 0.41%                | 0.91%                | -3.13%               |
| Class ID C000064132 | 0.50%                | 0.99%                | -3.05%               |
| Class ID C000200438 | 0.50%                | 0.99%                | -3.05%               |
| Class ID C000026522 | 0.45%                | 0.95%                | -3.09%               |
| Class ID C000026516 | 0.51%                | 1.00%                | -3.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $61634610.22             | $45391895.17                               |
| Month 2  | $40821318.66             | $119161665.42                              |
| Month 3  | $11935176.14             | $-572200946.18                             |

**Designated Index Information**

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

- **Index Identifier:** LG38TRUH

### 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                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-3955891.05   | -0.02%            |  |  |  | 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        |  15715285520 | PA      | $99368570.74   | 0.56%             | 2028-03-10      | Fixed         | 0.10%                 | 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      | $1630888.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $134076.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                        | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/29 5.2    | CUSIP: 86563VBQ1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     16400000 | PA      | $16728250.59   | 0.09%             | 2029-03-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                             | GACI FIRST INVESTMENT COMPANY GUAR REGS 07/34 5.625     | CUSIP: ACI2TFXT7<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |     25800000 | PA      | $26217127.43   | 0.15%             | 2034-07-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2164 FN 06/38 FIXED VAR                     | CUSIP: 3140X5MN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       143859 | PA      | $139113.57     | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-93540.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     38095711 | PA      | $39528969.17   | 0.22%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032647<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -98590000 | PA      | $-90443294.36  | -0.51%            | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-1651551.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-405903.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-118561.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED 144A 07/51 3.3                | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      4600000 | PA      | $2980864.72    | 0.02%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-867084.04    | -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        |     47100000 | PA      | $45706660.01   | 0.26%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                     | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GDP0<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      3500000 | PA      | $3490477.90    | 0.02%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $-269167.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $33354.33      | 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        |      6291961 | PA      | $8314598.17    | 0.05%             | 2066-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $94514.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-4241.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $8170.07       | 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        |      8900000 | PA      | $1717261.98    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                       | GLOBAL PMTS INC 04/26 ZCP                               | CUSIP: 37961DD15<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      5900000 | PA      | $5899317.96    | 0.03%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6112900.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                           | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101297 | PA      | $61777.59      | 0.00%             | 2036-08-25      | Floating      | 4.54%                 | 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      | $-3439070.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       270000 | PA      | $269646.56     | 0.00%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-3128.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1535 FN 02/48 FIXED 3.5                     | CUSIP: 3140Q8V51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5691797 | PA      | $5304148.87    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.24360 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-125718.84    | -0.00%            |  |  |  | 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        |         3906 | PA      | $4021.40       | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | 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      | $-317685.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $4980.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016          | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     41200000 | PA      | $40641682.32   | 0.23%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $86518.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/40 2.7         | CUSIP: ACI2SCV91<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   3343700000 | PA      | $99838542.69   | 0.56%             | 2040-06-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $385536.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF QUEENSLAND LIMITED                                                | BANK OF QUEENSLAND LTD BANK OF QUEENSLAND LTD           | CUSIP: ACI2P76R3<br>LEI: 549300WFIN7T02UKDG08 | Long             | DBT              | CORP              | AU        |     30377000 | PA      | $35261593.12   | 0.20%             | 2029-07-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.23223 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-76132.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0868 G2 01/56 FIXED 3.5                  | CUSIP: 3618N56E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11200487 | PA      | $10281068.35   | 0.06%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-32320.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-618.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KE75<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $5376053.70    | 0.03%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $38935.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/51 0.7                   | CUSIP: ACI22TWV2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    590000000 | PA      | $1905078.60    | 0.01%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1635733.90   | -0.01%            |  |  |  | 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        |        39115 | PA      | $38275.44      | 0.00%             | 2035-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 07/33 VAR            | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9953085.70    | 0.06%             | 2033-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                     | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A        | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     10000000 | PA      | $11552318.40   | 0.07%             | 2036-08-29      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A       | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1064212 | PA      | $1070270.52    | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                    | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B              | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      2713861 | PA      | $3155602.00    | 0.02%             | 2028-07-10      | Floating      | 4.46%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-397660.23    | -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        |     52800000 | PA      | $54598766.64   | 0.31%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 10/26 0.00000              | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1191500000 | PA      | $215495352.25  | 1.22%             | 2026-10-01      | None          | 0.00%                 | 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        |       457954 | PA      | $423489.55     | 0.00%             | 2044-10-25      | Floating      | 5.06%                 | 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        |      7041490 | PA      | $3725493.46    | 0.02%             | 2046-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5328 FN 04/54 FIXED 6                       | CUSIP: 31418E4N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    149512607 | PA      | $152835435.46  | 0.86%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $108622.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-784.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                     | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A6         | CUSIP: 57645MAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3178731 | PA      | $1017631.54    | 0.01%             | 2036-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-172670.40    | -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        |      2433341 | PA      | $2251098.72    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $130006.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $259165.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 12/99 3.23                | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      3300000 | PA      | $1772100.00    | 0.01%             | 2099-12-31      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $240.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A           | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3115000 | PA      | $4101126.34    | 0.02%             | 2049-12-21      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A      | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2363461 | PA      | $2139737.31    | 0.01%             | 2047-11-25      | Floating      | 5.24%                 | 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      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                 | BANQUE FED CRED MUTUEL 144A 07/26 5.896                 | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     24800000 | PA      | $24914967.34   | 0.14%             | 2026-07-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-7124046.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $150.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A       | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2177000 | PA      | $2223447.60    | 0.01%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1      | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40876 | PA      | $36793.41      | 0.00%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $48028.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $3481.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $113310.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2           | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124895 | PA      | $124952.56     | 0.00%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                     | ROMARK CREDIT FUNDING I, LTD. RCF 2025 4A A 144A        | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11500000 | PA      | $11562008.00   | 0.07%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-592854.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4564731.74    | 0.03%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-77590.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995           | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     24750000 | PA      | $29284427.58   | 0.17%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-19664.91     | -0.00%            |  |  |  | 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      | $-29259.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $2356.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-959758.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-36941.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.59          | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-27745.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $8459.76       | 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        |     22630000 | PA      | $25977454.22   | 0.15%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-2X                                               | NEWGATE FUNDING PLC NGATE 2007 2X M REGS                | CUSIP: B1YXNZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1905410 | PA      | $2376986.47    | 0.01%             | 2050-12-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR6                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR6 1A        | CUSIP: 93935FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2012223 | PA      | $1731890.73    | 0.01%             | 2046-07-25      | Floating      | 4.17%                 | 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        |   6120000000 | PA      | $37185059.07   | 0.21%             | 2029-06-20      | Fixed         | 0.40%                 | 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      | $16656384.64   | 0.09%             |  |  |  | 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        |        20455 | PA      | $19054.15      | 0.00%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA REGS 01/36 VAR                                  | CUSIP: F11494CJ2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      1000000 | PA      | $1047270.78    | 0.01%             | 2036-01-14      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    906400000 | PA      | $16327334.09   | 0.09%             | 2030-10-14      | Fixed         | 19.70%                | 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        |    -38786000 | NC      | $-15669.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B            | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2338579 | PA      | $1784003.99    | 0.01%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $18422.53      | 0.00%             |  |  |  | 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      | $219975.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VALERIE ASSET LTD                                                         | VALERIE ASSET LTD 09/50 1                               | CUSIP: 918940AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     69707000 | PA      | $68224021.22   | 0.38%             | 2050-09-15      | Fixed         | 5.22%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $70115863.09   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $-57540.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-21078.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-405.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.70000 04/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-532583.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -34122000 | NC      | $-13785.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-3168.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5272 FN 02/54 FIXED 6                       | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10340625 | PA      | $10568934.03   | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.45975 09/02/25-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2653024.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2165412.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 06/17/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $665880.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -16225868 | PA      | $-16246691.48  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED REGS 01/31 VAR        | CUSIP: ACI2TCJG8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3876202.15    | 0.02%             | 2031-01-28      | Floating      | 3.26%                 | 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      | $1134150.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080199 G2 05/28 FLOATING VAR               | CUSIP: 36225CGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          746 | PA      | $747.08        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $5815.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2555.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                                | CAPITAL FOUR CLO CFOUR 4A ARR 144A                      | CUSIP: ACI38L038<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6400000 | PA      | $7375017.55    | 0.04%             | 2038-04-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                | FIDELITY NATL INFORMATION SVCS                          | CUSIP: 31622GDQ7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      2250000 | PA      | $2243992.73    | 0.01%             | 2026-04-24      | None          | 0.00%                 | 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      | $-1090114.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $390688.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4018 FR 01/55 FIXED 6.5             | CUSIP: 31425YPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7667524 | PA      | $7970620.59    | 0.04%             | 2055-01-01      | Fixed         | 6.50%                 | 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      | $3689721.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-50829.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                      | LAS VEGAS SANDS CORP SR UNSECURED 06/27 5.9             | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     13900000 | PA      | $14084052.96   | 0.08%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M2         | CUSIP: 17309LAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10426635 | PA      | $10299040.41   | 0.06%             | 2036-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                         | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3937 | PA      | $3723.33       | 0.00%             | 2034-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A        | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         3910 | PA      | $51998.62      | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC3                                   | STRUCTURED ASSET SECURITIES CO SASC 2007 BC3 1A3        | CUSIP: 86363WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1947706 | PA      | $1927245.55    | 0.01%             | 2047-05-25      | Floating      | 4.02%                 | 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        |            8 | PA      | $0.91          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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      | $-2049216.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BE16<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     17400000 | PA      | $17339421.90   | 0.10%             | 2026-05-01      | None          | 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        |      1060124 | PA      | $1044162.89    | 0.01%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                           | PHILIP MORRIS INTL INC SR UNSECURED 02/29 4.875         | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     13000000 | PA      | $13195986.44   | 0.07%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7365000 | PA      | $7613654.11    | 0.04%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-5126.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN CAPITAL TERRITORY                                              | AUST CAPITAL TERRITORY SR UNSECURED REGS 10/30 4.75     | CUSIP: ACI2S54M7<br>LEI: 549300DFQM5A0MPGF178 | Long             | DBT              | MUN               | AU        |     69700000 | PA      | $47376841.13   | 0.27%             | 2030-10-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $704329.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $336755.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                   | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22463778 | PA      | $22625786.84   | 0.13%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $41348.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-7178.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $72676.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2127657.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-187.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-35052.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $17167.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 11/34 2.25          | CUSIP: ACI1CD4N7<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     42600000 | PA      | $22764891.19   | 0.13%             | 2034-11-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.56436 06/30/26-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $94096.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-33936.18     | -0.00%            |  |  |  | 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        |     20700000 | PA      | $13945342.84   | 0.08%             | 2027-01-19      | Fixed         | 1.90%                 | 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        |      7684349 | PA      | $7748605.64    | 0.04%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A        | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       392933 | PA      | $377975.57     | 0.00%             | 2046-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $89735.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68878000 | PA      | $59229699.25   | 0.33%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                          | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21             | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       521827 | PA      | $344470.11     | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                  | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       327566 | PA      | $303036.19     | 0.00%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-16722.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1262873.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-28820.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-27060.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $301709.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15200000 | PA      | $14645029.76   | 0.08%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-90818.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 623651 FN 04/32 FLOATING VAR                  | CUSIP: 31389EZQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3399 | PA      | $3460.31       | 0.00%             | 2032-04-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $3337.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                          | GSR MORTGAGE LOAN TRUST GSR 2007 OA1 1A1                | CUSIP: 3622NAAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2489016 | PA      | $1156219.26    | 0.01%             | 2037-05-25      | Floating      | 4.02%                 | 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        |        11718 | PA      | $11450.91      | 0.00%             | 2033-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                          | DEUTSCHE BANK NY 01/28 VAR                              | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      8200000 | PA      | $8073419.06    | 0.05%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-46939.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $691.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-970.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $46058.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS               | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1253784 | PA      | $1398465.10    | 0.01%             | 2050-12-15      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-66584.79     | -0.00%            |  |  |  | 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        |         9874 | PA      | $9901.92       | 0.00%             | 2033-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $811251.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2           | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8473888 | PA      | $7744855.01    | 0.04%             | 2036-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $71154.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $50953.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -391 | NC      | $-52033.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                     | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GD13<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1199862.00    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $2117.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-1401602.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3       | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37551 | PA      | $28628.97      | 0.00%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $51118.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $59766.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/34 5      | CUSIP: 80413TBG3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     35500000 | PA      | $35366627.57   | 0.20%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080187 G2 04/28 FLOATING VAR               | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          282 | PA      | $281.54        | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | 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        |   5480000000 | PA      | $20134135.66   | 0.11%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 03/36 5 | CUSIP: ACI300V87<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     56300000 | PA      | $37028229.31   | 0.21%             | 2036-03-10      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $84219.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/55 3.4                   | CUSIP: ACI37YF43<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1267600000 | PA      | $7631717.97    | 0.04%             | 2055-12-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $34760.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $77009.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3848.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/37 VAR            | CUSIP: 95000U4E0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     16900000 | PA      | $16469303.50   | 0.09%             | 2037-01-23      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $1210435.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $185330.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB7685 FN 07/54 FIXED 6                       | CUSIP: 3140AHRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5869713 | PA      | $6017525.86    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $2391704.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-80927.35     | -0.00%            |  |  |  | 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        |      7387143 | PA      | $7449568.22    | 0.04%             | 2055-03-25      | Floating      | 4.82%                 | 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      | $219975.15     | 0.00%             |  |  |  | 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      | $-344359.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-50829.70     | -0.00%            |  |  |  | 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      | $0.19          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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      | $-59449.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0480 G2 07/55 FIXED 3                    | CUSIP: 3618N5RA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25544495 | PA      | $22837381.39   | 0.13%             | 2055-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BNDC0SII9<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     34500000 | PA      | $19221387.77   | 0.11%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 01/34 2.63             | CUSIP: ACI2MPQS2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   3823540000 | PA      | $584904982.66  | 3.30%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/31 2.7              | CUSIP: ACI2WHQY6<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      9900000 | PA      | $11215088.70   | 0.06%             | 2031-02-25      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $42542.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-3394.25      | -0.00%            |  |  |  | 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        |        36145 | PA      | $34916.72      | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $107431.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $15645.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22512.88     | -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        |     27600000 | PA      | $28220326.01   | 0.16%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $560963.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-OAT FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3813 | NC      | $16204640.45   | 0.09%             |  |  |  | No            |                  1 | 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        |        31233 | PA      | $8259.62       | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO VII BV 16-7A                                                    | CAIRN CLO BV CRNCL 2016 7A A1R 144A                     | CUSIP: ACI1G9KT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1819537 | PA      | $2105719.17    | 0.01%             | 2030-01-31      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $10033.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $12615225.93   | 0.07%             |  |  |  | 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      | $19764.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.2500 06/17/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $1545.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 09/54 2.19                  | CUSIP: BRT57JII1<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    846400000 | PA      | $118263455.02  | 0.67%             | 2054-09-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $646391.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $1220.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/35 5.375                    | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      6600000 | PA      | $6735374.12    | 0.04%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WELLS FARGO 00/00 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -87043750 | PA      | $-87408731.56  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $18160.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2132 FR 08/54 FIXED 6.5             | CUSIP: 3133CSLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8196894 | PA      | $8499602.61    | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0264 FN 08/54 FIXED 6.5                     | CUSIP: 3140AMJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8663426 | PA      | $8983373.16    | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | 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      | $-12629455.47  | -0.07%            |  |  |  | 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        |        44065 | PA      | $44348.38      | 0.00%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-92728.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-6271.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2682 | PA      | $2643.21       | 0.00%             | 2030-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| POLARIS 2026-1 PLC 2026-1A                                                | POLARIS PLRS 2026 1A A 144A                             | CUSIP: ACI38C327<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     21899612 | PA      | $28918136.93   | 0.16%             | 2070-06-27      | Floating      | 4.45%                 | 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      | $-593173.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10123 | PA      | $9917.35       | 0.00%             | 2034-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-107571.81    | -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        |     38000000 | PA      | $37848783.94   | 0.21%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $264033.01     | 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      | $-178141.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $21878.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $192559.43     | 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      | $-383575.43    | -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        |     44174078 | PA      | $430211342.17  | 2.43%             |  |  |  | No            |                  1 | 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        |      2640547 | PA      | $2733850.52    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-486.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $1140.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1338097.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $18943.72      | 0.00%             |  |  |  | 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        |     67600000 | PA      | $37662777.19   | 0.21%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUXL 30Y BND JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          151 | NC      | $-230551.62    | -0.00%            |  |  |  | No            |                  1 | 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        |      8610398 | PA      | $8909531.44    | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875              | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2800400000 | PA      | $162649515.85  | 0.92%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-125023.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-8                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 8 3A4          | CUSIP: 05946XZ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9592 | PA      | $9705.12       | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1978137.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $122647.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-1601.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2006-1                                             | SEQUOIA MORTGAGE TRUST SEMT 2006 1 1A1A                 | CUSIP: 81743QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1070640 | PA      | $590458.01     | 0.00%             | 2046-09-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                             | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1983218 | PA      | $1980185.30    | 0.01%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                        | BAIN CAPITAL CREDIT CLO  LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     14400000 | PA      | $14403519.50   | 0.08%             | 2035-04-23      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1        | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       756509 | PA      | $756854.20     | 0.00%             | 2037-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $26091.28      | 0.00%             |  |  |  | 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       |     15000000 | PA      | $10112461.88   | 0.06%             | 2027-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                        | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M3        | CUSIP: 40430HEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4379557 | PA      | $4250025.54    | 0.02%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA8827 FN 02/51 FIXED 2.5                     | CUSIP: 3140QGYZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3506976 | PA      | $2957611.71    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $69569.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                            | HAYFIN EMERALD CLO HAYEM 14A A 144A                     | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5500000 | PA      | $6356559.57    | 0.04%             | 2039-01-22      | Floating      | 3.24%                 | 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        |     11500000 | PA      | $11858466.39   | 0.07%             | 2030-09-13      | Floating      | 5.62%                 | 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      | $-1330370.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 01/33 VAR     | CUSIP: ACI2T8KF7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10500000 | PA      | $11902180.31   | 0.07%             | 2033-01-23      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                  | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3        | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1609705 | PA      | $1665896.12    | 0.01%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $34571.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3590 FN 02/39 FIXED 4                       | CUSIP: 31418C7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88502 | PA      | $86585.84      | 0.00%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11        | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       766060 | PA      | $629231.68     | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT I DAC 1A                                         | INDIGO CREDIT MANAGEMENT INDI 1A AR 144A                | CUSIP: ACI37FVH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2300000 | PA      | $2657412.86    | 0.01%             | 2037-10-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $34567.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-68217.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $101759.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO IX DAC 9A                                                   | BOSPHORUS CLO BOPHO 9A AR 144A                          | CUSIP: ACI396444<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9300000 | PA      | $10749407.05   | 0.06%             | 2038-04-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $21870.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $212779.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)                    | CBRE SVCS INC DISC COML PAPER 06/26 ZCP                 | CUSIP: 12610CFC9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      2050000 | PA      | $2032980.08    | 0.01%             | 2026-06-12      | None          | 0.00%                 | 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        |       903049 | PA      | $462077.89     | 0.00%             | 2037-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.8500 12/31/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $161260.73     | 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      | $1692813.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-6138.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       800000 | PA      | $794401.99     | 0.00%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 07/35 VAR          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10400000 | PA      | $10438725.65   | 0.06%             | 2035-07-23      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $50249.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                   | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A            | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15858 | PA      | $14887.01      | 0.00%             | 2043-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $11168.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     14700000 | PA      | $14948715.92   | 0.08%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING PLC 2024-2X                                          | TOWER BRIDGE FUNDING TWRBG 2024 2X A REGS               | CUSIP: ACI2NPYG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2137934 | PA      | $2832572.62    | 0.02%             | 2066-05-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $236302.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A4          | CUSIP: 12667HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10499352 | PA      | $9691675.44    | 0.05%             | 2047-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-14884.66     | -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      | $597778.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     41977000 | NC      | $163458.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $195009.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                        | CREDIT AGRICOLE SA 144A 01/36 VAR                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     28362000 | PA      | $29227383.33   | 0.16%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-585650.50    | -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        | 113568490000 | PA      | $72492828.85   | 0.41%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $282597.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELSTREE 2025-2 1ST PLC 252-1ST                                            | ELSTREE FUNDING ELSTR 252 1ST A REGS                    | CUSIP: ACI30PVB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3638043 | PA      | $4805252.76    | 0.03%             | 2065-10-21      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                   | BANK OF NOVA SCOTIA COVERED 144A 03/28 4.299            | CUSIP: 06418BAK4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     13700000 | PA      | $13779982.79   | 0.08%             | 2028-03-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                    | MARVELL TECHNOLOGY INC COMPANY GUAR 04/26 1.65          | CUSIP: 573874AC8<br>LEI: 254900WVU0BM7ZCJ9E93 | Long             | DBT              | CORP              | US        |      6400000 | PA      | $6392942.91    | 0.04%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                       | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1900000 | PA      | $1897625.13    | 0.01%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-74422.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1227211 | PA      | $1030173.06    | 0.01%             | 2036-05-25      | Floating      | 4.23%                 | 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      | $-21597514.13  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $64179.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A           | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1780000 | PA      | $2319132.57    | 0.01%             | 2049-12-21      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $70450.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                               | TRINITY SQUARE TRINI 2021 1A AR 144A                    | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     17589515 | PA      | $23294257.60   | 0.13%             | 2059-07-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-4836.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125             | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      6100000 | PA      | $6138518.51    | 0.03%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2        | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2916313 | PA      | $2369498.22    | 0.01%             | 2035-09-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $313635.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 12/53 1.75                    | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     20660000 | PA      | $9495874.81    | 0.05%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-34403.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $245436.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-38771.57     | -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        |     38550575 | PA      | $38882930.37   | 0.22%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0361 G2 05/55 FIXED 3                    | CUSIP: 3618N5MK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2351967 | PA      | $2103120.84    | 0.01%             | 2055-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       600000 | PA      | $592080.04     | 0.00%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.67900 03/10/26-10Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $483698.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-153406.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     34100000 | PA      | $25155410.07   | 0.14%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-893621.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR              | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     20800000 | PA      | $20848224.38   | 0.12%             | 2030-10-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/16/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-21132598.67  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                             | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185956 | PA      | $179866.57     | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-69586.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                     | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3003137.04    | 0.02%             | 2034-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136          | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     20500000 | PA      | $20082869.28   | 0.11%             | 2030-10-09      | Fixed         | 4.14%                 | 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        |      1257000 | PA      | $1140238.87    | 0.01%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    296200000 | PA      | $306177040.85  | 1.73%             | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $38500.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $24215.46      | 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      | $5047164.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $278940.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-60357.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 9 M2            | CUSIP: 1266736F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10384837 | PA      | $10310518.63   | 0.06%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07585 03/13/26-20Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $33079.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $61981.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $141930.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/32 VAR          | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     29000000 | PA      | $28566510.90   | 0.16%             | 2032-01-21      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $89579.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                 | CANADIAN IMPERIAL BANK COVERED 144A 04/31 4.242         | CUSIP: 13607QD74<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     21000000 | PA      | $21123242.28   | 0.12%             | 2031-04-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-106.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-59840.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $27801.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-238442.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR          | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1590562.30    | 0.01%             | 2029-01-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652          | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     29000000 | PA      | $27891144.69   | 0.16%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $100538.62     | 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      | $-1076245.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A          | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109716 | PA      | $108787.67     | 0.00%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-141212.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6081 FR 05/54 FIXED 6               | CUSIP: 3133WCXJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5078512 | PA      | $5237433.21    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 09/29 VAR                     | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      6600000 | PA      | $6873625.90    | 0.04%             | 2029-09-13      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-869.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS C 144A                           | CUSIP: 990ABJSB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      4700000 | PA      | $3242765.87    | 0.02%             | 2057-12-30      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 04/26 1                | CUSIP: ACI1X50B1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    509200000 | PA      | $78798463.72   | 0.44%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B        | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1101600 | PA      | $355190.02     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                             | JONES LANG LASALLE FIN BV                               | CUSIP: 48002BDP4<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |      1000000 | PA      | $997441.90     | 0.01%             | 2026-04-23      | None          | 0.00%                 | 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        |       165952 | PA      | $154502.39     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI7525 FR 06/54 FIXED 6               | CUSIP: 3133WELE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5890854 | PA      | $6020453.31    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $2040.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-4147647.47   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11131 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $137115.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 07/26 0.00000              | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    728000000 | PA      | $136108879.11  | 0.77%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INVSC-5A                                                                  | INVESCO EURO CLO INVSC 5A AR 144A                       | CUSIP: ACI2VXQH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9787166 | PA      | $11324465.13   | 0.06%             | 2034-01-15      | Floating      | 3.04%                 | 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      | $-1376484.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $97217.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM3 A1 144A          | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5381812 | PA      | $5368058.74    | 0.03%             | 2063-02-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.2480* 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-222763.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-4604514.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-HOA1                                      | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 HOA1 A11       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1240077 | PA      | $836941.26     | 0.00%             | 2047-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.8000 06/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-13265927.66  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14200000 | PA      | $14215095.03   | 0.08%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0520* 03/16/26-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $103641.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-628.33       | -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        |        22122 | PA      | $19170.71      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                          | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A               | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12799195 | PA      | $8402918.33    | 0.05%             | 2037-03-25      | Floating      | 4.05%                 | 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      | $-74893.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE    | TELECOM SERBIA EUR TERM LOAN A                          | CUSIP: BA0005336<br>LEI: 254900OVY0XI1DFYC092 | Long             | LON              | CORP              | LU        |     19400000 | PA      | $22384567.99   | 0.13%             | 2029-06-11      | Floating      | 3.52%                 | No            |                  3 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        88208 | PA      | $77611.75      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | 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        |      1415159 | PA      | $67105.71      | 0.00%             | 2038-01-15      | Floating      | 2.14%                 | 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        |     22700000 | PA      | $23157054.06   | 0.13%             | 2036-01-24      | Floating      | 5.51%                 | 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        |        19628 | PA      | $19096.05      | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                    | PROJECT FENNO EUR REVOLVER                              | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      2975724 | PA      | $3460089.91    | 0.02%             | 2028-07-10      | Floating      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1162639.78   | -0.01%            |  |  |  | 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        |     12952717 | PA      | $17142507.88   | 0.10%             | 2067-05-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/56 4.75                              | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     44900000 | PA      | $43798546.88   | 0.25%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/28 2.125                   | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     14800000 | PA      | $16596978.15   | 0.09%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.25000 03/18/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |            1 | NC      | $-637005.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2345.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 05/26 ZCP                       | CUSIP: 40412DE13<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     10300000 | PA      | $10261559.37   | 0.06%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $7117.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA3 1A1       | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       407853 | PA      | $375072.74     | 0.00%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $252742.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                 | ROGERS COMMUNICATIONS                                   | CUSIP: 77511MD99<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      1600000 | PA      | $1598390.24    | 0.01%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260609                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-65180.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS REV REPO EUR                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |      -915138 | PA      | $-1060223.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $298166.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5           | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       500000 | PA      | $330869.05     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5107 FN 08/53 FIXED 5.5                     | CUSIP: 31418EU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21707579 | PA      | $21889750.54   | 0.12%             | 2053-08-01      | Fixed         | 5.50%                 | 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        |      5200000 | PA      | $5131153.46    | 0.03%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $214345.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                      | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      7896732 | PA      | $7897474.68    | 0.04%             | 2033-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.62080 06/30/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $461461.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALDBROOK MORTGAGE TRANSACTION 2025-1 PLC 25-1                             | ALDBROOK MORTGAGE TRANSACTION ALDBR 2025 1 A REGS       | CUSIP: ACI2ZG4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3775676 | PA      | $4997061.40    | 0.03%             | 2066-12-18      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1924193.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                           | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA       | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   2176700000 | PA      | $22511528.42   | 0.13%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $221924.48     | 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        | 236607130000 | PA      | $152922989.06  | 0.86%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $4251913.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-279281.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 01/36 6.001            | CUSIP: ACI3859N0<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      9500000 | PA      | $11316143.53   | 0.06%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1            | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.59          | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS               | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       764502 | PA      | $848304.37     | 0.00%             | 2050-12-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NOK 4.50000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |            1 | NC      | $-26926.64     | -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        |     20900000 | PA      | $21720003.14   | 0.12%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $542543.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-976167.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                            | COUNTRYWIDE HOME LOANS CWHL 2007 13 A2                  | CUSIP: 17025JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       972436 | PA      | $424320.40     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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       |    100900000 | PA      | $112955555.94  | 0.64%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-544.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1            | CUSIP: 88522WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       199252 | PA      | $188205.38     | 0.00%             | 2037-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-998296.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22442 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-68822.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $9408.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $289110.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $5395.12       | 0.00%             |  |  |  | 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      | $4112393.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS               | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1681906 | PA      | $2203909.19    | 0.01%             | 2050-12-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $5296359.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XII DAC 12A                                        | CORDATUS CLO PLC CORDA 12A ARR 144A                     | CUSIP: ACI378M42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     11080000 | PA      | $12789693.88   | 0.07%             | 2039-01-23      | Floating      | 3.29%                 | 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      | $241059.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A        | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3000000 | PA      | $3022378.50    | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 03/41 0.5                   | CUSIP: BNDBGKII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    759000000 | PA      | $3384880.31    | 0.02%             | 2041-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                  | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    541200000 | PA      | $30100267.06   | 0.17%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $86889.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $315358.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                           | PROJECT NOVA TERM LOAN                                  | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |      3600000 | PA      | $3600000.00    | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $302122.13     | 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      | $1286268.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $969123.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $167600.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 5.00000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-56826.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.5000 06/17/26-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-25531.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVIDUS CLO V DAC 5A                                                     | PROVIDUS CLO PRVD 5A AR 144A                            | CUSIP: ACI3128Y1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12200000 | PA      | $14093199.53   | 0.08%             | 2039-11-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                             | GSAA HOME EQUITY TRUST GSAA 2006 5 2A2                  | CUSIP: 362334GS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5742329 | PA      | $1828285.06    | 0.01%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13647.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $194472.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8591431 | PA      | $8594209.56    | 0.05%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 03/28 VAR                     | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      9800000 | PA      | $9893803.74    | 0.06%             | 2028-03-12      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0Z3AA3 COLOMBIA GOVT NDF                             | CUSIP: 990ADDTP2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   1937000000 | PA      | $514152.27     | 0.00%             | 2040-11-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 07/46 11.5                   | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  27962500000 | PA      | $6745815.64    | 0.04%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-418756.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-131927.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2339022.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-33295.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                    | LOGICOR FINANCING SARL COMPANY GUAR REGS 07/27 1.625    | CUSIP: ACI1D58V1<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      1300000 | PA      | $1473554.11    | 0.01%             | 2027-07-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-15686.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                            | LUMINENT MORTGAGE TRUST LUM 2006 7 2A1                  | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       751310 | PA      | $673719.96     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/28 4                                 | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10200000 | PA      | $10234863.29   | 0.06%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8043 G2 05/52 FIXED 3                    | CUSIP: 36179W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38771073 | PA      | $34662254.71   | 0.20%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                             | GACI FIRST INVESTMENT COMPANY GUAR REGS 01/34 5.25      | CUSIP: ACI2MLG86<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |      9300000 | PA      | $9238529.23    | 0.05%             | 2034-01-29      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.25000 09/16/26-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-53172319.58  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1015386.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $8935.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                       | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3774138 | PA      | $3399900.42    | 0.02%             | 2037-12-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $13351.73      | 0.00%             |  |  |  | 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        |      5700000 | PA      | $6211888.15    | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -34009159 | NC      | $-27173.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-434.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A       | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       796726 | PA      | $802529.28     | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-43658611.56  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 01/27 1                 | CUSIP: ACI3558C8<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    422095000 | PA      | $64645456.62   | 0.36%             | 2027-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -9116438 | PA      | $-9215325.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-252981.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $37646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-172074.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QO9                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO9 1A3A       | CUSIP: 75114PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403942 | PA      | $377423.39     | 0.00%             | 2046-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -152 | NC      | $-159877.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A2 144A    | CUSIP: 75585RQM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      2522075 | PA      | $1807822.40    | 0.01%             | 2053-08-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     79740000 | PA      | $19005848.80   | 0.11%             | 2031-04-15      | Fixed         | 2.63%                 | 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        |       259760 | PA      | $162298.48     | 0.00%             | 2046-07-25      | Floating      | 4.80%                 | 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        |        32440 | PA      | $30823.98      | 0.00%             | 2046-03-20      | Floating      | 4.21%                 | 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        |       124352 | PA      | $76951.46      | 0.00%             | 2035-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $10268.53      | 0.00%             |  |  |  | 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        |      8515156 | PA      | $7911145.29    | 0.04%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 008971 G2 09/26 FLOATING VAR               | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           61 | PA      | $61.12         | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $2540.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $2.68          | 0.00%             |  |  |  | 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      | $-68832.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                             | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102  | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      7535767 | PA      | $7722885.85    | 0.04%             | 2035-04-01      | Fixed         | 5.10%                 | 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      | $-112824.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-3693.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $25301.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-800453.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $65.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $381151.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-152273.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISERVA CLO LTD 2016-3A                                                   | RISERVA CLO, LTD. RSRVA 2016 3A AR3 144A                | CUSIP: 76761RBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8300000 | PA      | $8305485.80    | 0.05%             | 2034-01-18      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                | LEIDOS INC                                              | CUSIP: 52533BDU3<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     10400000 | PA      | $10366184.40   | 0.06%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-22935.28     | -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      | $-4425690.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-60233.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $119183.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A     | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     12800000 | PA      | $12796800.51   | 0.07%             | 2035-04-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8550000 | PA      | $6277236.35    | 0.04%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-70098.01     | -0.00%            |  |  |  | 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        |  10483000000 | PA      | $35217674.99   | 0.20%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-1746273.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $6477.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                       | INTESA SANPAOLO SPA 144A 11/33 VAR                      | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     13200000 | PA      | $15217075.24   | 0.09%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-6858.07      | -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        |     32100000 | PA      | $32186450.76   | 0.18%             | 2028-01-18      | Fixed         | 4.75%                 | 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      | $317015.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8786 FN 07/54 FIXED VAR                     | CUSIP: 3140XQXQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1705125 | PA      | $1780178.37    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                     | CROWN CASTLE                                            | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      3300000 | PA      | $3291903.12    | 0.02%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-266923.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $613848.12     | 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      | $-2868170.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $386631.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 03/30 VAR                     | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     19000000 | PA      | $19526952.65   | 0.11%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $157100.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $96918.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-140714.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                       | IMPAC CMB TRUST IMM 2004 8 1A                           | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37521 | PA      | $37332.15      | 0.00%             | 2034-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-28219.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -244800000 | PA      | $-225248171.62 | -1.27%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                        | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142632 | PA      | $137886.62     | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-27580.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/29 6.625                   | CUSIP: ACI28T967<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13100000 | PA      | $16153099.30   | 0.09%             | 2029-09-27      | Fixed         | 6.62%                 | 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        |     15373820 | PA      | $13954135.60   | 0.08%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-23425.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5295 FN 03/54 FIXED 6                       | CUSIP: 31418E3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18565858 | PA      | $18935579.11   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $655669.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLETCHLEY PARK FUNDING 2025-1 PLC 25-1                                    | BLETCHLEY PARK FUNDING BPKF 2025 1 A REGS               | CUSIP: ACI2XJF49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3255601 | PA      | $4307412.22    | 0.02%             | 2070-01-27      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A      | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2195637 | PA      | $2204429.59    | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | 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        |     30400000 | PA      | $21922186.07   | 0.12%             | 2033-06-02      | Fixed         | 3.65%                 | 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        |     38900000 | PA      | $17914239.96   | 0.10%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-8509.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $239063.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM3 2025-NQM3                                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 NQM3 A1 144A   | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31166890 | PA      | $31270295.87   | 0.18%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-300679.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 03/30 VAR                   | CUSIP: ACI2NCY77<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     21900000 | PA      | $25473365.55   | 0.14%             | 2030-03-21      | Floating      | 3.79%                 | 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      | $1747520.15    | 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      | $-38671.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-42077.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                   | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A         | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     11500000 | PA      | $11504817.70   | 0.06%             | 2035-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 04/34 VAR            | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20200000 | PA      | $20509152.72   | 0.12%             | 2034-04-24      | Floating      | 5.39%                 | 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        |      1100000 | PA      | $1271577.39    | 0.01%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                      | TARGA RES CORP                                          | CUSIP: 87613LE13<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      9550000 | PA      | $9516173.90    | 0.05%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-499746.93    | -0.00%            |  |  |  | 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        |     30337799 | PA      | $26384450.31   | 0.15%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     21700000 | PA      | $21351656.84   | 0.12%             | 2033-11-06      | Floating      | 4.84%                 | 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        |         1931 | PA      | $1925.03       | 0.00%             | 2034-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-15695.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                   | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23200000 | PA      | $22362948.64   | 0.13%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1          | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7278 | PA      | $7354.18       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                  | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140174 | PA      | $129871.95     | 0.00%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $287230.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A    | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1381348 | PA      | $1598302.14    | 0.01%             | 2033-05-15      | Floating      | 2.95%                 | 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        |        52981 | PA      | $38796.93      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                 | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR           | CUSIP: 606822DM3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     31000000 | PA      | $31144859.59   | 0.18%             | 2031-09-12      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 04/32 7.75       | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     28600000 | PA      | $27450163.31   | 0.15%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 02/28 VAR          | CUSIP: 38141GZL1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2611268.17    | 0.01%             | 2028-02-24      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98808 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1763634.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-443.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-11816.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 01/30 VAR              | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     42000000 | PA      | $42593586.42   | 0.24%             | 2030-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.24510 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-281871.61    | -0.00%            |  |  |  | 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        |        20498 | PA      | $3992.38       | 0.00%             | 2037-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                        | INDIGO CREDIT MANAGEMENT INDI 2A A 144A                 | CUSIP: ACI2RZY31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     28000000 | PA      | $32359045.45   | 0.18%             | 2038-07-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                  | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       448319 | PA      | $411622.69     | 0.00%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/17/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1648301.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $16337.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 365BANK A S                                                               | 365 BANK AS REGS 07/28 VAR                              | CUSIP: ACI2PW0Z6<br>LEI: 315700PLTAXHBHZP5J02 | Long             | DBT              | CORP              | SK        |     17400000 | PA      | $20985728.30   | 0.12%             | 2028-07-04      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXR3 PIMCO FXVAN PUT USD SGD 1.23650000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      -205000 | NC      | $-1254.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2571892.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                         | BARINGS EURO CLO DAC BABSE 2025 1A A 144A               | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12600000 | PA      | $14535794.14   | 0.08%             | 2039-08-15      | Floating      | 3.43%                 | 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        |     97300872 | PA      | $96572853.25   | 0.54%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5167 FN 10/53 FIXED 6.5                     | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       803521 | PA      | $833033.70     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $151187.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $8363.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $81236.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-231072.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $522586.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2003-FF5                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2003 FF5 M1          | CUSIP: 32027NFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2711330 | PA      | $2851601.37    | 0.02%             | 2034-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 3A3       | CUSIP: 93363EAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561967 | PA      | $516302.54     | 0.00%             | 2046-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/1.92859 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-4074798.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-102426.43    | -0.00%            |  |  |  | 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        |      8461994 | PA      | $7366370.75    | 0.04%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2219 | NC      | $3224994.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                       | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1           | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110658 | PA      | $63995.33      | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7349000 | PA      | $7298473.56    | 0.04%             | 2026-06-09      | None          | 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        |       111208 | PA      | $108060.69     | 0.00%             | 2044-06-12      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                            | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL A 144A     | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18483518 | PA      | $17854621.47   | 0.10%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $195.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $69050.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40635 | PA      | $11268.74      | 0.00%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260605                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $4714.76       | 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      | $-236095.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A      | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1340924 | PA      | $721383.71     | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1               | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141806 | PA      | $134557.48     | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-124501.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-72706.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A       | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2128424 | PA      | $2147115.72    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2          | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281493 | PA      | $189500.19     | 0.00%             | 2036-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-39544.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 07/31 VAR             | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     24300000 | PA      | $21648258.13   | 0.12%             | 2031-07-23      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBZ7 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     64900000 | NC      | $196971.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-53371.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 594243 FN 12/30 FLOATING VAR                  | CUSIP: 31387UEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1553 | PA      | $1578.39       | 0.00%             | 2030-12-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-670663.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       684894 | PA      | $637585.64     | 0.00%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-14977.22     | -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        |     22422937 | PA      | $22221785.20   | 0.13%             | 2062-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    163200000 | PA      | $167921449.44  | 0.95%             | 2049-05-30      | Fixed         | 6.58%                 | 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      | $27015846.05   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS THB THORON/1.25000 09/16/26-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |            1 | NC      | $2486028.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $6.74          | 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        |       788851 | PA      | $694701.33     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | 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      | $44156.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-77490.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $8308.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/35 5.375      | CUSIP: 80414L3B9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      1300000 | PA      | $1293775.04    | 0.01%             | 2035-06-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $7039543.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A          | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32477 | PA      | $31781.76      | 0.00%             | 2034-02-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $63498.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75          | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1207000 | PA      | $1009615.56    | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA1133 FN 10/53 FIXED 6.5                     | CUSIP: 3140A1HK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       969517 | PA      | $1003346.77    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | 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        |     18000000 | PA      | $18073078.38   | 0.10%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A           | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       768459 | PA      | $721915.13     | 0.00%             | 2036-12-25      | Floating      | 4.05%                 | 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        |        18481 | PA      | $17987.98      | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | REPUBLIC OF COLOMBIA SR UNSECURED 01/31 6.125           | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     17700000 | PA      | $17434500.00   | 0.10%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     34009159 | NC      | $101381.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-50829.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4748532.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $257427.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $17184.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     72400000 | PA      | $56757640.44   | 0.32%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2          | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8524784 | PA      | $4360600.17    | 0.02%             | 2037-04-25      | Floating      | 3.96%                 | 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      | $-572594.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $2319.23       | 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        |       920000 | PA      | $617320.00     | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                            | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     33409000 | PA      | $26160583.36   | 0.15%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-2742.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $44759.43      | 0.00%             |  |  |  | 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        |      1200000 | PA      | $1060161.60    | 0.01%             | 2030-11-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                    | EXTRA SPACE STORAGE LP                                  | CUSIP: 30227QDN3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      2700000 | PA      | $2693314.53    | 0.02%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/53 1.4                   | CUSIP: BN6TYWII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1390000000 | PA      | $5401210.42    | 0.03%             | 2053-03-20      | Fixed         | 1.40%                 | 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        |     18800000 | PA      | $18825173.39   | 0.11%             | 2026-05-05      | Fixed         | 5.75%                 | 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        |          865 | PA      | $834.15        | 0.00%             | 2034-07-19      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6           | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $909415.80     | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.32500 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6997576.03    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A1AR 144A                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3204235 | PA      | $3207656.46    | 0.02%             | 2032-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8453 FR 08/54 FIXED 5.5             | CUSIP: 3132DWMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16611359 | PA      | $16709313.72   | 0.09%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-1                                           | ANGEL OAK MORTGAGE TRUST AOMT 2023 1 A1 144A            | CUSIP: 03465WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8651094 | PA      | $8632035.24    | 0.05%             | 2067-09-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                         | KOREA HOUSING FINANCE CO COVERED REGS 03/31 2.696       | CUSIP: ACI38Q631<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |     24500000 | PA      | $27688247.55   | 0.16%             | 2031-03-04      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                   | 83208D9E9 SMB 2026 B A1B SOFR30A+120BP                  | CUSIP: 990ACZVB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8696000 | PA      | $8696000.00    | 0.05%             | 2054-03-11      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                             | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                  | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       756539 | PA      | $255999.44     | 0.00%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZA6403 FR 03/39 FIXED 4               | CUSIP: 31329QDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81391 | PA      | $79631.20      | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | 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        |       279284 | PA      | $122363.12     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 02/28 VAR      | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     14000000 | PA      | $14249952.22   | 0.08%             | 2028-02-08      | Floating      | 6.75%                 | 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      | $52859.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $141899.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $224398.43     | 0.00%             |  |  |  | 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        |      4800000 | PA      | $4403528.40    | 0.02%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-481.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A           | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6230000 | PA      | $8254680.94    | 0.05%             | 2049-12-21      | Floating      | 5.38%                 | 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        |       165247 | PA      | $162674.42     | 0.00%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1174293.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                  | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    461300000 | PA      | $25550370.04   | 0.14%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.42145 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $92340.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1          | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1933115 | PA      | $1865015.11    | 0.01%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-30.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $341534.82     | 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        |     14700000 | PA      | $10189224.59   | 0.06%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A2        | CUSIP: 86360JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26963 | PA      | $16957.59      | 0.00%             | 2046-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $161178.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                      | ROYAL BANK OF CANADA SR UNSECURED 08/30 VAR             | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      8300000 | PA      | $8406916.87    | 0.05%             | 2030-08-02      | Floating      | 4.97%                 | 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        |      1393493 | PA      | $1421243.43    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-100237.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $23063.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                    | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 1A3           | CUSIP: 5764342E3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       574161 | PA      | $496851.97     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $64750.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $81744.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1986 | NC      | $4342664.34    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MV CREDIT EURO CLO III DAC 3A                                             | MV CREDIT EURO CLO MVCLO 3A AR 144A                     | CUSIP: ACI35DCS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6300000 | PA      | $7281735.51    | 0.04%             | 2038-02-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                             | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A    | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9900000 | PA      | $9902569.94    | 0.06%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5247 FN 01/54 FIXED 6                       | CUSIP: 31418EZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55195511 | PA      | $56321790.94   | 0.32%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8364 FR 09/53 FIXED 6.5             | CUSIP: 3132DWJH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352552 | PA      | $364759.77     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                               | BNP PARIBAS 144A 05/30 VAR                              | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     12500000 | PA      | $12808986.25   | 0.07%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 01/55 1.92                  | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    387500000 | PA      | $51093211.69   | 0.29%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-69431.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-115058.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB2                                          | COUNTRYWIDE HOME LOANS CWHL 2006 HYB2 2A1B              | CUSIP: 126694D21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1874329 | PA      | $1738038.30    | 0.01%             | 2036-04-20      | Floating      | 4.42%                 | 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        |     59100000 | PA      | $30705185.67   | 0.17%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260626                              | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  40737394000 | PA      | $28095328.00   | 0.16%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                                 | FANNIE MAE FNR 2025 16 FA                               | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13297041 | PA      | $13401151.99   | 0.08%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-146135.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14364580 | PA      | $4242842.94    | 0.02%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-16325.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 06/34 3                       | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    188700000 | PA      | $132246297.75  | 0.75%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $2064578.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI7562 FR 06/54 FIXED 6               | CUSIP: 3133WEMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12879709 | PA      | $13181725.02   | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |        22922 | PA      | $21876.92      | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | 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        |     24250000 | PA      | $15088994.08   | 0.09%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                            | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                 | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326565 | PA      | $297903.52     | 0.00%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B           | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       238893 | PA      | $169708.40     | 0.00%             | 2037-03-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $50828.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                          | ABN AMRO BANK NV 144A 12/35 VAR                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     15200000 | PA      | $15417127.74   | 0.09%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 09/44 1.8                   | CUSIP: ACI2RXB31<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10720000000 | PA      | $54481146.78   | 0.31%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-5348.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                  | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200543 | PA      | $185105.89     | 0.00%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                       | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A3         | CUSIP: 55291KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5954480 | PA      | $2029690.07    | 0.01%             | 2036-08-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $202264.50     | 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      | $13847902.83   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $987581.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -8006 | NC      | $2927830.81    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $377143.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $6742.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $41054.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS6075 FN 10/45 FIXED 4                       | CUSIP: 3138WFXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5612 | PA      | $5402.54       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | 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        |        48552 | PA      | $62912.72      | 0.00%             | 2040-06-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1358799 | PA      | $1267939.82    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-33320.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22515 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-137149.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8470 FR 10/54 FIXED 6               | CUSIP: 3132DWMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4804137 | PA      | $4900882.61    | 0.03%             | 2054-10-01      | 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        |     17560000 | NC      | $25251.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 05/33 2.82             | CUSIP: ACI2G7SL2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   2977280000 | PA      | $460279851.08  | 2.60%             | 2033-05-22      | Fixed         | 2.82%                 | 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        |      9700000 | PA      | $9821948.40    | 0.06%             | 2028-10-25      | Fixed         | 5.27%                 | 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        |      6700000 | PA      | $7795119.21    | 0.04%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3712.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -58714000 | NC      | $-23779.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2021-2 DAC 21-2A                                         | CARLYLE EURO CLO CGMSE 2021 2A A1 144A                  | CUSIP: ACI20V184<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     17000000 | PA      | $19642431.03   | 0.11%             | 2035-10-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/29 2.75             | CUSIP: ACI2FJ6B3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    121600000 | PA      | $139890795.27  | 0.79%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-84349.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-4821.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                               | NATIONWIDE BLDG SOCIETY 144A 02/28 VAR                  | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     13800000 | PA      | $13610398.21   | 0.08%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| DRYDEN 73 EURO CLO 2019 DAC 19-73A                                        | DRYDEN EURO CLO DRYD 2019 73A A1 144A                   | CUSIP: ACI2JX3K1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6576043 | PA      | $7595219.60    | 0.04%             | 2034-01-15      | Floating      | 2.96%                 | 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        |     28000000 | PA      | $19086689.21   | 0.11%             | 2049-01-22      | Fixed         | 1.75%                 | 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        |     47100000 | PA      | $26101173.37   | 0.15%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-134914.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $234641.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-255906.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $124323.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $27564.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                   | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3003659.40    | 0.02%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $4441.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $26622.23      | 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        |     48826995 | PA      | $42625161.27   | 0.24%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB1033 FN 02/54 FIXED 6.5                     | CUSIP: 3140AAEF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1161017 | PA      | $1201333.35    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $130361.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | REPUBLIC OF COLOMBIA SR UNSECURED 01/33 6.5             | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     33000000 | PA      | $32356500.00   | 0.18%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A        | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6000000 | PA      | $5803908.00    | 0.03%             | 2055-03-15      | Fixed         | 5.26%                 | 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        |     60000000 | PA      | $77610901.17   | 0.44%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                               | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5100000 | PA      | $5116641.30    | 0.03%             | 2037-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0M1442 COLOMBIA GOVT                                 | CUSIP: 990ADDTQ0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   7533600000 | PA      | $1579037.41    | 0.01%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-315.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $156.33        | 0.00%             |  |  |  | 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      | $9107459.30    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                       | GLOBAL PMTS INC                                         | CUSIP: 37961DD64<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      9100000 | PA      | $9093690.97    | 0.05%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     12500000 | PA      | $12731112.25   | 0.07%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1             | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1213506 | PA      | $682352.64     | 0.00%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $3933754.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA 144A 01/36 VAR                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      8000000 | PA      | $8378166.24    | 0.05%             | 2036-01-14      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                      | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2207935 | PA      | $2215177.44    | 0.01%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/35 4.25                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4980000 | PA      | $4962103.13    | 0.03%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                       | CONSTELLATION ENERGY                                    | CUSIP: 21038QD27<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      9450000 | PA      | $9447713.10    | 0.05%             | 2026-04-02      | None          | 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        |      2430896 | PA      | $1939606.22    | 0.01%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $1140.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -16200000 | NC      | $-45091.08     | -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        |       132291 | PA      | $130472.30     | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-162039.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $9086.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BDT6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      7050000 | PA      | $7028652.60    | 0.04%             | 2026-04-27      | None          | 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      | $-32857428.23  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2010517.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-2474.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2324733.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA INVESTMNT ISSUE BONDS 10/32 4.193              | CUSIP: ACI24V7D3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    129060000 | PA      | $33165455.67   | 0.19%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-830601.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/52 1                     | CUSIP: ACI24VWS2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   2860000000 | PA      | $10081768.06   | 0.06%             | 2052-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $56380.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                   | 83208D9F6 SMB 2026 B B 144A                             | CUSIP: 990ACZVC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3835000 | PA      | $3805083.13    | 0.02%             | 2054-03-11      | Fixed         | 5.53%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $44276.42      | 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        |     10055217 | PA      | $10075128.95   | 0.06%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                       | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDX5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      8100000 | PA      | $8161730.02    | 0.05%             | 2031-07-08      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $74005.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-90995.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                       | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4         | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       534348 | PA      | $315528.97     | 0.00%             | 2036-03-25      | Floating      | 4.09%                 | 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      | $-1597785.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3               | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2368082 | PA      | $1863525.35    | 0.01%             | 2047-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-12457.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.77660 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $583942.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $691.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -17560000 | NC      | $-7111.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8606 FN 04/48 FIXED 3.5                     | CUSIP: 3140HAR44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94710 | PA      | $87867.05      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/29 5.375                | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     19550000 | PA      | $19861150.57   | 0.11%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HARVEST US CLO 2023-1 LTD                                                 | HARVEST US CLO LTD HARUS 2023 1A A1R 144A               | CUSIP: 417923AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5700000 | PA      | $5695765.81    | 0.03%             | 2037-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $196278.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 10/30 VAR                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     27600000 | PA      | $27593572.79   | 0.16%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-241289.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                      | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1           | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2056 | PA      | $2031.00       | 0.00%             | 2033-10-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-16173.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $36165.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $1252530.52    | 0.01%             |  |  |  | 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        |     11626019 | PA      | $11702307.91   | 0.07%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0742 G2 11/55 FIXED 3.5                  | CUSIP: 3618N5ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39000022 | PA      | $35798613.40   | 0.20%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -152 | NC      | $-19325.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | CDX IG45 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-566497.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $6196792.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $3356.92       | 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        |        49139 | PA      | $36940.83      | 0.00%             | 2035-07-19      | Floating      | 4.69%                 | 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        |      5134238 | PA      | $4281239.83    | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 01/35 VAR             | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     11000000 | PA      | $11232332.54   | 0.06%             | 2035-01-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    224800000 | PA      | $155100801.72  | 0.87%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $199821.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                               | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A A 144A       | CUSIP: ACI2NCB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5047492 | PA      | $6680532.83    | 0.04%             | 2050-06-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7907 FN 11/53 FIXED 6.5                     | CUSIP: 3140QTYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43527359 | PA      | $45033052.40   | 0.25%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                              | KBC GROUP NV SR UNSECURED 144A 01/29 VAR                | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |      8000000 | PA      | $8180228.32    | 0.05%             | 2029-01-19      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37241 | PA      | $24497.84      | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-350140.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080471 G2 11/30 FLOATING VAR               | CUSIP: 36225CQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          305 | PA      | $305.53        | 0.00%             | 2030-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5009160.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $35924.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-779546.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4        | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133404 | PA      | $101926.51     | 0.00%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       105920 | PA      | $94965.60      | 0.00%             | 2046-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $108.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV4          | CUSIP: 126673JW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6924784 | PA      | $6568388.73    | 0.04%             | 2034-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $503256.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260601                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $23142.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $34935.17      | 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      | $-19952.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A      | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6612235 | PA      | $6624591.51    | 0.04%             | 2055-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                                | OCP EURO CLO OCPE 2022 6A ARR 144A                      | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12600000 | PA      | $14553468.66   | 0.08%             | 2036-07-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA0863 FN 08/53 FIXED 4                       | CUSIP: 3140A05Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       827242 | PA      | $782031.30     | 0.00%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                | PROJ ALFA 3 TERM LOAN                                   | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |      3559228 | PA      | $3559228.30    | 0.02%             | 2026-10-21      | Floating      | 5.74%                 | Yes           |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A1         | CUSIP: 00075WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3536483 | PA      | $2546917.43    | 0.01%             | 2037-01-25      | Floating      | 4.05%                 | 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      | $110552.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-501106.97    | -0.00%            |  |  |  | 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        |      7600000 | PA      | $8775369.76    | 0.05%             | 2035-07-19      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A          | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1787981 | PA      | $1778605.84    | 0.01%             | 2045-08-25      | Floating      | 4.31%                 | 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        |      2300000 | PA      | $2300717.49    | 0.01%             | 2035-04-20      | Floating      | 4.78%                 | 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        |    254730000 | PA      | $296131530.44  | 1.67%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-57168.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $30446.84      | 0.00%             |  |  |  | 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        |      4932304 | PA      | $4155251.43    | 0.02%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 09/16/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $3441861.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-18395.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9          | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     10500000 | PA      | $10426468.08   | 0.06%             | 2035-01-13      | Fixed         | 5.90%                 | 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      | $101791.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                             | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS            | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2179824 | PA      | $2831103.29    | 0.02%             | 2044-06-12      | Floating      | 4.02%                 | 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      | $-810675.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.75000 09/16/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $3657142.81    | 0.02%             |  |  |  | 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        |            2 | PA      | $0.23          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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        |       405368 | PA      | $148184.28     | 0.00%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $10512261.60   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-101659.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $474752.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-127727.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    707500000 | PA      | $125352302.34  | 0.71%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $93021.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC SR UNSECURED 09/28 VAR                | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     10500000 | PA      | $10656176.16   | 0.06%             | 2028-09-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1072969.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 01/35 VAR                   | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      7700000 | PA      | $7829757.32    | 0.04%             | 2035-01-18      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $144354.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-66120.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-184146.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A           | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1780000 | PA      | $2338887.70    | 0.01%             | 2049-12-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $12649125.02   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-218781.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $7371382.92    | 0.04%             |  |  |  | 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        |      1134495 | PA      | $1111569.33    | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4079.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $522.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                          | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1               | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        71563 | PA      | $62169.56      | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | 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        |      1129178 | PA      | $330211.27     | 0.00%             | 2047-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $479967.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                 | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12300000 | PA      | $12293850.49   | 0.07%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-9237.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    642900000 | PA      | $666288264.83  | 3.76%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $289511.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-87411.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-36821.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                        | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9800000 | PA      | $9806310.61    | 0.06%             | 2036-10-14      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $86160.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-73240.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-45088.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $245.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $10243.32      | 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        |       624535 | PA      | $540894.53     | 0.00%             | 2047-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A       | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4800000 | PA      | $4264056.00    | 0.02%             | 2038-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                      | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18808 | PA      | $14599.74      | 0.00%             | 2046-12-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $10144.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                    | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A              | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      5713391 | PA      | $6643372.64    | 0.04%             | 2028-07-10      | Floating      | 4.48%                 | Yes           |                  3 | On Loan: No      |
| DOCTORS CO/THE                                                            | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |      3800000 | PA      | $3463153.18    | 0.02%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $165157.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49302 | PA      | $47562.46      | 0.00%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QB8321 FR 01/51 FIXED 2.5             | CUSIP: 3133AFG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1113713 | PA      | $942010.19     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 01/30 VAR                   | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40100000 | PA      | $40670601.35   | 0.23%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $1835.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK0915 FN 07/48 FIXED 4                       | CUSIP: 3140HEAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4605 | PA      | $4412.85       | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8993000 | PA      | $8937140.16    | 0.05%             | 2026-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-62584.39     | -0.00%            |  |  |  | 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        |        84432 | PA      | $84183.93      | 0.00%             | 2047-01-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                             | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS            | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       796994 | PA      | $1038023.03    | 0.01%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      7400000 | PA      | $7396046.77    | 0.04%             | 2029-06-19      | Floating      | 4.58%                 | 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      | $-1049350.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $6070540.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2016-2R                                     | NOMURA RESECURITIZATION TRUST NMRR 2016 2R 2A2 144A     | CUSIP: 65541FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7321564 | PA      | $6386226.35    | 0.04%             | 2037-12-26      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8462 FR 09/54 FIXED 5.5             | CUSIP: 3132DWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8546471 | PA      | $8594212.82    | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | 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        |      1700000 | PA      | $1700335.95    | 0.01%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A1 144A        | CUSIP: 61755AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25792685 | PA      | $14408964.65   | 0.08%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-3009.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $37240.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                            | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2        | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2072 | PA      | $2022.76       | 0.00%             | 2029-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $-268525.37    | -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        |     52911320 | PA      | $48711081.32   | 0.27%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.70000 05/31/24-9Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-1458598.87   | -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      | $220127.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXQ5 PIMCO FXVAN CALL USD SGD 1.31500000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SA        |       205000 | NC      | $798.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $3709753.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $13207937.10   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2018 RPL1 A1A 144A  | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1568644 | PA      | $1540422.96    | 0.01%             | 2057-10-25      | Fixed         | 3.75%                 | 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        |     13900000 | PA      | $16067960.04   | 0.09%             | 2039-07-25      | Floating      | 3.28%                 | 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        |      5625000 | PA      | $1968750.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6880 FN 08/53 FIXED 6.5                     | CUSIP: 3140QSUE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13847 | PA      | $14325.05      | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $91023.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SHO6 PIMCO FXVAN PUT EUR CZK 24.04000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     15897000 | NC      | $9260.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-17981.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-638.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-61095.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/2.17000 12/15/27-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-3205837.27   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-36340.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-881875.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-345102.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-9407.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/29 3.5         | CUSIP: ACI2KBGK3<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     70600000 | PA      | $83305264.67   | 0.47%             | 2029-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $313021.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $63144.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELSTREE 2025-1 1ST                                                        | ELSTREE FUNDING ELSTR 251 1ST A REGS                    | CUSIP: ACI2TZ077<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2448427 | PA      | $3236840.78    | 0.02%             | 2065-01-21      | Floating      | 4.45%                 | 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        |        26966 | PA      | $24939.91      | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5498 FN 10/54 FIXED 6                       | CUSIP: 31418FDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10926980 | PA      | $11149141.22   | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9300000 | PA      | $9309550.26    | 0.05%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $233013.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-14951.60     | -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        |        95836 | PA      | $94066.37      | 0.00%             | 2034-11-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FOXCONN (FAR EAST) LIMITED                                                | FOXCONN FAR EAST LTD COMPANY GUAR 08/28 1.875           | CUSIP: ACI34TDV9<br>LEI: 254900NAQSPFDWVY8H73 | Long             | DBT              | CORP              | KY        |      5200000 | PA      | $4800214.54    | 0.03%             | 2028-08-25      | Fixed         | 1.88%                 | 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        |         4133 | PA      | $3933.22       | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $359007.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $7188.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 06/17/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $74287.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/1.7125 10/02/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-1897723.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $7856.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A       | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2111296 | PA      | $1086338.90    | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $447874.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A           | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11192524 | PA      | $14824710.56   | 0.08%             | 2049-12-21      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5617719.36    | 0.03%             |  |  |  | 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        |      6381061 | PA      | $5320916.67    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 05/35 1.65                  | CUSIP: BT6F11II5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    963400000 | PA      | $138120059.35  | 0.78%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      3477366 | PA      | $2920552.77    | 0.02%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487 | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      7700000 | PA      | $6604909.85    | 0.04%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A1        | CUSIP: 126694R75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       286677 | PA      | $261276.32     | 0.00%             | 2046-05-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 05/42 9.25                   | CUSIP: ACI22YPY3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  18924000000 | PA      | $3866653.84    | 0.02%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $109897.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                                    | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT        | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       355763 | PA      | $354093.01     | 0.00%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $57527.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                | LEIDOS INC                                              | CUSIP: 52533BDP4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4986722.00    | 0.03%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR          | CUSIP: 38141GD76<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     22600000 | PA      | $22578293.60   | 0.13%             | 2029-01-21      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                | SANTANDER HOLDINGS USA SR UNSECURED 05/27 VAR           | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     18300000 | PA      | $18337931.51   | 0.10%             | 2027-05-31      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $671435.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                             | RMAC SECURITIES PLC RMACS 2006 NS3X M1C REGS            | CUSIP: 99WKUBII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        49668 | PA      | $55199.03      | 0.00%             | 2044-06-12      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY STRUCTURED TRUST 2007-1                                    | MORGAN STANLEY STRUCTURED TRUS MSST 2007 1 A4           | CUSIP: 61755FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6574336 | PA      | $6120145.66    | 0.03%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-834225.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.08244 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $39399.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | AIR LEASE CORP DISC COML 04/26 ZCP                      | CUSIP: 00913XD26<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     13500000 | PA      | $13496904.45   | 0.08%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-33766.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $1562.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B      | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1017146 | PA      | $920968.03     | 0.01%             | 2047-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZL0404 FR 06/38 FIXED 4               | CUSIP: 3131XFNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26968 | PA      | $26317.61      | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3121 FN 09/47 FIXED 4                       | CUSIP: 31418CPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63247 | PA      | $60157.54      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | 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        |     51500000 | PA      | $51509833.41   | 0.29%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-233822.54    | -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        |        27200 | PA      | $20548.78      | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $101857.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $15428.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $51774.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1195 FN 01/55 FIXED VAR                     | CUSIP: 3140W1KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10980691 | PA      | $11374670.81   | 0.06%             | 2055-01-01      | Fixed         | 6.50%                 | 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        |     14960939 | PA      | $15271575.62   | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                        | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A          | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       900000 | PA      | $900479.65     | 0.01%             | 2036-07-17      | Floating      | 4.72%                 | 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        |      9100000 | PA      | $10513744.67   | 0.06%             | 2039-10-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-371950.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUER WIEDERAUFBAU (KFW)                                     | KFW GOVT GUARANT REGS 02/30 4.25                        | CUSIP: ACI2TVKZ2<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     13100000 | PA      | $17190569.35   | 0.10%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      7571841 | NC      | $24161.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-60684.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                | HUMANA INC.                                             | CUSIP: 44486JDD8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1797407.28    | 0.01%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 3A1        | CUSIP: 25151XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5505066 | PA      | $4815081.41    | 0.03%             | 2047-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2019-2 LTD                                             | CANYON CAPITAL CLO LTD CANYC 2019 2A AR2 144A           | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3994238.80    | 0.02%             | 2034-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-282093.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.79748 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2547991.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 07/35 VAR                   | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     10800000 | PA      | $10841059.22   | 0.06%             | 2035-07-19      | Floating      | 5.32%                 | 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        |       152780 | PA      | $139619.52     | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2879.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25               | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    196600000 | PA      | $9339204.37    | 0.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $172663.52     | 0.00%             |  |  |  | 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        |      6600000 | PA      | $6698524.14    | 0.04%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-27646.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-61629.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-32764375.62  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13000000 | PA      | $15252796.00   | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $191732.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1018149601 | PA      | $-819888821.45 | -4.62%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                     | PROJECT HUDSON II FIXED TERM LOAN                       | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |      7500000 | PA      | $7526479.95    | 0.04%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       268313 | PA      | $83382.87      | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6310* 06/30/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $235038.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     34097496 | PA      | $4202168.79    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | 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        |        12508 | PA      | $12526.72      | 0.00%             | 2034-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-897231.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                     | RESLOC UK PLC RLOC 2007 1X A3B REGS                     | CUSIP: B1XCHCII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       257423 | PA      | $333096.02     | 0.00%             | 2043-12-15      | Floating      | 4.01%                 | 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        |      5525000 | PA      | $3521540.03    | 0.02%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KDW1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1494612.45    | 0.01%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A       | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1398569 | PA      | $1399410.49    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM -45 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $117825.35     | 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        |      1145662 | PA      | $1157146.26    | 0.01%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A       | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       275578 | PA      | $262303.82     | 0.00%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.66213 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $170250.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $20620.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $3012.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $4282.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/28 FIXED 2.532 | CUSIP: 38122NC75<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      3300000 | PA      | $3173178.36    | 0.02%             | 2028-06-01      | Fixed         | 2.53%                 | 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      | $-138274.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS REGS 01/36 6.001            | CUSIP: ACI385991<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      1250000 | PA      | $1488966.25    | 0.01%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7590 G2 09/51 FIXED 3                    | CUSIP: 36179WNF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2977595 | PA      | $2662347.08    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | 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      | $448166.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $761394.11     | 0.00%             |  |  |  | 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        |   9271000000 | PA      | $51620960.71   | 0.29%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                    | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26992 | PA      | $32182.69      | 0.00%             | 2035-11-25      | Floating      | 5.04%                 | 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      | $515938.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1215298.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A     | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       361842 | PA      | $362132.19     | 0.00%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-155785.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-113521.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-20605.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-942892.04    | -0.01%            |  |  |  | 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        |      7400000 | PA      | $7278023.43    | 0.04%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10494264 | PA      | $10178480.22   | 0.06%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/54 5.75                 | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     22900000 | PA      | $21330917.88   | 0.12%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1        | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9670 | PA      | $9539.92       | 0.00%             | 2036-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-1188680.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS SOFRINDX/IBOXIG INDX 09/21/26 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-15689.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1            | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.67          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 09/45 1.4                   | CUSIP: ACI0GTQ55<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1330000000 | PA      | $6153591.25    | 0.03%             | 2045-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1738515 | PA      | $1682840.34    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | 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      | $418060.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-427609.32    | -0.00%            |  |  |  | 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        |       300000 | PA      | $150812.84     | 0.00%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-51890.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.17          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $674574.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-681920.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226043 | PA      | $214885.39     | 0.00%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-222503.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $1798.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-262983.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $59980.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $975265.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $10775745.07   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                                     | CONTEGO CLO DAC CONTE 3A ARR 144A                       | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |     17200000 | PA      | $19869073.15   | 0.11%             | 2038-04-15      | Floating      | 3.30%                 | 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      | $-1583595.34   | -0.01%            |  |  |  | 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        |        41749 | PA      | $30717.71      | 0.00%             | 2035-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.2333* 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-152376.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFRA TRUST 2025-NQM3                                                      | MFRA TRUST MFRA 2025 NQM3 A1 144A                       | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25281740 | PA      | $25272812.63   | 0.14%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                   | 83208D990 SMB 2026 B D 144A                             | CUSIP: 990ACZUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6135000 | PA      | $6084086.25    | 0.03%             | 2054-03-11      | Fixed         | 6.27%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6               | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49202201 | PA      | $50313881.02   | 0.28%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25          | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       500000 | PA      | $380286.73     | 0.00%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-4288.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 02/35 VAR                | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2200000 | PA      | $2255989.10    | 0.01%             | 2035-02-08      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1         | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1615012 | PA      | $979587.88     | 0.01%             | 2037-05-25      | Floating      | 4.01%                 | 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      | $-17191959.37  | -0.10%            |  |  |  | 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        |       414266 | PA      | $274030.67     | 0.00%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/34 5.5                  | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      8200000 | PA      | $8316243.86    | 0.05%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       881000 | PA      | $879226.74     | 0.00%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4636.65       | 0.00%             |  |  |  | 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        |      3681500 | PA      | $3757812.58    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NOK 3.75000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |            1 | NC      | $-3075264.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $40383.23      | 0.00%             |  |  |  | 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        |     13600000 | PA      | $14166226.75   | 0.08%             | 2029-10-23      | Floating      | 6.30%                 | 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      | $-4.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 03/30 2.75                    | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      3400000 | PA      | $2419646.89    | 0.01%             | 2030-03-01      | Fixed         | 2.75%                 | 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      | $63314.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB4815 FN 04/27 FIXED 3.5                     | CUSIP: 31417BK55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          102 | PA      | $101.92        | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | 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        |       171099 | PA      | $121159.28     | 0.00%             | 2045-07-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C            | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7880685 | PA      | $4649076.27    | 0.03%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA6038 FN 05/54 FIXED 6                       | CUSIP: 3140A6V86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6741782 | PA      | $6884551.69    | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5291 FN 06/54 FIXED 6                       | CUSIP: 3140AE2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5273938 | PA      | $5438975.81    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |        64768 | PA      | $64697.62      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $789564.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4                  | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9338382 | PA      | $9361026.95    | 0.05%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                   | FREDDIE MAC FHR 5508 AF                                 | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9022069 | PA      | $9103249.61    | 0.05%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.24800 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $163967.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    135600000 | PA      | $120972117.46  | 0.68%             | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $6562.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.25000 09/16/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |            1 | NC      | $-392724.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                        | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4   | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   3838000000 | PA      | $8251836.84    | 0.05%             | 2028-10-16      | Fixed         | 18.40%                | 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        |    775500000 | PA      | $3305910.49    | 0.02%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA4666 FN 01/54 FIXED 6                       | CUSIP: 3140A5FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4883993 | PA      | $4984112.63    | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $243102.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1003222.08    | 0.01%             |  |  |  | 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      | $-13324.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260609                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-4356.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-828534.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.2276* 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-74482.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS              | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2414172 | PA      | $2776469.66    | 0.02%             | 2050-12-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | UNITED MEXICAN STATES SR UNSECURED 04/51 5              | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      6100000 | PA      | $4782095.00    | 0.03%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-3180676.27   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-733263.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-1439900.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-C                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 C 4A1         | CUSIP: 05949AZ37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46163 | PA      | $45422.28      | 0.00%             | 2035-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2006-2                                                | NEWGATE FUNDING PLC NGATE 2006 2 BB REGS                | CUSIP: ACI00QQA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2300763 | PA      | $2533018.70    | 0.01%             | 2050-12-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                       | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A      | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1031593 | PA      | $1032638.87    | 0.01%             | 2032-07-23      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-138606.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $74510.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1332226 | PA      | $1249123.78    | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                            | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7748160 | PA      | $7745966.71    | 0.04%             | 2032-07-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $236131.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 05/36 1.84        | CUSIP: ACI386HX7<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   2030794000 | PA      | $59538348.05   | 0.34%             | 2036-05-17      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0973 FR 07/54 FIXED 6.5             | CUSIP: 3133CRCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6561005 | PA      | $6818361.29    | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/31 VAR                   | CUSIP: ACI34TWH9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     16900000 | PA      | $19037272.46   | 0.11%             | 2031-11-07      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22687 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-139754.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5765142 | PA      | $2145445.62    | 0.01%             | 2036-12-25      | Floating      | 4.09%                 | 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      | $-148.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $307.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2006-3X                                               | NEWGATE FUNDING PLC NGATE 2006 3X A3A REGS              | CUSIP: B1H0JWII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        20418 | PA      | $26754.62      | 0.00%             | 2050-12-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-12197353.65  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $938.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1338196.17    | 0.01%             |  |  |  | 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        |       156694 | PA      | $151664.67     | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A   | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8939388 | PA      | $9012204.39    | 0.05%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-3333.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $130362.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                               | SOUTHERN CO JR SUBORDINA 09/81 VAR                      | CUSIP: ACI20FY59<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      8400000 | PA      | $9419583.49    | 0.05%             | 2081-09-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                              | NEW YORK LIFE GLOBAL FDG SECURED 144A 01/31 4.25        | CUSIP: 64952WFR9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3660597.55    | 0.02%             | 2031-01-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                        | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A               | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2500000 | PA      | $2500617.28    | 0.01%             | 2035-04-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                               | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9900000 | PA      | $9912076.81    | 0.06%             | 2034-10-20      | Floating      | 4.82%                 | 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        |        46684 | PA      | $42056.73      | 0.00%             | 2046-12-25      | Floating      | 3.83%                 | 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        |      5500767 | PA      | $5157320.63    | 0.03%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-22635.25     | -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        |     58714000 | NC      | $84430.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $30330.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080393 G2 04/30 FLOATING VAR               | CUSIP: 36225CNK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8966 | PA      | $8937.31       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6242263 | PA      | $5994790.65    | 0.03%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $3845.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | AIR LEASE CORP DISC COML                                | CUSIP: 00913XDG5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     11700000 | PA      | $11678212.26   | 0.07%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-205803.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -30076200 | PA      | $-30076200.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                            | FREMONT HOME LOAN TRUST FHLT 2006 2 2A4                 | CUSIP: 35729PPY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7522000 | PA      | $7043621.11    | 0.04%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/49 3                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       375000 | PA      | $273999.02     | 0.00%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-1616.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-73820.13     | -0.00%            |  |  |  | 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        |      1259362 | PA      | $251752.11     | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | 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        |      4970000 | PA      | $4782848.44    | 0.03%             | 2033-02-15      | Fixed         | 3.50%                 | 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        |         1796 | PA      | $1697.37       | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $700420.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR         | CUSIP: ACI27Z980<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      1000000 | PA      | $1366033.43    | 0.01%             | 2027-09-27      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.95864 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $758500.23     | 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        |   2950300000 | PA      | $14111173.08   | 0.08%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED                                  | VIRGIN MEDIA INV HLDGS LTD 2025 GBP TERM LOAN           | CUSIP: BA000VZK6<br>LEI: 549300ZM1VNUHR0FX008 | Long             | LON              | CORP              | GB        |      1100000 | PA      | $1397722.08    | 0.01%             | 2030-08-01      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-39308.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260605                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-18.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC SR UNSECURED 06/30 VAR         | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     28500000 | PA      | $29437298.60   | 0.17%             | 2030-06-05      | Floating      | 5.72%                 | 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      | $-1018176.15   | -0.01%            |  |  |  | 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        |  10823000000 | PA      | $47268491.79   | 0.27%             | 2064-03-20      | Fixed         | 2.20%                 | 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        |       311475 | PA      | $96109.24      | 0.00%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $67139.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A       | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15894221 | PA      | $15951201.85   | 0.09%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8432 FR 05/54 FIXED 6               | CUSIP: 3132DWLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121249 | PA      | $123687.39     | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11647 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $8866.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-220850.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X BA REGS               | CUSIP: B2NDQGII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       947983 | PA      | $1213971.46    | 0.01%             | 2050-12-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $26716.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $697559.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-1410458.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-5431.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR3                                         | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR3 2A2              | CUSIP: 23332UDX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2965 | PA      | $90.59         | 0.00%             | 2045-07-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                            | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9900000 | PA      | $9908413.91    | 0.06%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                          | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68970 | PA      | $68887.06      | 0.00%             | 2037-12-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                        | KKR FINANCIAL CLO LTD KKR 33A AR 144A                   | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4500000 | PA      | $4504618.04    | 0.03%             | 2034-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |            1 | NC      | $-2640874.42   | -0.01%            |  |  |  | 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        |       128313 | PA      | $134294.02     | 0.00%             | 2034-11-01      | Floating      | 6.23%                 | 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      | $5855417.35    | 0.03%             |  |  |  | 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        |     35961663 | PA      | $33018093.70   | 0.19%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                | SANDSTONE PEAK LTD. SAND 2021 1A A1R2 144A              | CUSIP: 800130BA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4900000 | PA      | $4888195.90    | 0.03%             | 2038-04-15      | Floating      | 4.84%                 | 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        |   9715000000 | PA      | $31942795.12   | 0.18%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5           | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       300000 | PA      | $256149.78     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $472418.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1125848.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-176339.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2098 FR 05/54 FIXED 6               | CUSIP: 3142GSKL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87389 | PA      | $89129.67      | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       711851 | PA      | $595454.02     | 0.00%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                       | INTESA SANPAOLO SPA 144A 11/33 7.2                      | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     15100000 | PA      | $16930282.63   | 0.10%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-236976.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-424247.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                                | LCM LTD PARTNERSHIP LCM 36A A1R 144A                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2000775.68    | 0.01%             | 2034-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3MO EURO EURIBOR  DEC26 IFLL 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        24274 | NC      | $-24364468.61  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BARCLAYS CAPITAL REPO REPO                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     30380000 | PA      | $30380000.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $14370794.74   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QE3059 FR 06/52 FIXED 4               | CUSIP: 3133BCMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3395965 | PA      | $3219775.54    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC JR SUBORDINA 12/99 VAR                     | CUSIP: ACI2DC109<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      2300000 | PA      | $3207911.16    | 0.02%             | 2028-09-15      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-1586.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-42583.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                      | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A             | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12900000 | PA      | $14910102.54   | 0.08%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $20600.84      | 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        |      3300000 | PA      | $2840474.87    | 0.02%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $24977.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                             | ICG EURO CLO ICGE 2023 2A A1R 144A                      | CUSIP: ACI38GWX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6600000 | PA      | $7627035.38    | 0.04%             | 2038-01-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H6 MORTGAGE TRUST 2025-H6                                      | CROSS MORTGAGE TRUST CROSS 2025 H6 A1 144A              | CUSIP: 22758TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16910571 | PA      | $16892897.66   | 0.10%             | 2070-07-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-29224.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2464485.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260622                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $542239.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0104H8 COLOMBIA GOVT FWD 04 24 2026                  | CUSIP: 958QWGII7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   3123000000 | PA      | $787145.42     | 0.00%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-81808.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $5168.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -17400000 | NC      | $-15531.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4867100 | PA      | $4852270.53    | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |     21000000 | PA      | $102670.49     | 0.00%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-22780.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $158802.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A     | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22800000 | PA      | $22096050.00   | 0.12%             | 2038-12-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    470740000 | PA      | $379276686.71  | 2.14%             | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $435.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/35 3.375                  | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     13200000 | PA      | $14606654.92   | 0.08%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-60895.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -391 | NC      | $-145504.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/26 5                       | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      5355000 | PA      | $6244108.11    | 0.04%             | 2026-09-27      | Fixed         | 5.00%                 | 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      | $-1892819.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.94029 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1598820.61    | 0.01%             |  |  |  | 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      | $15477661.89   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $153249.09     | 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        |        95446 | PA      | $92736.77      | 0.00%             | 2035-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $384638.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $12860.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A1         | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8244 | PA      | $7426.06       | 0.00%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-SCHATZ FUT   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3021 | NC      | $3412301.04    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10772000 | PA      | $10719935.37   | 0.06%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL P50175 FG 12/33 FIXED 6               | CUSIP: 31288LFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105090 | PA      | $105827.98     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $4.09          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-921.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-33412.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/41 5.25               | CUSIP: ACI313VK3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     40100000 | PA      | $52861419.03   | 0.30%             | 2041-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO110626                              | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  15694000000 | PA      | $10908629.20   | 0.06%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-1453746.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       118004 | PA      | $99040.15      | 0.00%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $683977.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-206.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/17/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2505858.66    | 0.01%             |  |  |  | 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        |     44400000 | PA      | $44882440.19   | 0.25%             | 2028-01-13      | Fixed         | 5.12%                 | 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        |      9218474 | PA      | $8943896.69    | 0.05%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260810                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-74978.59     | -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      | $795067.43     | 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        |     15800000 | PA      | $10024428.38   | 0.06%             | 2030-05-21      | Fixed         | 2.50%                 | 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        |     18700000 | PA      | $20963805.71   | 0.12%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      7100000 | PA      | $7254629.55    | 0.04%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98993 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1152033.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY 03/35 1                                  | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     28400000 | PA      | $32506979.94   | 0.18%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-2A PLC                                      | BRACCAN MORTGAGE FUNDING BRACN 2025 2A A 144A           | CUSIP: ACI353DG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     25000000 | PA      | $33090233.15   | 0.19%             | 2068-01-17      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -64900000 | NC      | $-51855.10     | -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        |       620055 | PA      | $580810.06     | 0.00%             | 2035-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER                                 | CUSIP: 40412DDP1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     11900000 | PA      | $11867473.73   | 0.07%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2602 FR 01/55 FIXED 6.5             | CUSIP: 31425W3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4532664 | PA      | $4715596.25    | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-264938.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC3280 FN 09/54 FIXED 6.5                     | CUSIP: 3140AQUE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9340707 | PA      | $9666051.89    | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBH7 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     64900000 | NC      | $193466.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $75486.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5          | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     31549303 | PA      | $3888813.18    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $217679.39     | 0.00%             |  |  |  | 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        |     79200000 | PA      | $80469078.62   | 0.45%             | 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      | $1925093.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 03/58 12                     | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   5924800000 | PA      | $1456052.68    | 0.01%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXX DAC 30A                                        | CORDATUS CLO PLC CORDA 30A AR 144A                      | CUSIP: ACI354435<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      4600000 | PA      | $5313751.17    | 0.03%             | 2037-05-15      | Floating      | 3.23%                 | 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      | $-3551759.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI8170 FR 06/54 FIXED 6               | CUSIP: 3133WFCF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6153040 | PA      | $6348068.08    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $205916.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZA7079 FR 06/39 FIXED 4               | CUSIP: 31329Q2L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105054 | PA      | $102702.39     | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | 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        |      4800000 | PA      | $4794000.34    | 0.03%             | 2035-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1277231 | PA      | $1178195.47    | 0.01%             | 2035-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                           | PENTA CLO S.A. PENTA 2021 9A A 144A                     | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8400000 | PA      | $9684269.94    | 0.05%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                | AMETEK INC DISC COML 04/26 ZCP                          | CUSIP: 03111CDT7<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3589180.20    | 0.02%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $97450.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/45 4.125                  | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     20000000 | PA      | $21664563.02   | 0.12%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-214217.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                  | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       500000 | PA      | $458956.33     | 0.00%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BDQ2<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      4700000 | PA      | $4687357.47    | 0.03%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3773 FN 09/39 FIXED 4                       | CUSIP: 31418DFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9296 | PA      | $9083.03       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-93126.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2808043.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6083 FR 05/54 FIXED 6               | CUSIP: 3133WCXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5036320 | PA      | $5195161.91    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1602466.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-76105.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-67330.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $428879.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 01/35 11.75                  | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 306372800000 | PA      | $75960839.34   | 0.43%             | 2035-01-24      | Fixed         | 11.75%                | 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      | $-926015.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $85744.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $-169115.92    | -0.00%            |  |  |  | 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      | $-3697090.86   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | KINGDOM OF SPAIN SR UNSECURED 04/29 5.25                | CUSIP: 566648II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |       900000 | PA      | $1204558.48    | 0.01%             | 2029-04-06      | Fixed         | 5.25%                 | 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        |       367354 | PA      | $29674.63      | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | 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        |       463875 | PA      | $408477.13     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $73432.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.00000 06/17/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-420497.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6297 | PA      | $6308.52       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/52 1.5          | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.16          | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -9285000 | NC      | $-3751.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-13699.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $27679.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A            | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3127281 | PA      | $2815567.63    | 0.02%             | 2037-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-681.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-991856.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.35000 12/15/27-1Y (GRN) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3313480.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR                | CUSIP: ACI26N5G4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     10100000 | PA      | $13756047.20   | 0.08%             | 2027-09-15      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-26098.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE COMPANY                                             | NIPPON LIFE INSURANCE NIPPON LIFE INSURANCE             | CUSIP: 654579AR2<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |      4100000 | PA      | $4106801.61    | 0.02%             | 2033-04-02      | Fixed         | 5.05%                 | 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        |     10916332 | PA      | $9988535.51    | 0.06%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-95295.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-652.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080061 G2 04/27 FLOATING VAR               | CUSIP: 36225CB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          846 | PA      | $846.53        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $141171.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.23838 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-119034.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2          | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16476582 | PA      | $3838753.60    | 0.02%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $8517188.87    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $38666.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-82573.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-10532.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $7879.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-175048.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-15925.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                    | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A    | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       243364 | PA      | $236615.13     | 0.00%             | 2036-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $6773.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $11191.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-10158.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     28386000 | NC      | $2231.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0741 G2 11/55 FIXED 3                    | CUSIP: 3618N5ZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15161909 | PA      | $13555104.44   | 0.08%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A        | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3000000 | PA      | $2970549.00    | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260526                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $49899.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                           | S+P GLOBAL INC                                          | CUSIP: 78513LD63<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     15200000 | PA      | $15189975.60   | 0.09%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A4       | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92071 | PA      | $84865.10      | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | 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        |    321000000 | PA      | $229564994.87  | 1.29%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-300489.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                   | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                   | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       662052 | PA      | $354575.95     | 0.00%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A3         | CUSIP: 43709XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3131245 | PA      | $2211347.77    | 0.01%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2271 FR 05/54 FIXED 6               | CUSIP: 3142GSQZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4622763 | PA      | $4718634.43    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                    | EUROSAIL PLC ESAIL 2007 6NCX A3A REGS                   | CUSIP: B29Q4HII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       365653 | PA      | $478215.51     | 0.00%             | 2045-09-13      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $75668.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $54572.74      | 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        |      1211775 | PA      | $1143879.15    | 0.01%             | 2045-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED 144A 07/31 2.25               | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     10200000 | PA      | $8990647.20    | 0.05%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1491.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE COMPANY                                             | NIPPON LIFE INSURANCE SR UNSECURED 144A 04/31 4.748     | CUSIP: 654579AQ4<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |      5400000 | PA      | $5415510.53    | 0.03%             | 2031-04-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/37 VAR          | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     28500000 | PA      | $27874274.24   | 0.16%             | 2037-01-21      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-1801958.09   | -0.01%            |  |  |  | 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        |      4500000 | PA      | $2961584.96    | 0.02%             | 2061-04-28      | Fixed         | 3.40%                 | 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      | $81585.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO120626                              | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  15680000000 | PA      | $10893184.48   | 0.06%             | 2026-06-12      | None          | 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        |     10641110 | PA      | $11010797.34   | 0.06%             | 2055-04-01      | Fixed         | 6.50%                 | 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      | $258734.36     | 0.00%             |  |  |  | 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        |     65983285 | PA      | $58990614.86   | 0.33%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -363900000 | PA      | $-376185842.60 | -2.12%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-18073.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-76745.90     | -0.00%            |  |  |  | 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        |       108410 | PA      | $107625.67     | 0.00%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                  | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27622315 | PA      | $25354872.59   | 0.14%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -142680000 | PA      | $-143153248.16 | -0.81%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                 | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5982391 | PA      | $2361420.30    | 0.01%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                           | EXPORT DEVELOPMNT CANADA GOVT GUARANT REGS 01/30 4.5    | CUSIP: ACI2TC0K9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |      6200000 | PA      | $8198526.83    | 0.05%             | 2030-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC HSBC HOLDINGS PLC                     | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     16900000 | PA      | $17092568.74   | 0.10%             | 2028-05-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                     | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GDU9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1295657.09    | 0.01%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-519070.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $29760.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $122357.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-45208.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2589067.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                 | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3653845 | PA      | $4228550.03    | 0.02%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-25006.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTIMER 2024-MIX PLC 24-MIX                                              | MORTIMER BTL PLC MORTI 2024 MIX A REGS                  | CUSIP: ACI2S04N6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1080197 | PA      | $1429641.91    | 0.01%             | 2067-09-22      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $77.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-469498.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.75000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |            1 | NC      | $-757710.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        10916 | NC      | $-27365293.07  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/17/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5191755.52   | -0.03%            |  |  |  | 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      | $-22163.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 12/33 3.25                    | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    132000000 | PA      | $94445223.81   | 0.53%             | 2033-12-01      | Fixed         | 3.25%                 | 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        |      4200000 | PA      | $3662147.16    | 0.02%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-984.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA5                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA5 A1B       | CUSIP: 93936RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2096 | PA      | $6505.91       | 0.00%             | 2047-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                        | MET LIFE GLOB FUNDING I SECURED 144A 01/31 4.35         | CUSIP: 59217GFU8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |      3800000 | PA      | $3760169.43    | 0.02%             | 2031-01-12      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-64812.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 02/37 4.75   | CUSIP: ACI2N6VF5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     37300000 | PA      | $23810410.66   | 0.13%             | 2037-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-73253.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS D 144A                           | CUSIP: 990ABJSD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      3400000 | PA      | $2345830.63    | 0.01%             | 2057-12-30      | Floating      | 6.56%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $167677.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7975 | PA      | $7625.01       | 0.00%             | 2035-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/2.00000 09/16/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |            1 | NC      | $2612812.79    | 0.01%             |  |  |  | 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        |     49600000 | PA      | $27768375.44   | 0.16%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R US SOFR/GBP SONIA-32.25 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $-295652.10    | -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        |        72455 | PA      | $73194.72      | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | 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      | $7154930.73    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $7736.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIX LTD 2018-1A                                           | SOUND POINT CLO LTD SNDPT 2018 1A A 144A                | CUSIP: 83610JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        45808 | PA      | $45830.14      | 0.00%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR            | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $7532998.20    | 0.04%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                   | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV5 A12 144A     | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6012913 | PA      | $5214656.95    | 0.03%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $255909.20     | 0.00%             |  |  |  | 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        |      7680000 | PA      | $7593655.07    | 0.04%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-22034.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3         | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6593172 | PA      | $4490415.13    | 0.03%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-FS1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A   | CUSIP: 17313EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       718442 | PA      | $695323.07     | 0.00%             | 2037-10-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-2235.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M3          | CUSIP: 57643LKN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7643487 | PA      | $7593558.36    | 0.04%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 3YR BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -750 | NC      | $219889.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-972824.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A3A           | CUSIP: 88522WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1232477 | PA      | $1071648.08    | 0.01%             | 2037-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                 | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |       340654 | PA      | $394233.82     | 0.00%             | 2031-12-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3427709.65   | -0.02%            |  |  |  | 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        |       900000 | PA      | $863354.27     | 0.00%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $441914.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                      | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDP8<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      6800000 | PA      | $6782062.96    | 0.04%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $1000601.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 09/31 5.125                   | CUSIP: ACI2RB4B9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      2600000 | PA      | $2984594.83    | 0.02%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $34189.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192117 | PA      | $135859.76     | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 5YR BOND FUT  JUN26 XMOD 20260619                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -172 | NC      | $193878.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                              | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3600000 | PA      | $3601147.86    | 0.02%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $16992.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $19650.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $5296.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-56858.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-67827.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC1350 FN 08/54 FIXED 6.5                     | CUSIP: 3140ANQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10249787 | PA      | $10606797.13   | 0.06%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $68986.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                   | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A4        | CUSIP: 93364EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3622211 | PA      | $3287467.59    | 0.02%             | 2037-05-25      | Floating      | 4.08%                 | 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        |   4080000000 | PA      | $13660242.59   | 0.08%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 09/35 4.75   | CUSIP: ACI2MHTY4<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     23400000 | PA      | $15212147.26   | 0.09%             | 2035-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNICIPAL POWER INC                                              | AMERICAN MUNI PWR OHIO INC OH AMEPWR 02/41 FIXED 7.834  | CUSIP: 02765UEJ9<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |       100000 | PA      | $120855.61     | 0.00%             | 2041-02-15      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $108130.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -676 | NC      | $6528735.83    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260518                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-7037.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1 | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    167400000 | PA      | $92276856.31   | 0.52%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |     77910007 | PA      | $764686720.04  | 4.31%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-857.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 10/36 VAR                   | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2300000 | PA      | $2224315.00    | 0.01%             | 2036-10-22      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                  | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A        | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9485102 | PA      | $7903335.97    | 0.04%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BTP FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        10311 | NC      | $-54181518.58  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $115579.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A           | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2971047 | PA      | $2558583.44    | 0.01%             | 2037-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC7                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC7 1A2        | CUSIP: 86358ECT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2188005 | PA      | $2151736.81    | 0.01%             | 2033-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-121484.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS A2 144A                          | CUSIP: 990ABJRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     12700000 | PA      | $8762367.36    | 0.05%             | 2057-12-30      | Floating      | 5.71%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-34042.71     | -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        |       324989 | PA      | $287778.56     | 0.00%             | 2037-09-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                                    | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8000000 | PA      | $9239224.93    | 0.05%             | 2035-10-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $110185.86     | 0.00%             |  |  |  | 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        |    343300000 | PA      | $320797756.10  | 1.81%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $32655.50      | 0.00%             |  |  |  | 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        |   3886350000 | PA      | $18233680.16   | 0.10%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $158578.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-73981.55     | -0.00%            |  |  |  | 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        |        84694 | PA      | $80704.86      | 0.00%             | 2035-11-25      | Floating      | 5.90%                 | 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      | $-911866.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | LONG GILT FUTURE  JUN26 IFLL 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         5283 | NC      | $-30447188.34  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-282919.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-2780.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-3653.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-70722.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $453687.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A A 144A     | CUSIP: ACI2X1Q61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22625900 | PA      | $26180136.67   | 0.15%             | 2035-02-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $6080902.91    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR            | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     16100000 | PA      | $16354555.49   | 0.09%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $27848.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-1364511.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-11062.35     | -0.00%            |  |  |  | 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        |    238700000 | PA      | $68209113.19   | 0.38%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-17766.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                          | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1               | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55339 | PA      | $49799.94      | 0.00%             | 2036-09-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8421 FR 04/54 FIXED 6               | CUSIP: 3132DWLA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4304633 | PA      | $4394546.23    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-3300.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-271733.69    | -0.00%            |  |  |  | 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        |      8889530 | PA      | $8545332.81    | 0.05%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                   | HARVEST CLO HARVT 16A AR3 144A                          | CUSIP: ACI354S05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     14900000 | PA      | $17210989.37   | 0.10%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85               | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     14700000 | PA      | $14894775.00   | 0.08%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-137915.46    | -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        |      1868103 | PA      | $1681813.28    | 0.01%             | 2037-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080109 G2 08/27 FLOATING VAR               | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1538 | PA      | $1544.20       | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BO9993 FN 12/49 FIXED 4                       | CUSIP: 3140K6C78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55326 | PA      | $52921.04      | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5         | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59282 | PA      | $57969.93      | 0.00%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-38730.65     | -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        |    765672000 | PA      | $190379832.73  | 1.07%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4504637.80   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $25035.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2150201.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $312214.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A      | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9080000 | PA      | $9210924.52    | 0.05%             | 2054-11-25      | Fixed         | 5.35%                 | 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      | $862010.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $117713.83     | 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      | $-1388167.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-227515.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                          | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1               | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84303 | PA      | $77902.82      | 0.00%             | 2047-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $52883.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-24938.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260730                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $172090.44     | 0.00%             |  |  |  | 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      | $1022842.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                           | SANTANDER UK GROUP HLDGS SR UNSECURED 09/30 VAR         | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |       800000 | PA      | $801980.29     | 0.00%             | 2030-09-11      | Floating      | 4.86%                 | 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      | $497644.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $1255.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-13453.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.5000 06/19/19-10Y CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-695673.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                                    | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     13100000 | PA      | $13101119.79   | 0.07%             | 2035-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-7506.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                         | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A    | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     25000000 | PA      | $28884647.88   | 0.16%             | 2038-08-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260730                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $612578.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A3       | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79879 | PA      | $73985.36      | 0.00%             | 2035-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A    | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $8961883.60    | 0.05%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/36 VAR                   | CUSIP: ACI34TWL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     15900000 | PA      | $17707107.25   | 0.10%             | 2036-11-07      | Floating      | 3.75%                 | 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        |    105600000 | PA      | $28831449.18   | 0.16%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $474.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1694.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71199 06/30/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $132104.04     | 0.00%             |  |  |  | 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        |       132605 | PA      | $143595.96     | 0.00%             | 2034-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| POLARIS 2025-2 PLC 25-2                                                   | POLARIS PLRS 2025 2 A REGS                              | CUSIP: ACI2YGGK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4011265 | PA      | $5299610.13    | 0.03%             | 2068-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B      | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       491340 | PA      | $516603.56     | 0.00%             | 2046-09-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A   | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1296687 | PA      | $1185701.21    | 0.01%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $10616.90      | 0.00%             |  |  |  | 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      | $-1693713.17   | -0.01%            |  |  |  | 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        |   4080000000 | PA      | $13537615.07   | 0.08%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-1668776.02   | -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      | $-14247.91     | -0.00%            |  |  |  | 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        |      1415159 | PA      | $1397543.16    | 0.01%             | 2038-01-15      | Floating      | 4.15%                 | 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        |     60912178 | PA      | $56930358.67   | 0.32%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NGN BOUGHT USD 20261118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $-17053.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.75000 06/17/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-63631.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                          | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1             | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49923 | PA      | $47907.53      | 0.00%             | 2036-01-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                           | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2318480 | PA      | $2682489.34    | 0.02%             | 2031-01-15      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 01/28 VAR      | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     11100000 | PA      | $10936321.73   | 0.06%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $332891.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/52 1.3                   | CUSIP: ACI26WF16<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1760000000 | PA      | $6732259.22    | 0.04%             | 2052-06-20      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                   | 83208D9Y5 SMB 2026 B C 144A                             | CUSIP: 990ACZVD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       767000 | PA      | $760151.85     | 0.00%             | 2054-03-11      | Fixed         | 5.88%                 | No            |                  3 | 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      | $-8569140.40   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      5000000 | PA      | $4896592.50    | 0.03%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                             | JONES LANG LASALLE FIN BV                               | CUSIP: 48002BD90<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |      5700000 | PA      | $5694311.97    | 0.03%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                      | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13491399 | PA      | $11733321.58   | 0.07%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                | ACE SECURITIES CORP. ACE 2006 HE1 M1                    | CUSIP: 004421WR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15638306 | PA      | $14268696.70   | 0.08%             | 2036-02-25      | Floating      | 4.38%                 | 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      | $220279.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/36 4.125                             | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     74000000 | PA      | $72849530.88   | 0.41%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $2720.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                             | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A    | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1401193 | PA      | $1404224.11    | 0.01%             | 2038-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $326.29        | 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        |     27570000 | PA      | $30385879.30   | 0.17%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KDL5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      3500000 | PA      | $3491763.10    | 0.02%             | 2026-04-20      | None          | 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        |      9200000 | PA      | $9274685.60    | 0.05%             | 2028-08-08      | Variable      | 5.40%                 | 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      | $-14411.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $3823.47       | 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      | $0.63          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-468941.34    | -0.00%            |  |  |  | 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        |      3500000 | PA      | $4135002.15    | 0.02%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                        | BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 06/34 3.5    | CUSIP: ACI25ZFG7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     12200000 | PA      | $13401811.21   | 0.08%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $938520.13     | 0.01%             |  |  |  | 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      | $640461.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080407 G2 05/30 FLOATING VAR               | CUSIP: 36225CNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6492 | PA      | $6504.31       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | 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        |     33700000 | PA      | $35900171.44   | 0.20%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                             | CITIGROUP INC SR UNSECURED 02/30 VAR                    | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     20900000 | PA      | $21224992.07   | 0.12%             | 2030-02-13      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 07/32 3.582                   | CUSIP: ACI22Y4J9<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     23340000 | PA      | $5791017.73    | 0.03%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75       | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      1300000 | PA      | $1289073.68    | 0.01%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5001 FR 07/39 FIXED 3.5             | CUSIP: 3133KYRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127552 | PA      | $122317.65     | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $13991.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-46977.92     | -0.00%            |  |  |  | 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        |     87750000 | PA      | $79634838.76   | 0.45%             | 2044-08-15      | Fixed         | 4.12%                 | 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        |     15441000 | PA      | $4812450.18    | 0.03%             | 2031-08-12      | Fixed         | 6.95%                 | 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        |       566264 | PA      | $507120.97     | 0.00%             | 2052-12-20      | 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      | $-4636795.11   | -0.03%            |  |  |  | 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      | $-1324186.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM -45 FAR                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $2123354.58    | 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        |      9285000 | NC      | $14131.77      | 0.00%             |  |  |  | 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        |        58385 | PA      | $55851.13      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB2414 FN 06/54 FIXED 6                       | CUSIP: 3140ABVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1625034 | PA      | $1658398.23    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-101037.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLARIS 2025-3 PLC 25-3A                                                  | POLARIS PLRS 2025 3A A 144A                             | CUSIP: ACI34QDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24999452 | PA      | $33083661.56   | 0.19%             | 2069-10-27      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-116.34       | -0.00%            |  |  |  | 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      | $-9330.17      | -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        |        51337 | PA      | $48366.45      | 0.00%             | 2036-03-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $4773.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                             | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A   | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7231647 | PA      | $7029783.47    | 0.04%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $75578.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-18520.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                         | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4622729 | PA      | $4625207.59    | 0.03%             | 2033-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -17400000 | NC      | $-90894.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                              | HUNGARY SR UNSECURED 144A 03/36 5.5                     | CUSIP: 445545AU0<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      5800000 | PA      | $5659795.32    | 0.03%             | 2036-03-26      | Fixed         | 5.50%                 | 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        |     69900000 | PA      | $52491447.96   | 0.30%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 03/30 4.375              | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    315090000 | PA      | $416340107.21  | 2.35%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-19959.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-17049.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15000000 | PA      | $14795415.30   | 0.08%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP2                                                      | RAAC SERIES RAAC 2006 RP2 M1 144A                       | CUSIP: 74919MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3850056 | PA      | $3782749.81    | 0.02%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $921226.52     | 0.01%             |  |  |  | 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        |       615324 | PA      | $441851.14     | 0.00%             | 2055-02-12      | Fixed         | 2.38%                 | 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        |     42431788 | PA      | $5302529.65    | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-12051.62     | -0.00%            |  |  |  | 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      | $-7210.61      | -0.00%            |  |  |  | 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        |      3550907 | PA      | $2999542.46    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-25041.42     | -0.00%            |  |  |  | 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        |      2856795 | PA      | $2853271.17    | 0.02%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1065198.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/29 1 | CUSIP: ACI17SZK2<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     19213000 | PA      | $21352367.30   | 0.12%             | 2029-04-30      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS8                                       | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS8 MII1       | CUSIP: 76110WD52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       365600 | PA      | $357223.67     | 0.00%             | 2034-09-25      | Floating      | 4.63%                 | 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        |      7200000 | PA      | $7121844.50    | 0.04%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR            | CUSIP: 95000U4D2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      5600000 | PA      | $5551249.26    | 0.03%             | 2030-01-23      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A11      | CUSIP: 12668AJK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2917005 | PA      | $1459040.38    | 0.01%             | 2035-11-25      | Fixed         | 5.00%                 | 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        |       842945 | PA      | $377085.12     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3        | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5964310 | PA      | $2979574.22    | 0.02%             | 2037-04-25      | Floating      | 4.31%                 | 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      | $554452.56     | 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        |     34900000 | PA      | $17677067.44   | 0.10%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 4A          | CUSIP: 07384MR20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10802 | PA      | $10538.56      | 0.00%             | 2034-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1        | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10712002 | PA      | $3345970.98    | 0.02%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-124859.00    | -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        |      6551684 | PA      | $6015408.81    | 0.03%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4702276 | PA      | $4360715.69    | 0.02%             | 2035-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $120952.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -64900000 | NC      | $-53218.00     | -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      | $-16216273.07  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $505.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $3892.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-31526.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 11/37 2             | CUSIP: ACI1Q9PP3<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     43200000 | PA      | $20152628.02   | 0.11%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO IV LTD                                                       | GREYWOLF CLO LTD GWOLF 2019 1A A1R2 144A                | CUSIP: 39809TAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9400000 | PA      | $9412058.98    | 0.05%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                                    | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A             | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22400000 | PA      | $25878425.64   | 0.15%             | 2038-01-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A          | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6961375 | PA      | $6972384.94    | 0.04%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $408835.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   5015468400 | PA      | $31507652.53   | 0.18%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG       | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $490000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | 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        |       544847 | PA      | $514302.78     | 0.00%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-4956799.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-2484.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $26452.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25   | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      4300000 | PA      | $4037239.90    | 0.02%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $119.97        | 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      | $1.78          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $46540.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261026                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $448142.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A3         | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11236152 | PA      | $5535133.16    | 0.03%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5165 FN 10/53 FIXED 5.5                     | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10957320 | PA      | $11044252.92   | 0.06%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/27 FIXED 2.332 | CUSIP: 38122NC67<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      5000000 | PA      | $4890826.00    | 0.03%             | 2027-06-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A            | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4474873 | PA      | $4040284.38    | 0.02%             | 2047-06-25      | Floating      | 3.99%                 | 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        |       176237 | PA      | $154357.72     | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                             | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS             | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1201858 | PA      | $1591652.32    | 0.01%             | 2049-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    436448000 | PA      | $420561035.30  | 2.37%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-134135.21    | -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        |      1935557 | PA      | $1851951.95    | 0.01%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $117354.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-258841.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1368 | NC      | $-1700420.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WELLS FARGO 00/00 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -513453562 | PA      | $-514901501.54 | -2.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2773085.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-21170.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-390382.81    | -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        |     11200000 | PA      | $10774534.51   | 0.06%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                            | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A          | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       261556 | PA      | $261878.95     | 0.00%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       538261 | PA      | $487021.63     | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $131343.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-389973.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                        | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      9000000 | PA      | $10201841.37   | 0.06%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                         | CIM TRUST CIM 2023 R2 A1 144A                           | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5322131 | PA      | $5337625.11    | 0.03%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/29 VAR                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     15700000 | PA      | $16388417.53   | 0.09%             | 2029-11-01      | Floating      | 6.41%                 | 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        |     14836950 | PA      | $16010559.87   | 0.09%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                   | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4850000000 | PA      | $28088774.77   | 0.16%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.82500 09/19/45-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2077354.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                   | 83208D9A7 SMB 2026 B A1A 144A                           | CUSIP: 990ACZVA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63769000 | PA      | $63383793.15   | 0.36%             | 2054-03-11      | Fixed         | 4.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-15568.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30891836 | PA      | $29730358.84   | 0.17%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-20198.57     | -0.00%            |  |  |  | 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      | $-1199049.74   | -0.01%            |  |  |  | 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        |      8300000 | PA      | $8270850.73    | 0.05%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $55782.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                  | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41331 | PA      | $38242.56      | 0.00%             | 2052-07-20      | Fixed         | 3.50%                 | 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        |     17607708 | PA      | $20336376.76   | 0.11%             | 2034-10-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC SR UNSECURED 11/35 VAR         | CUSIP: 539439BA6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     13400000 | PA      | $13639388.45   | 0.08%             | 2035-11-26      | Floating      | 5.59%                 | 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        |     11600000 | PA      | $13404038.63   | 0.08%             | 2038-10-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $20608.69      | 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        |     19076222 | PA      | $16811135.03   | 0.09%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $19077.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-4289.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A6            | CUSIP: 12668WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162726 | PA      | $156058.48     | 0.00%             | 2035-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                            | CAIRN CLO BV CRNCL 2019 11A AR 144A                     | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8300000 | PA      | $9588329.30    | 0.05%             | 2040-01-15      | Floating      | 3.19%                 | 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        |         2129 | PA      | $2125.63       | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS SOFRINDX/IBOXIG INDX 09/21/26 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1015682.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080397 G2 04/30 FLOATING VAR               | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          880 | PA      | $881.58        | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | 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        |      2292607 | PA      | $2335043.98    | 0.01%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $-1776.03      | -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      | $-497848.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 07/30 VAR              | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      6700000 | PA      | $6799088.11    | 0.04%             | 2030-07-22      | Floating      | 5.00%                 | 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        |        21748 | PA      | $17676.42      | 0.00%             | 2046-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0681 G2 10/55 FIXED 3                    | CUSIP: 3618N5XK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5252022 | PA      | $4695431.42    | 0.03%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-27508.22     | -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      | $825285.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                        | BAIN CAPITAL CREDIT CLO LIMIT BCC 2021 3A AR 144A       | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4900000 | PA      | $4903282.80    | 0.03%             | 2034-07-24      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORTIMER BTL 2021-1 PLC 21-1                                              | MORTIMER BTL MORTI 2021 1 A REGS                        | CUSIP: ACI1YG8D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5376509 | PA      | $7117773.12    | 0.04%             | 2053-06-23      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                | CAPITAL FOUR CLO CFOUR 10A A 144A                       | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9100000 | PA      | $10499939.48   | 0.06%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2026-1 PLC 26-1A                                 | BRACCAN MORTGAGE FUNDING BRACN 2026 1A A 144A           | CUSIP: ACI38ZZ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     19900000 | PA      | $26342941.57   | 0.15%             | 2068-04-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                     | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                  | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4990393 | PA      | $4993056.10    | 0.03%             | 2039-06-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-248325.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.32500 07/06/26-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $481370.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A11 144A         | CUSIP: 46653QBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10025508 | PA      | $9407758.45    | 0.05%             | 2052-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6989 FN 06/53 FIXED 5.5                     | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2998009 | PA      | $3018816.30    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       300000 | PA      | $302171.10     | 0.00%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2007-1                                                | LUDGATE FUNDING PLC LGATE 2007 1 A2B REGS               | CUSIP: B1Z520II7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        73025 | PA      | $82603.76      | 0.00%             | 2061-01-01      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                             | JONES LANG LASALLE FIN BV                               | CUSIP: 48002BD82<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |      3500000 | PA      | $3496895.85    | 0.02%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-456030.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM2005 FN 12/47 FIXED VAR                     | CUSIP: 3140J6GP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76369 | PA      | $73183.17      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $4430.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A          | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       715344 | PA      | $663577.05     | 0.00%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-94798.10     | -0.00%            |  |  |  | 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        |        30073 | PA      | $29575.50      | 0.00%             | 2034-05-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $43580.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A   | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2069177 | PA      | $1164469.19    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-6368.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $1140554.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1367643.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 12/45 3.2                   | CUSIP: ACI385D54<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1574400000 | PA      | $9825255.97    | 0.06%             | 2045-12-20      | Fixed         | 3.20%                 | 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        |       279173 | PA      | $229324.55     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $7499.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2755 | PA      | $2796.63       | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-2297569.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                  | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1 144A   | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3601462 | PA      | $3506437.16    | 0.02%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-648.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OLYMPUS CORPORATION                                                       | OLYMPUS CORP SR UNSECURED 144A 12/26 2.143              | CUSIP: 68163WAA7<br>LEI: 5299000Y52IFDI1I2A21 | Long             | DBT              | CORP              | JP        |      8700000 | PA      | $8594363.90    | 0.05%             | 2026-12-08      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                    | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34612 | PA      | $33824.34      | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS B 144A                           | CUSIP: 990ABJRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      8900000 | PA      | $6140556.65    | 0.03%             | 2057-12-30      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-56221.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2017 BV 17-1A                                            | BNPP AM EURO CLO BNPAM 2017 1A AR 144A                  | CUSIP: ACI1G3M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1543940 | PA      | $1786782.01    | 0.01%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                       | CONSTELLATION ENERGY                                    | CUSIP: 21038QD19<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4999395.50    | 0.03%             | 2026-04-01      | None          | 0.00%                 | 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        |        14272 | PA      | $13460.00      | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-5.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A      | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       746187 | PA      | $749923.33     | 0.00%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-742215.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-150.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3242.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    498000000 | PA      | $490176773.58  | 2.76%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A          | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2530107 | PA      | $2537611.60    | 0.01%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A5         | CUSIP: 86359SAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18447234 | PA      | $17534926.29   | 0.10%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A         | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          485 | PA      | $5007406.60    | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 04/53 3.19                  | CUSIP: ACI2FG9Z3<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |      8080000 | PA      | $1363337.71    | 0.01%             | 2053-04-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-6059307.81   | -0.03%            |  |  |  | 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      | $-8530647.03   | -0.05%            |  |  |  | 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      | $-4743577.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $1638390.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY 1.50000 06/17/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-598845.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -136100000 | PA      | $-119360731.64 | -0.67%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD 2021-62A                                                | ARES CLO LTD ARES 2021 62A A1R 144A                     | CUSIP: 00192WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9200000 | PA      | $9203017.69    | 0.05%             | 2034-01-25      | Floating      | 4.74%                 | 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        |      7800646 | PA      | $8071498.42    | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $571911.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5             | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4289325 | PA      | $4320406.91    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-373010.82    | -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        |     11241979 | PA      | $12978727.65   | 0.07%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95          | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       100000 | PA      | $82899.89      | 0.00%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $278185.93     | 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      | $1590338.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-146.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-21994.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-10539.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $8326.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A22         | CUSIP: 05951GBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       104864 | PA      | $79704.80      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $380.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1          | CUSIP: 058928AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23529 | PA      | $22897.02      | 0.00%             | 2036-03-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23773.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                      | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M1           | CUSIP: 9497EBAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10444249 | PA      | $10551125.72   | 0.06%             | 2037-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $82024.41      | 0.00%             |  |  |  | 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        |         1334 | PA      | $1349.97       | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | 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        |      4700000 | PA      | $2490295.00    | 0.01%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A     | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5260000 | PA      | $5335120.16    | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70182 | PA      | $61754.64      | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | 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        |    105500000 | PA      | $77791884.53   | 0.44%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0682 G2 10/55 FIXED 3.5                  | CUSIP: 3618N5XL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88500009 | PA      | $81235277.73   | 0.46%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-15832.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $2892.78       | 0.00%             |  |  |  | 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        |        25153 | PA      | $25372.46      | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-391598.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-7387.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-4                                    | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 4 M1          | CUSIP: 64352VDK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3288388 | PA      | $3289102.38    | 0.02%             | 2033-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                               | REPUBLIC OF PANAMA EUR TERM LOAN                        | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |     34600000 | PA      | $40035189.11   | 0.23%             | 2027-03-05      | Floating      | 3.89%                 | No            |                  3 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                           | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5952621 | PA      | $5958746.34    | 0.03%             | 2032-07-20      | Floating      | 4.80%                 | 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      | $-27711.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL3 A1 144A   | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3419427 | PA      | $3342215.27    | 0.02%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4186.05      | -0.00%            |  |  |  | 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        |      1600000 | PA      | $560000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A7         | CUSIP: 05949A6J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37075 | PA      | $33677.06      | 0.00%             | 2035-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-577797.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $5575.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-5793.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                | CUSIP: ACI1SQVK7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      4300000 | PA      | $5605583.28    | 0.03%             | 2027-05-12      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $1890000.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260608                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $60042.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1              | CUSIP: 466247WT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1883 | PA      | $1775.14       | 0.00%             | 2035-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0552 G2 08/55 FIXED 3.5                  | CUSIP: 3618N5TJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155654426 | PA      | $142913649.40  | 0.81%             | 2055-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                         | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                 | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9800000 | PA      | $9811997.65    | 0.06%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $4072102.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC 5A                                               | HAYFIN EMERALD CLO HAYEM 5A AR 144A                     | CUSIP: ACI2RYDM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     16900000 | PA      | $19542049.51   | 0.11%             | 2037-11-17      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $79316.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A       | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4633190 | PA      | $4568172.34    | 0.03%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2           | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     11000000 | PA      | $6042266.35    | 0.03%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A3         | CUSIP: 75116BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5200588 | PA      | $4317538.68    | 0.02%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-155103.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $12844.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $129584.18     | 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      | $43754.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $20423.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $4126555.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-40069.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0374 FN 08/54 FIXED 6                       | CUSIP: 3140AMMY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5476299 | PA      | $5587598.43    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1.5          | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.17          | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | 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      | $-20839.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                  | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14922013 | PA      | $19763153.09   | 0.11%             | 2053-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD 2021-25A                                             | SYMPHONY CLO LTD SYMP 2021 25A AR 144A                  | CUSIP: 87167WDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14900000 | PA      | $14908299.00   | 0.08%             | 2034-04-19      | Floating      | 4.72%                 | 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        |     35929851 | PA      | $33911663.36   | 0.19%             | 2032-07-15      | Fixed         | 0.62%                 | 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        |         4446 | PA      | $4269.01       | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | 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      | $220127.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-128303.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                  | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       187995 | PA      | $173567.35     | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-61079.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       937842 | PA      | $907769.42     | 0.01%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $267834.30     | 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      | $-172467.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260601                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $2048.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48400000 | PA      | $43216650.88   | 0.24%             | 2056-04-21      | Fixed         | 3.00%                 | 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        |        23684 | PA      | $20275.65      | 0.00%             | 2035-09-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120349 | PA      | $104824.17     | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-46341.02     | -0.00%            |  |  |  | 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      | $-28698590.22  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1       | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4233864 | PA      | $3574852.18    | 0.02%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/36 3 | CUSIP: ACI3861W6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     10500000 | PA      | $11922826.19   | 0.07%             | 2036-04-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2798.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     12248000 | PA      | $12179949.26   | 0.07%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XV DAC 15A                                              | ARES EURO CLO ARESE 15A A 144A                          | CUSIP: ACI29GXM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      8335000 | PA      | $9615557.64    | 0.05%             | 2036-01-15      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-61820.68     | -0.00%            |  |  |  | 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      | $-82547266.19  | -0.47%            |  |  |  | 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        |         5231 | PA      | $5327.02       | 0.00%             | 2035-04-20      | Floating      | 6.61%                 | 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        |     34122000 | NC      | $51933.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1019348 | PA      | $880559.66     | 0.00%             | 2036-09-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/1.75000 09/16/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |            1 | NC      | $12325618.60   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1492.36       | 0.00%             |  |  |  | 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      | $514632.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-23509.43     | -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        |    206370000 | PA      | $108884672.34  | 0.61%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A       | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       266741 | PA      | $255063.86     | 0.00%             | 2046-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 04/30 VAR          | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15478109.70   | 0.09%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                   | 83208D909 SMB 2026 B R 144A                             | CUSIP: 990ACZUY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4000 | PA      | $655329.31     | 0.00%             | 2054-03-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PROJECT PANAMA SPV LIMITED LIABILITY CO                                   | PROJECT PANAMA SPV LLC 01/29 1                          | CUSIP: 74290GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15804000 | PA      | $15894993.27   | 0.09%             | 2029-01-03      | Floating      | 7.20%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5             | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12720516 | PA      | $12791574.80   | 0.07%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 05/29 VAR                   | CUSIP: ACI34TWG1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $17311896.65   | 0.10%             | 2029-05-04      | Floating      | 2.62%                 | 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        |     87999981 | PA      | $80796920.86   | 0.46%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260608                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $742257.30     | 0.00%             |  |  |  | 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        |     38428753 | PA      | $39756088.39   | 0.22%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $32210.80      | 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        |        38882 | PA      | $9496.29       | 0.00%             | 2046-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS SOFRINDX/IBOXIG INDX 09/21/26 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1899.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-11275.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED 144A 07/41 3.125              | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      1600000 | PA      | $1164984.40    | 0.01%             | 2041-07-12      | Fixed         | 3.12%                 | 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        |         8532 | PA      | $8590.85       | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 02/33 13.25                  | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 276018600000 | PA      | $74003925.27   | 0.42%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3740                                                   | FREDDIE MAC FHR 3740 DF                                 | CUSIP: 3137GAPP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       615179 | PA      | $610259.18     | 0.00%             | 2040-10-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1375044.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-1509444.35   | -0.01%            |  |  |  | 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        |         7137 | PA      | $7210.15       | 0.00%             | 2043-06-01      | Floating      | 5.06%                 | 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        |       220628 | PA      | $206639.30     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS REV REPO EUR                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -1331928 | PA      | $-1542248.08   | -0.01%            |  |  |  | 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      | $225658.79     | 0.00%             |  |  |  | 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        |     15000000 | PA      | $15278847.30   | 0.09%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3          | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6276192 | PA      | $3212208.29    | 0.02%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-59200.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $314.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-192199.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                                    | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A           | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       143730 | PA      | $150487.53     | 0.00%             | 2029-06-25      | Floating      | 4.73%                 | 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        |      8300000 | PA      | $9588061.64    | 0.05%             | 2039-10-18      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     10000000 | PA      | $10227412.20   | 0.06%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-69768.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                                | TRINITAS EURO CLO TRNTE 1A AR 144A                      | CUSIP: ACI2XTDT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6000000 | PA      | $6933156.03    | 0.04%             | 2039-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $36103.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                     | RESLOC UK PLC RLOC 2007 1X M1B REGS                     | CUSIP: B1XCHGII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       443109 | PA      | $559341.11     | 0.00%             | 2043-12-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $116543.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $10711.31      | 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        |       318937 | PA      | $254819.53     | 0.00%             | 2037-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| OZLME IV DAC A4                                                           | OZLME OZLME 4A AR 144A                                  | CUSIP: ACI2W69B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     18200000 | PA      | $21031368.46   | 0.12%             | 2038-04-27      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-346356.30    | -0.00%            |  |  |  | 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        |         8484 | PA      | $8290.80       | 0.00%             | 2033-11-25      | Floating      | 5.68%                 | 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        |       142658 | PA      | $111930.65     | 0.00%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2003-HE2                                    | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1        | CUSIP: 04541GDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       182717 | PA      | $183698.23     | 0.00%             | 2033-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A    | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28244908 | PA      | $27567439.06   | 0.16%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-47691.35     | -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        |      2370241 | PA      | $1976451.16    | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $394335.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |     26257038 | PA      | $3258614.92    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/28 5.5                     | CUSIP: ACI2JSF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      9000000 | PA      | $10746771.71   | 0.06%             | 2028-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 01/28 4.282              | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       900000 | PA      | $896987.47     | 0.01%             | 2028-01-09      | Fixed         | 4.28%                 | 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        |    299500000 | PA      | $90005778.90   | 0.51%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-372.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/45 2.98        | CUSIP: ACI2S0HH5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    931914000 | PA      | $27234607.38   | 0.15%             | 2045-06-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-370.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                             | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A               | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7400000 | PA      | $7409912.60    | 0.04%             | 2034-07-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-3256.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $376579.92     | 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      | $4382151.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $25433.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $80863.02      | 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        |        37179 | PA      | $32484.41      | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                  | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1044300000 | PA      | $61053093.65   | 0.34%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A        | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       424856 | PA      | $422461.47     | 0.00%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                      | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDQ6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      4400000 | PA      | $4387871.84    | 0.02%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-3521552.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $64028.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-317633.09    | -0.00%            |  |  |  | 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        |      7008019 | PA      | $6773639.61    | 0.04%             | 2060-01-25      | Variable      | 2.71%                 | 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        |        22464 | PA      | $22837.63      | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-92691.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235657 | PA      | $226617.20     | 0.00%             | 2036-02-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-102872.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-15523.68     | -0.00%            |  |  |  | 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      | $-28557.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A1              | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27912 | PA      | $27473.55      | 0.00%             | 2035-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      5900000 | PA      | $7986590.60    | 0.05%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-449849.82    | -0.00%            |  |  |  | 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        |         2216 | PA      | $1887.20       | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR3                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR3 1A1        | CUSIP: 45660L5N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2957512 | PA      | $2163210.23    | 0.01%             | 2036-03-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A      | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       592872 | PA      | $597646.20     | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-82252.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $131174.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $21161.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 6 LTD 2026-6A                                                | NAVESINK CLO, LIMITED NAVS 2026 6A A1 144A              | CUSIP: 63944AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10100000 | PA      | $10100000.00   | 0.06%             | 2037-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $26606.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $3288929.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6          | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26069224 | PA      | $8092565.06    | 0.05%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $1759489.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZA2511 FR 06/38 FIXED 4               | CUSIP: 31329KYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43502 | PA      | $42643.37      | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $17746.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $59722.66      | 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        |  38824610000 | PA      | $23122905.03   | 0.13%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-775740.93    | -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      | $-1170497.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-67972.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       200000 | PA      | $193910.81     | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | 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      | $448458.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 09/42 1.1                   | CUSIP: ACI29CD84<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9710000000 | PA      | $45792801.74   | 0.26%             | 2042-09-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4175344 | PA      | $4080588.71    | 0.02%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-868855.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $3181911.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-100285.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BOBL FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -5964 | NC      | $15323983.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1            | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |            5 | PA      | $0.61          | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -622 | NC      | $2613435.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $130419.76     | 0.00%             |  |  |  | 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      | $-3690799.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5 | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     29600000 | PA      | $19780645.52   | 0.11%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-87346.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 773348 FN 06/35 FLOATING VAR                  | CUSIP: 31404NEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58568 | PA      | $60016.88      | 0.00%             | 2035-06-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                       | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDY3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     12600000 | PA      | $12534317.33   | 0.07%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $678721.79     | 0.00%             |  |  |  | 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        |     31100000 | PA      | $35189899.26   | 0.20%             | 2035-10-31      | Fixed         | 3.20%                 | 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        |      7400000 | PA      | $7211911.61    | 0.04%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LTD                              | ROYAL BK SCOTLAND INTL LTD USD SR NT SER E              | CUSIP: 929QCQII3<br>LEI: 21380078CCZSEEIIKA41 | Long             | DBT              | CORP              | JE        |     19000000 | PA      | $18756330.89   | 0.11%             | 2028-12-16      | Fixed         | 4.66%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-27456.34     | -0.00%            |  |  |  | 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      | $943092.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | AIR LEASE CORP DISC COML                                | CUSIP: 00913XDE0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     23400000 | PA      | $23362038.18   | 0.13%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17400000 | PA      | $16421389.55   | 0.09%             | 2056-04-13      | Fixed         | 4.00%                 | 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      | $928329.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260722                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $304614.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-338766.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50245 | PA      | $48269.32      | 0.00%             | 2035-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | BUONI POLIENNALI DEL TES SR UNSECURED REGS 04/28 3.4    | CUSIP: ACI2BGT93<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    194600000 | PA      | $227281204.49  | 1.28%             | 2028-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $258.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0143 FR 07/54 FIXED 6.5             | CUSIP: 3133CQEQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7668224 | PA      | $7973497.11    | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |      5732000 | PA      | $5796999.91    | 0.03%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A      | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59230721 | PA      | $59698907.24   | 0.34%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-222419.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZM3772 FR 07/47 FIXED 4               | CUSIP: 3131XXFM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       274681 | PA      | $262560.05     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | 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        |     34900000 | PA      | $22670383.89   | 0.13%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $11790.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B       | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3912404 | PA      | $2920434.83    | 0.02%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-117963.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.35000 01/20/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |            1 | NC      | $-1224396.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22715 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-72852.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                          | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2A1A              | CUSIP: 1266943Y2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       132867 | PA      | $124268.58     | 0.00%             | 2036-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-846575.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     49300000 | PA      | $50248497.98   | 0.28%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $5937.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                     | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A5         | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10682620 | PA      | $3416014.38    | 0.02%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $48233.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1              | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24991 | PA      | $24528.78      | 0.00%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                       | EUROPEAN UNION SR UNSECURED REGS 12/35 3.375            | CUSIP: ACI2VLWT2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    118100000 | PA      | $136198090.19  | 0.77%             | 2035-12-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                           | PHILIP MORRIS INTL INC SR UNSECURED 06/29 2.75          | CUSIP: ACI2XLY35<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     25900000 | PA      | $29324723.60   | 0.17%             | 2029-06-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                         | KOREA HOUSING FINANCE CO COVERED REGS 09/30 2.765       | CUSIP: ACI2ZX6R5<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |     28100000 | PA      | $31947703.56   | 0.18%             | 2030-09-02      | Fixed         | 2.77%                 | 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        |  14093700000 | PA      | $63419651.90   | 0.36%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $33400.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $21645.57      | 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      | $-2304024.06   | -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      | $-2033114.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2102.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.99598 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $419501.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -41977000 | NC      | $-256899.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYFRT-7A                                                                 | BAYFRONT IABS VII PTE. LTD. BAYFRT 7A A 144A            | CUSIP: ACI355GJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | SG        |     13400000 | PA      | $13399526.98   | 0.08%             | 2048-04-11      | Floating      | 5.04%                 | No            |                  3 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      4100000 | PA      | $4081662.01    | 0.02%             | 2028-03-13      | Floating      | 4.04%                 | 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        |    298261510 | PA      | $273847919.24  | 1.54%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-6521.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-198909.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8200 FN 06/54 FIXED VAR                     | CUSIP: 3140XQDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3787550 | PA      | $3867083.01    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |         9602 | PA      | $9493.59       | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $215541.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-34CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 34CB 1A1      | CUSIP: 12667GW41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91236 | PA      | $49287.26      | 0.00%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG       | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $980000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.60000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-5112525.74   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2020-1 DAC  20-1A                                        | BARINGS EURO CLO BABSE 2020 1A ARR 144A                 | CUSIP: ACI316LH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     18700000 | PA      | $21601927.61   | 0.12%             | 2038-10-21      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH7058 FN 12/47 FIXED 3.5                     | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1380062 | PA      | $1287210.72    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 03/18/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-5570782.55   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-73918.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 01/28 VAR                   | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2559572.08    | 0.01%             | 2028-01-21      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $18896.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A4             | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3226625 | PA      | $1598942.23    | 0.01%             | 2036-06-25      | Floating      | 4.27%                 | 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        |     10300000 | PA      | $10129746.25   | 0.06%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0658* 03/13/26-20Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $24517.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-369.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5288 FN 06/54 FIXED 6                       | CUSIP: 3140AE2W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5791248 | PA      | $5984142.94    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2          | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89709 | PA      | $23815.36      | 0.00%             | 2046-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $11367.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS P SIBCSORA-5/SGXF75438295 CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | SG        |            1 | NC      | $29899.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-464607.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF INDUSTRY LIMITED                                                  | BANK OF INDUSTRY LIMITED 2024 EUR TERM LOAN B1          | CUSIP: BA000BY62<br>LEI: 5493006N5JD4B34R6G14 | Long             | LON              | MUN               | NG        |      9075000 | PA      | $10464869.12   | 0.06%             | 2027-08-23      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                       | GLOBAL PMTS INC                                         | CUSIP: 37961DD23<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     12700000 | PA      | $12697065.03   | 0.07%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2441880000 | PA      | $2405427517.68 | 13.56%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                              | ACE SECURITIES CORP. ACE 2007 WM1 A2A                   | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3638366 | PA      | $1487875.17    | 0.01%             | 2036-11-25      | Floating      | 3.93%                 | 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        |       202687 | PA      | $85391.86      | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 008865 G2 05/26 FLOATING VAR               | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           61 | PA      | $60.69         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260611                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-66168.07     | -0.00%            |  |  |  | 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        |     13900000 | PA      | $13985641.10   | 0.08%             | 2027-01-23      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                    | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3369941 | PA      | $3115015.44    | 0.02%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -890240399 | PA      | $-717269467.02 | -4.04%            | 2056-04-13      | Fixed         | 2.00%                 | 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      | $1991182.31    | 0.01%             |  |  |  | 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        |      8800000 | PA      | $3046102.47    | 0.02%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-6489.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 37T1 A5       | CUSIP: 12667G2X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       797702 | PA      | $485158.56     | 0.00%             | 2035-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-557689.89    | -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        |      4300000 | PA      | $4304535.86    | 0.02%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD6419 FN 04/55 FIXED 6.5                     | CUSIP: 3140B7DZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5604030 | PA      | $5849671.95    | 0.03%             | 2055-04-01      | Fixed         | 6.50%                 | 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      | $2047239.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MML DORCHESTER SCSP                                                       | PROJECT DORCHESTER EUR TERM LOAN                        | CUSIP: BA000T4M1<br>LEI: 213800PP3CKB6OTAPQ90 | Long             | LON              | CORP              | US        |      6800000 | PA      | $7859781.50    | 0.04%             | 2027-01-04      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | CAN 10YR BOND FUT JUN26 XMOD 20260619                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         4160 | NC      | $-5796759.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3         | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       240975 | PA      | $184934.22     | 0.00%             | 2036-08-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $33676.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $363832.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                      | TARGA RES CORP                                          | CUSIP: 87613LE47<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      3350000 | PA      | $3336954.10    | 0.02%             | 2026-05-04      | None          | 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      | $-3958631.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |            1 | NC      | $-442143.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    112616076 | PA      | $108502756.45  | 0.61%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $176325.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-41516.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-14969.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A      | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1185744 | PA      | $1197653.19    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NSCALE SERVICES UK LIMITED                                                | NSCALE DELAYED DRAW TERM LOAN                           | CUSIP: BA000WQD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     20000000 | PA      | $20000000.00   | 0.11%             | 2032-08-11      | Floating      | 0.36%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1882.73       | 0.00%             |  |  |  | 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        |       570681 | PA      | $149010.60     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $1255.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $61122.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3                                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA3 A1         | CUSIP: 25150WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       211730 | PA      | $202603.50     | 0.00%             | 2047-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $8.26          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-5531.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2         | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4901695 | PA      | $4825976.39    | 0.03%             | 2036-12-25      | Floating      | 4.20%                 | 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      | $-11805488.60  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     91900000 | PA      | $92497350.00   | 0.52%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0867 G2 01/56 FIXED 3                    | CUSIP: 3618N56D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41650709 | PA      | $37236717.31   | 0.21%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $665906.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-192276.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $86218.90      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       800000 | PA      | $586325.45     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-21287.82     | -0.00%            |  |  |  | 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        |     85750000 | PA      | $98419366.15   | 0.55%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $128549.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-12795.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA 144A 01/31 VAR                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      3900000 | PA      | $4019144.14    | 0.02%             | 2031-01-14      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1187 | NC      | $-1300614.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       214559 | PA      | $212515.18     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                 | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR           | CUSIP: 606822DN1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      7600000 | PA      | $7531173.11    | 0.04%             | 2031-09-12      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-1.04         | 0.00%             |  |  |  | No            |                  2 | 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        |       216009 | PA      | $204709.54     | 0.00%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1657477.98   | -0.01%            |  |  |  | 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        |     38786000 | NC      | $59032.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-966.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A4A         | CUSIP: 17312VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101181 | PA      | $100551.67     | 0.00%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -71530000 | PA      | $-60121524.36  | -0.34%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                        | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/27 5.2    | CUSIP: 86563VBP3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |      4300000 | PA      | $4339420.47    | 0.02%             | 2027-03-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR            | CUSIP: 95000U4C4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $994584.17     | 0.01%             | 2030-01-23      | Floating      | 4.41%                 | 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        |      6832241 | PA      | $6523628.75    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | 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        |     25000000 | PA      | $25427534.00   | 0.14%             | 2031-04-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $1307.56       | 0.00%             |  |  |  | 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        |        76034 | PA      | $75027.12      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $60495.50      | 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        |     28173156 | PA      | $24431566.29   | 0.14%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          678 | PA      | $638.67        | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-55619.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN45 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $-10181219.61  | -0.06%            |  |  |  | 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        |     38900000 | PA      | $39571834.51   | 0.22%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3968.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/46 4.625                             | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     13300000 | PA      | $12823070.25   | 0.07%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-137018.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $473516.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                     | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GD62<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1998620.00    | 0.01%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -143100000 | PA      | $-130903446.76 | -0.74%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $156343.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR    | CUSIP: ACI0808H1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      3400000 | PA      | $4601738.88    | 0.03%             | 2029-06-27      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $114132.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/53 5      | CUSIP: 80413TBE8<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      1000000 | PA      | $847427.99     | 0.00%             | 2053-01-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                      | ROYAL BANK OF CANADA SR UNSECURED 02/31 VAR             | CUSIP: 78017DAD0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     40900000 | PA      | $40938134.34   | 0.23%             | 2031-02-04      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260526                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $30779.85      | 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        |     11158672 | PA      | $11295056.63   | 0.06%             | 2073-12-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-53079.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $363018.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A    | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30365601 | PA      | $26369220.61   | 0.15%             | 2052-09-25      | Variable      | 3.00%                 | 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        |     29830000 | PA      | $17104431.15   | 0.10%             | 2053-07-31      | Fixed         | 1.50%                 | 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        |      2565086 | PA      | $2522380.63    | 0.01%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-445447.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $16292.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $813.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                          | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A   | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11300000 | PA      | $11307308.95   | 0.06%             | 2034-07-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-198148.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                    | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2947 | PA      | $1365.35       | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51926 | PA      | $53218.89      | 0.00%             | 2035-01-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                               | BNP PARIBAS 144A 01/33 VAR                              | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     11800000 | PA      | $12201855.96   | 0.07%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $7304304.77    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-19148.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                        | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1501513.23    | 0.01%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -16200000 | NC      | $-46579.86     | -0.00%            |  |  |  | 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        |     47050000 | PA      | $46195607.76   | 0.26%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                         | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1178455 | PA      | $1363812.56    | 0.01%             | 2031-10-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.70000 01/20/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |            1 | NC      | $1672283.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1062271.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2290 FR 08/54 FIXED 6               | CUSIP: 3142GSRL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10057281 | PA      | $10280557.97   | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $6993.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $37133.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A       | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2944000 | PA      | $2992683.46    | 0.02%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                           | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1288443 | PA      | $674581.85     | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $55272.16      | 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        |         6033 | PA      | $2530.92       | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                               | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     15700000 | PA      | $18137775.03   | 0.10%             | 2038-10-30      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-49422.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-55307.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-150392.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-6391.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                      | EUROSAIL PLC ESAIL 2007 3X A3C REGS                     | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        89543 | PA      | $118524.68     | 0.00%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |            1 | NC      | $-245571.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $342988.48     | 0.00%             |  |  |  | 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      | $-6295.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A       | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3796000 | PA      | $3828357.86    | 0.02%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-24954.30     | -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        |     14835000 | PA      | $16993122.60   | 0.10%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $2848.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-682266.21    | -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        |       171819 | PA      | $177331.69     | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $3139.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A           | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1163071 | PA      | $1132869.83    | 0.01%             | 2035-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| KINBANE 2025-RPL 2 DAC  25-RPL2A                                          | KINBANE DAC KINBN 2025 RPL2A A 144A                     | CUSIP: ACI30K8H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     12562676 | PA      | $14516192.73   | 0.08%             | 2075-08-24      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-265099.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261228                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $43261.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1315000 | PA      | $1310510.08    | 0.01%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $8292.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7         | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1886166.27    | 0.01%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |            1 | NC      | $109511.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2783.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                             | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                  | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154101 | PA      | $146720.47     | 0.00%             | 2035-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20435 | PA      | $18910.81      | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $111627.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-9358.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1697460.17    | 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      | $3286734.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VALERIE ASSET LTD                                                         | VALERIE ASSET LTD 09/50 1                               | CUSIP: 918940AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      9470000 | PA      | $8469488.06    | 0.05%             | 2050-09-15      | Fixed         | 5.27%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $-108043.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5000000 | PA      | $5000996.25    | 0.03%             | 2035-07-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $31632.31      | 0.00%             |  |  |  | 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        |      1021154 | PA      | $1181557.91    | 0.01%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1778.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-23042.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $402063.13     | 0.00%             |  |  |  | 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        |   9439000000 | PA      | $33856215.94   | 0.19%             | 2048-12-20      | Fixed         | 0.70%                 | 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      | $-457643.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                              | PPM CLO, LTD. PPMC 2021 5A AR 144A                      | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12200000 | PA      | $12214361.84   | 0.07%             | 2034-10-18      | Floating      | 4.85%                 | 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        |     15200000 | PA      | $15212967.42   | 0.09%             | 2029-09-22      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                    | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 3A1        | CUSIP: 45660L4E6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3334723 | PA      | $2222045.05    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -458360000 | PA      | $-466556705.20 | -2.63%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $168721.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A      | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       446081 | PA      | $450405.74     | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA6015 FN 03/54 FIXED 6.5                     | CUSIP: 3140A6VH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96131 | PA      | $100148.59     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | 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        |    213900000 | PA      | $204065613.82  | 1.15%             | 2055-02-15      | Fixed         | 4.62%                 | 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      | $276986.76     | 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        |        87514 | PA      | $81014.18      | 0.00%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-696450.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                  | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A1       | CUSIP: 46628TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2068016 | PA      | $1889005.06    | 0.01%             | 2036-07-25      | Floating      | 4.06%                 | 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        |     15200000 | PA      | $15903664.09   | 0.09%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-10048252.29  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/27 2.375                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6773130 | PA      | $6892467.13    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192012 | PA      | $167558.84     | 0.00%             | 2046-07-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-91393.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-3881.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                             | SYCAMORE TREE CLO LTD STCP 2023 2A A1R2 144A            | CUSIP: 87122CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3060000 | PA      | $3057914.18    | 0.02%             | 2037-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-503462.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT TREASURY BILL BILLS 10/26 0.00000                 | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     14800000 | PA      | $237975.21     | 0.00%             | 2026-10-20      | None          | 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        |      1609607 | PA      | $1617012.82    | 0.01%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-52696.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $214191.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7937 G2 03/52 FIXED 3                    | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61070040 | PA      | $54598058.00   | 0.31%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $302.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BEV0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     14900000 | PA      | $14800588.69   | 0.08%             | 2026-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-59753.47     | -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        |      2896414 | PA      | $1959467.48    | 0.01%             | 2035-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1238000 | PA      | $1226884.31    | 0.01%             | 2026-06-30      | None          | 0.00%                 | 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        |            1 | PA      | $0.13          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1951078 | PA      | $1819775.70    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | 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      | $-5555.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260810                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $124276.11     | 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        |     91140000 | PA      | $103178312.55  | 0.58%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3           | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       600000 | PA      | $469245.17     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | 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      | $-20263727.15  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 11/40 12.75                  | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 104570100000 | PA      | $27716278.46   | 0.16%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-34557.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -7571841 | NC      | $-6685.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                                 | FANNIE MAE FNR 2024 90 FA                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20307694 | PA      | $20449147.24   | 0.12%             | 2054-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COLT 2022-3 MORTGAGE LOAN TRUST                                           | COLT FUNDING LLC COLT 2022 3 A2 144A                    | CUSIP: 12659YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8144742 | PA      | $7808076.63    | 0.04%             | 2067-02-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $3146.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A         | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          485 | PA      | $106159.41     | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-44810.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67800000 | PA      | $65371766.73   | 0.37%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 06/20/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $86016.95      | 0.00%             |  |  |  | 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        |     62383716 | PA      | $54298031.85   | 0.31%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO DAC 11A                                                        | ARBOUR CLO ARBR 11A AR                                  | CUSIP: ACI2P5HV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3900000 | PA      | $4510583.21    | 0.03%             | 2038-05-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-198420.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $45641.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-115                                                       | FANNIE MAE FNR 2010 115 FM                              | CUSIP: 31398NNS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60432 | PA      | $60050.56      | 0.00%             | 2040-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI4422 FR 05/54 FIXED 6               | CUSIP: 3133WA4F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5087075 | PA      | $5200652.26    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-7836.38      | -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        |       186555 | PA      | $156457.91     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | 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      | $-14205.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     12846060 | PA      | $8843367.42    | 0.05%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2              | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       144179 | PA      | $93841.60      | 0.00%             | 2036-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95          | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       900000 | PA      | $655693.97     | 0.00%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $24219.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-3860.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $-546811.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1567000 | PA      | $1566057.18    | 0.01%             | 2026-04-07      | None          | 0.00%                 | 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        |     16700000 | PA      | $11596962.12   | 0.07%             | 2055-02-12      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.61300 08/22/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $70684.89      | 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      | $-2099695.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/35 VAR            | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15274091.70   | 0.09%             | 2035-01-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22201 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-67199.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                               | BNP PARIBAS 144A 02/35 VAR                              | CUSIP: 09659W2X1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     13300000 | PA      | $13655050.28   | 0.08%             | 2035-02-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                          | ROMARK CLO LTD RMRK 2021 5A AR 144A                     | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12200000 | PA      | $12192284.84   | 0.07%             | 2035-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $346545.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                      | GSAMP TRUST GSAMP 2007 HE2 A2C                          | CUSIP: 362440AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1101486 | PA      | $815263.78     | 0.00%             | 2047-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1            | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1928 | PA      | $217.13        | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | 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        |    361800000 | PA      | $413946197.48  | 2.33%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $113816.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/35 6.85           | CUSIP: P78024BA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    233073000 | PA      | $68388798.20   | 0.39%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                      | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDL7<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      5750000 | PA      | $5736874.48    | 0.03%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $572489.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-1134.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-41459.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer