# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001099263-26-003084
**Filing Date:** 2026-3
**Character Count:** 744098
**Document Hash:** f0eede2a3d415d9d50fe6abcc0f1702d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003084.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003084

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 26705905

**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 Active Bond Exchange-Traded Fund (Series ID: S000033233)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000102215 | PIMCO Active Bond Exchange-Traded Fund | BOND            |

## 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 ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

- **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) 400-4383

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

- **a. Name of Series:** PIMCO Active Bond Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000033233

- **c. LEI of Series:** WFXVQL1P1SLFR2PGV620

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

- **a. Date of fiscal year-end:** 2026-06-30

- **b. Date as of which information is reported:** 2025-12-31

**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:** $13153433609.36

**Total Liabilities:** $6306100249.78

**Net Assets:** $6847333359.58

**Delayed Delivery Securities:** $10075999.95

**Cash Not Reported:** $4183529.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 136129.396900 | **1-Year:** 472060.119500 | **5-Year:** 1864808.728400 | **10-Year:** 534276.400500 | **30-Year:** 11883.914000

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

- **3-Month:** 13832.746000 | **1-Year:** 16962.282900 | **5-Year:** 106939.563100 | **10-Year:** 32381.129600 | **30-Year:** 225.257900

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000102215 | 0.99%                | 0.64%                | -0.09%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3532953.60              | $21466420.51                               |
| Month 2  | $-4236805.62             | $21958889.60                               |
| Month 3  | $-1580064.65             | $-23931885.45                              |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BCAP LLC TRUST 2007-AA3                                                       | BCAP LLC TRUST BCAP 2007 AA3 2A1B                           | CUSIP: 05530VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1281066 | PA      | $1186713.56    | 0.02%             | 2047-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                            | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A         | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6100000 | PA      | $5984285.44    | 0.09%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 02/28 VAR                                  | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1500000 | PA      | $1524036.74    | 0.02%             | 2028-02-08      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/31 VAR                       | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3250000 | PA      | $3158853.65    | 0.05%             | 2031-04-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/30 VAR                    | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     4000000 | PA      | $4148143.72    | 0.06%             | 2030-03-04      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $31638.60      | 0.00%             |  |  |  | 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        |     4000000 | PA      | $4000976.64    | 0.06%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                    | UNUM GROUP SR UNSECURED 12/35 5.25                          | CUSIP: 91529YAU0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     5150000 | PA      | $5114314.52    | 0.07%             | 2035-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-232701.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $2608103.28    | 0.04%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                    | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1              | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      606661 | PA      | $582600.62     | 0.01%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256109 FN 01/36 FIXED 6.5                         | CUSIP: 31371MN29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15190 | PA      | $15729.16      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.23200 09/10/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $84644.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                           | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A            | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3494043 | PA      | $3518684.95    | 0.05%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A4             | CUSIP: 16162WRA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3372377 | PA      | $1335480.17    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                      | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      889608 | PA      | $890105.96     | 0.01%             | 2031-08-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 11/33 VAR                        | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7625236.78    | 0.11%             | 2033-11-17      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC1                      | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 DSC1 A1 144A       | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11449638 | PA      | $11589550.28   | 0.17%             | 2070-03-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8342 FR 07/53 FIXED 5.5                 | CUSIP: 3132DWHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    55322915 | PA      | $56289696.42   | 0.82%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8447 FR 07/54 FIXED 6                   | CUSIP: 3132DWL43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9445093 | PA      | $9703651.34    | 0.14%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $67032.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260212                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6771.88      | -0.00%            |  |  |  | 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      | $163279.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                               | FIDELITY NATL FINANCIAL SR UNSECURED 06/30 3.4              | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     2050000 | PA      | $1958420.00    | 0.03%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A         | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7700000 | PA      | $7713880.02    | 0.11%             | 2042-11-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A8                  | CUSIP: 46631NAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      761343 | PA      | $314680.19     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A3           | CUSIP: 07389MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $3042307.20    | 0.04%             | 2036-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FIBRA UNO (TRUST F/1401)                                                      | TRUST FIBRAUNO SR UNSECURED 144A 01/30 4.869                | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     1668000 | PA      | $1633471.57    | 0.02%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A         | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4400000 | PA      | $4394267.77    | 0.06%             | 2040-02-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256860 FN 08/37 FIXED 6.5                         | CUSIP: 31371NJD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         838 | PA      | $877.66        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-22                                                            | FANNIE MAE FNR 2006 22 AO                                   | CUSIP: 31395BA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10237 | PA      | $9221.26       | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D                | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2578044 | PA      | $1239914.31    | 0.02%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A           | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119280 | PA      | $111076.89     | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3              | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1475271 | PA      | $1509401.27    | 0.02%             | 2034-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1066.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAYER PARK CLO LTD 2017-1A                                                   | THAYER PARK CLO, LTD. THAYR 2017 1A A1RR 144A               | CUSIP: 883310AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2199083.44    | 0.03%             | 2034-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-180.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 09/30 VAR               | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2864989.04    | 0.04%             | 2030-09-06      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A2             | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7277298 | PA      | $2864558.41    | 0.04%             | 2037-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-5273.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88500 07/12/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-124423.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   169200000 | PA      | $168585326.86  | 2.46%             | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS2 AI4            | CUSIP: 74924WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3313404 | PA      | $3228439.63    | 0.05%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 01/29 VAR                                  | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     2500000 | PA      | $2617870.33    | 0.04%             | 2029-01-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AV5397 FN 12/28 FIXED 4                           | CUSIP: 3138XG7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91967 | PA      | $91765.33      | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                               | WESTERN SOUTHERN GLOBAL SECURED 144A 12/32 4.7              | CUSIP: 95954A2C6<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9947567.30    | 0.15%             | 2032-12-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                                    | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A                 | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3900000 | PA      | $3901950.00    | 0.06%             | 2035-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/34 VAR                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    17450000 | PA      | $18304575.19   | 0.27%             | 2034-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.26082 12/02/24-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1084772.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                              | PROJECT CASHMERE CLASS C 144A                               | CUSIP: 990ABJSB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     1100000 | PA      | $734085.04     | 0.01%             | 2057-12-30      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A3             | CUSIP: 61749LAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1728507 | PA      | $1686910.94    | 0.02%             | 2036-06-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| LMNT CRE 2025-FL3 LLC                                                         | LFT CRE 2021 FL1, LLC LMNT 2025 FL3 A 144A                  | CUSIP: 50208TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6500000 | PA      | $6511298.50    | 0.10%             | 2043-07-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                              | NMLT TRUST NLT 2023 1 A1 144A                               | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2595759 | PA      | $2396274.36    | 0.03%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| WISE CLO 2025-2 LTD                                                           | WISE CLO LTD WYZE 2025 2A B 144A                            | CUSIP: 97720BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5036269.75    | 0.07%             | 2038-04-20      | Floating      | 5.68%                 | 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        |    32974097 | PA      | $33915571.11   | 0.50%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 789262 FH 12/31 FLOATING VAR              | CUSIP: 31295NJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18148 | PA      | $18548.05      | 0.00%             | 2031-12-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                      | MMCAPS FUND XVIII LTD SR SECURED 144A 12/39 VAR             | CUSIP: 60688HAA3<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |      503334 | PA      | $489492.76     | 0.01%             | 2039-12-26      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST REF MORT 01/34 6                    | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4205215.56    | 0.06%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52            | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     4000000 | PA      | $4121552.84    | 0.06%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                          | CANTOR FITZGERALD LP SR UNSECURED 144A 12/28 7.2            | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6912403.55    | 0.10%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A3          | CUSIP: 12668AZ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      582303 | PA      | $392153.66     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-85088.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3.03          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                                   | LUCA RE LTD UNSECURED 144A 07/31 VAR                        | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |      700000 | PA      | $723380.00     | 0.01%             | 2031-07-22      | Floating      | 10.88%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $31574.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-1                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2005 1 M9               | CUSIP: 9497ERAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130907 | PA      | $134419.27     | 0.00%             | 2035-04-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A3 144A                           | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      452884 | PA      | $435369.22     | 0.01%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/36 VAR                  | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    15500000 | PA      | $16268106.22   | 0.24%             | 2036-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260220                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-21122.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                         | VICI PROPERTIES / NOTE COMPANY GUAR 144A 08/30 4.125        | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2231428.08    | 0.03%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-3253.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE0961 FN 11/46 FIXED 4                           | CUSIP: 3140FLB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      579114 | PA      | $557649.36     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) MAR26 XCBT 20260331                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -275 | NC      | $-43485.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                                | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    95000000 | PA      | $81941211.65   | 1.20%             | 2056-02-19      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/31 6.388                      | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1411371.18    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS3308 FN 09/44 FIXED 4.5                         | CUSIP: 3138WCVA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      356000 | PA      | $355365.57     | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                                 | LUX 2023 LION LUX 2023 LION A 144A                          | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $3237896.96    | 0.05%             | 2040-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004532 G2 09/39 FIXED 4.5                      | CUSIP: 36202FA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6966 | PA      | $6935.91       | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                              | TENN VALLEY AUTHORITY SR UNSECURED 02/55 5.25               | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    10000000 | PA      | $9915739.10    | 0.14%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/30 5.25                             | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1652172.38    | 0.02%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8             | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4497196.66    | 0.07%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US LONG BOND(CBT) MAR26 XCBT 20260320                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         569 | NC      | $-1081622.86   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SBL HOLDINGS LLC                                                              | SBL HOLDINGS INC SR UNSECURED 144A 10/34 7.2                | CUSIP: 78397DAD0<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | DBT              | CORP              | US        |     2401000 | PA      | $2326024.00    | 0.03%             | 2034-10-30      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1573 G2 01/29 FIXED 3                        | CUSIP: 36179NXA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104311 | PA      | $103111.25     | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2025-5 LTD                                                         | CQS US CLO LTD CQS 2025 5A A1 144A                          | CUSIP: 12676EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26300000 | PA      | $26324203.36   | 0.38%             | 2039-01-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 03/30 VAR                         | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     7500000 | PA      | $7806122.25    | 0.11%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $120873.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A             | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      361680 | PA      | $353356.36     | 0.01%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q00387 FG 04/41 FIXED 4.5                 | CUSIP: 3132GDNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41921 | PA      | $42261.05      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                       | FREDDIE MAC FHR 5565 FC                                     | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24065003 | PA      | $24180060.19   | 0.35%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR             | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     8000000 | PA      | $8360797.44    | 0.12%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1618 FN 10/43 FIXED 4                           | CUSIP: 31418AYQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77168 | PA      | $74087.34      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2023-3A                                              | OCTANE RECEIVABLES TRUST OCTL 2023 3A A2 144A               | CUSIP: 67571CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      307036 | PA      | $308579.69     | 0.00%             | 2029-03-20      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 10/34 6.15            | CUSIP: 02401LAB0<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     6550000 | PA      | $6662312.26    | 0.10%             | 2034-10-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                                           | POST CLO LTD POST 2021 1A AR 144A                           | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000087.24    | 0.01%             | 2034-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AG8922 GN 02/29 FIXED 3                           | CUSIP: 36182D4F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87100 | PA      | $86019.60      | 0.00%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A         | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4231682 | PA      | $4235578.52    | 0.06%             | 2038-04-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 11/35 5.55                 | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3529851.27    | 0.05%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                    | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A              | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6700000 | PA      | $6691625.00    | 0.10%             | 2035-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3692 FN 07/49 FIXED 3.5                         | CUSIP: 31418DC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      998810 | PA      | $934179.76     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                 | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                      | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8302 | PA      | $8342.77       | 0.00%             | 2033-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/33 6.15              | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2867103.84    | 0.04%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5               | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2650000 | PA      | $2388270.37    | 0.03%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                              | VOYA CLO LTD VOYA 2017 3A A1RR 144A                         | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2699687.07    | 0.04%             | 2034-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                       | REACH FINANCIAL LLC REACH 2024 2A A 144A                    | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      311519 | PA      | $312823.96     | 0.00%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-518.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95       | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     5100000 | PA      | $5054748.72    | 0.07%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0388 G2 09/42 FIXED 4                        | CUSIP: 36179MND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      125926 | PA      | $120928.47     | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    89500000 | PA      | $89269258.26   | 1.30%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6754204 | PA      | $-6767993.67   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                        | CHASEFLEX TRUST CFLX 2007 1 1A3                             | CUSIP: 16165VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3778710 | PA      | $1266236.06    | 0.02%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M MORTGAGE TRUST                                                  | MKT 2020 525M MORTGAGE TRUST MKT 2020 525M A 144A           | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4533882.00    | 0.07%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | 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        |     1800000 | PA      | $1799969.29    | 0.03%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $612.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFRA TRUST 2025-NQM2                                                          | MFRA TRUST MFRA 2025 NQM2 A1 144A                           | CUSIP: 55287MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2942806 | PA      | $2969716.43    | 0.04%             | 2070-05-27      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                       | FREDDIE MAC FHR 5564 FB                                     | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9550166 | PA      | $9595108.60    | 0.14%             | 2055-08-25      | Floating      | 5.07%                 | 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        |     2800000 | PA      | $3290559.97    | 0.05%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/28 4.75            | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     3350000 | PA      | $3378521.67    | 0.05%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC SR UNSECURED 144A 03/33 6.75          | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |      300000 | PA      | $313494.35     | 0.00%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260318                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $17767.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/34 VAR                 | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     9850000 | PA      | $10144093.72   | 0.15%             | 2034-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A2 144A                           | CUSIP: 552757AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235701 | PA      | $226002.95     | 0.00%             | 2065-01-26      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                   | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A          | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1297765 | PA      | $856524.70     | 0.01%             | 2035-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1955.60      | -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        |     5869724 | PA      | $5410538.48    | 0.08%             | 2047-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A              | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4085999 | PA      | $4103274.06    | 0.06%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XI DAC 11A                                                   | INVESCO EURO CLO XI DAC INVSC 11A A1R 144A                  | CUSIP: ACI318SX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2900000 | PA      | $3411040.23    | 0.05%             | 2036-10-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                       | MPLX LP SR UNSECURED 03/33 5                                | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2113923.19    | 0.03%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260212                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-32.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                 | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A         | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2757376 | PA      | $2787678.47    | 0.04%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A       | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2936159 | PA      | $2884655.63    | 0.04%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                          | LXP INDUSTRIAL TRUST COMPANY GUAR 10/31 2.375               | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5080871.22    | 0.07%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-205.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPERFORMING LOAN REMIC TRUST 2006-R1                                         | COUNTRYWIDE HOME LOANS CWHL 2006 R1 AF1 144A                | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      555223 | PA      | $527845.52     | 0.01%             | 2036-01-25      | Floating      | 4.19%                 | 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        |     2900000 | PA      | $2899855.00    | 0.04%             | 2035-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION GLOBAL FUNDING                                                  | CONSTELLATION GLO FNDG SR SECURED 144A 10/30 4.85           | CUSIP: 21038N2A8<br>LEI: 254900OP9HLIALC2HZ12 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3177790.43    | 0.05%             | 2030-10-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10224 FG 12/34 FIXED 6                   | CUSIP: 3128DHG99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42288 | PA      | $43275.74      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C                | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1590931 | PA      | $736745.82     | 0.01%             | 2037-01-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2100000 | PA      | $2176440.00    | 0.03%             | 2027-04-05      | Floating      | 12.27%                | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                   | CHENIERE ENERGY PARTNERS COMPANY GUAR 01/32 3.25            | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2073415.34    | 0.03%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                           | CENTENE CORP SR UNSECURED 10/30 3                           | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1343126.94    | 0.02%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE7191 FN 03/47 FIXED 4                           | CUSIP: 3140FS7D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1199106 | PA      | $1164687.23    | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3549                                                       | FREDDIE MAC FHR 3549 PO                                     | CUSIP: 31398EPR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18135 | PA      | $14816.55      | 0.00%             | 2039-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                             | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 A2C            | CUSIP: 81375WKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1065885 | PA      | $1052428.94    | 0.02%             | 2035-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC F                                     | CUSIP: 955GHA901<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |      900000 | PA      | $894273.17     | 0.01%             | 2045-01-30      | Fixed         | 5.97%                 | Yes           |                  3 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 07/29 5.25                  | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    11500000 | PA      | $11840795.37   | 0.17%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $30362.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255958 FN 10/35 FIXED 5                           | CUSIP: 31371MJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2203 | PA      | $2202.91       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-607.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                    | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A                | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3189533 | PA      | $3241300.37    | 0.05%             | 2037-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF5              | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1165959 | PA      | $393449.75     | 0.01%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC 2024-1A                                                    | SUBWAY FUNDING LLC SUBWAY 2024 1A A2I 144A                  | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5148000 | PA      | $5223175.21    | 0.08%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC         | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR               | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1465495 | PA      | $1392220.37    | 0.02%             | 2037-03-22      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2613                                                              | FREDDIE MAC FHR 2613 LL                                     | CUSIP: 31393RFB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13000 | PA      | $13270.60      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                           | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1                 | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119190 | PA      | $103102.29     | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-3 TRUST                                         | HOME PARTNERS OF AMERICA TRUST HPA 2021 3 A 144A            | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1615711 | PA      | $1523428.58    | 0.02%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 07/27 3.75               | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3619992.53    | 0.05%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5        | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |     8450000 | PA      | $7604782.67    | 0.11%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-29626.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR                | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $250425.00     | 0.00%             | 2030-01-08      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $18959.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U60610 FG 05/41 FIXED 5                   | CUSIP: 3132GBDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105900 | PA      | $108839.96     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                                   | NATIONAL FOOTBALL LEAGUE 5YR JUL SR SEC                     | CUSIP: 958BJWII0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1017979.74    | 0.01%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-3                                          | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 3 AV3              | CUSIP: 75970NBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      685531 | PA      | $631231.52     | 0.01%             | 2035-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/34 6.95              | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2670761.52    | 0.04%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $16264.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/32 5.5                              | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3700886.57    | 0.05%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $25989.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875            | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      952163 | PA      | $976991.37     | 0.01%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-59                                                     | FANNIE MAE FNR 2004 59 BG                                   | CUSIP: 31394AVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2009 | PA      | $1809.05       | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260227                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $31986.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65213 FG 04/44 FIXED 4.5                 | CUSIP: 31322YYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34711 | PA      | $33809.67      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8361 FR 09/53 FIXED 5                   | CUSIP: 3132DWJE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34215026 | PA      | $34249360.00   | 0.50%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A       | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $2108369.20    | 0.03%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC                                       | CUSIP: 938WPEII2<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1120225.25    | 0.02%             | 2035-01-30      | Fixed         | 5.59%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA2217 G2 09/44 FIXED 4.5                      | CUSIP: 36179QPA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85817 | PA      | $84797.34      | 0.00%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 6 LP 2025-1                                             | PK ALIFT LOAN FUNDING PKAIR 2025 1 A 144A                   | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4974619 | PA      | $5018222.23    | 0.07%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31025 FG 09/33 FIXED 4                   | CUSIP: 31281BD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3659 | PA      | $3645.62       | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $23658.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/42 2.375                                 | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   150000000 | PA      | $110463867.00  | 1.61%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6515 FN 06/53 FIXED 5                           | CUSIP: 3140QSGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15564451 | PA      | $15748628.42   | 0.23%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/30 6                  | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1600000 | PA      | $1679600.00    | 0.02%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                 | BGC GROUP INC SR UNSECURED 04/30 6.15                       | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     5987000 | PA      | $6208009.51    | 0.09%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260326                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4848.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 916462 FN 05/37 FIXED 4.5                         | CUSIP: 31411WFB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30654 | PA      | $30720.98      | 0.00%             | 2037-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91223 FG 12/28 FIXED 5.5                 | CUSIP: 3128P7LC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         135 | PA      | $137.10        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4              | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12194900 | PA      | $3906722.69    | 0.06%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL5540 FN 07/44 FIXED VAR                         | CUSIP: 3138ENEN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      168193 | PA      | $168391.32     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                            | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A     | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4902341 | PA      | $4440478.65    | 0.06%             | 2065-04-25      | Fixed         | 3.38%                 | 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        |    12000000 | PA      | $11989560.00   | 0.18%             | 2028-12-16      | Fixed         | 4.66%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-37.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $396305.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                     | AMERICAN AIRLINES INC 2025 TERM LOAN                        | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2392975 | PA      | $2401649.53    | 0.04%             | 2028-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                          | BOSTON PROPERTIES LP SR UNSECURED 10/33 2.45                | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $3890159.73    | 0.06%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2770.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779403 GN 06/27 FIXED 3                           | CUSIP: 36176XU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111188 | PA      | $110444.47     | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G06506 FG 12/40 FIXED 4                   | CUSIP: 3128M8R30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         219 | PA      | $214.35        | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2016 1 A PTT PASS THRU CE 01/30 3.45             | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2427076 | PA      | $2368522.28    | 0.03%             | 2030-01-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2100000 | PA      | $1899564.24    | 0.03%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                                  | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25         | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1265238 | PA      | $1294974.37    | 0.02%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QF0220 FR 09/52 FIXED 5                   | CUSIP: 3133BMG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19684769 | PA      | $19884148.99   | 0.29%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65247 FG 10/44 FIXED 4.5                 | CUSIP: 31322YZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67361 | PA      | $65132.42      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-1578.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 01/29 7.875                | CUSIP: 302635AM9<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3624781.62    | 0.05%             | 2029-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH0452 FN 05/47 FIXED 4                           | CUSIP: 3140GNQE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      876179 | PA      | $843322.60     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORPORATION                                                   | PROTECTIVE LIFE CORP SR UNSECURED 144A 12/35 5.35           | CUSIP: 743674BG7<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1770411.14    | 0.03%             | 2035-12-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260219                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2865.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B5                                              | BENCHMARK MORTGAGE TRUST BMARK 2018 B5 A2                   | CUSIP: 08160BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4175463 | PA      | $4151215.70    | 0.06%             | 2051-07-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-35                                                            | FANNIE MAE FNR 2010 35 SB                                   | CUSIP: 31398PKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21699 | PA      | $1439.82       | 0.00%             | 2040-04-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q28306 FG 09/44 FIXED 4                   | CUSIP: 3132M83P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      399137 | PA      | $387642.07     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC5341 FN 02/46 FIXED 3.5                         | CUSIP: 3140F05B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      796624 | PA      | $753014.36     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-36969.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2019 1 A PTT PASS THRU CE 08/31 4.55             | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1716363 | PA      | $1672804.15    | 0.02%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                              | LAZARD GROUP LLC SR UNSECURED 03/31 6                       | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $6680056.13    | 0.10%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-A                                                 | SLM STUDENT LOAN TRUST SLMA 2005 A A4                       | CUSIP: 78443CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      189657 | PA      | $187359.92     | 0.00%             | 2038-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE INC CROWN CASTLE INC                           | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     8100000 | PA      | $8496245.93    | 0.12%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4            | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3700000 | PA      | $3670578.34    | 0.05%             | 2049-12-15      | Variable      | 3.65%                 | 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        |      226000 | PA      | $228260.00     | 0.00%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                                  | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                      | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2700000.00    | 0.04%             | 2036-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT MAR26 XSFE 20260316                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         804 | NC      | $104567.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                 | SIXTH STREET LENDING PAR SR UNSECURED 07/30 6.125           | CUSIP: 829932AF9<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1026814.87    | 0.01%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-257828.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $14493.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                        | DIAMONDBACK ENERGY INC COMPANY GUAR 04/35 5.55              | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2776260.10    | 0.04%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260326                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $20771.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-62014.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 02/32 4.375               | CUSIP: 09581JAS5<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1905018.22    | 0.03%             | 2032-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-13280.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 515985 GN 12/26 FIXED 3                           | CUSIP: 36211LF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33713 | PA      | $33532.72      | 0.00%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6123.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35          | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2338649 | PA      | $1952181.16    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FLNG LIQUEFACTION 3 LLC                                                       | FLNG LIQUEFACTION 3 LLC 5.58                                | CUSIP: 990ABNZF7<br>LEI: 549300ZCV52X08U6XC41 | Long             | DBT              | CORP              | US        |     5800000 | PA      | $5796644.29    | 0.08%             | 2040-03-31      | Fixed         | 5.71%                 | Yes           |                  3 | On Loan: No      |
| PROJECT CASHMERE                                                              | PROJECT CASHMERE CLASS D 144A                               | CUSIP: 990ABJSD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      800000 | PA      | $533880.03     | 0.01%             | 2057-12-30      | Floating      | 6.56%                 | No            |                  3 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                       | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  2540000000 | PA      | $15724519.92   | 0.23%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A1            | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      355216 | PA      | $129583.91     | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM6                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM6 A1 144A        | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      981201 | PA      | $985001.46     | 0.01%             | 2065-10-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3443 FN 08/48 FIXED 4                           | CUSIP: 31418CZH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1158558 | PA      | $1119017.59    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR7                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 2A1            | CUSIP: 22541SRP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12453 | PA      | $12016.84      | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                              | PROJECT CASHMERE CLASS B 144A                               | CUSIP: 990ABJRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     2100000 | PA      | $1401435.07    | 0.02%             | 2057-12-30      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| CROSS 2025-H9 MORTGAGE TRUST                                                  | CROSS MORTGAGE TRUST CROSS 2025 H9 A1 144A                  | CUSIP: 227923AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2984708 | PA      | $2994100.97    | 0.04%             | 2070-11-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $14440.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75         | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2012479.46    | 0.03%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                      | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 12/51 VAR        | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3945007.68    | 0.06%             | 2051-12-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/35 2.125                                 | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    83983636 | PA      | $85495765.57   | 1.25%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-580.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                              | FREDDIE MAC FHR 3891 ZD                                     | CUSIP: 3137ADWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87752 | PA      | $90082.28      | 0.00%             | 2041-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888534 FN 08/37 FIXED VAR                         | CUSIP: 31410GEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2598 | PA      | $2617.16       | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | CREDIT AGRICOLE SA 144A 01/36 VAR                           | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     5000000 | PA      | $5277110.85    | 0.08%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                                  | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 12/39 4.317        | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2275795.66    | 0.03%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714     | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     8610000 | PA      | $6701828.55    | 0.10%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                           | CITADEL FINANCE LLC COMPANY GUAR 144A 02/30 5.9             | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5617182.51    | 0.08%             | 2030-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $68262.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A2 144A                           | CUSIP: 552751AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      422454 | PA      | $415280.02     | 0.01%             | 2065-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| RAPTOR AIRCRAFT FINANCE LLC 2019-1                                            | RAPTOR AIRCRAFT FINANCE LLC RPTOR 2019 1 A 144A             | CUSIP: 75383HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     1473412 | PA      | $1360076.79    | 0.02%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD COMPANY GUAR 05/32 5.7                 | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     4700000 | PA      | $4892854.96    | 0.07%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $17437.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/28 VAR                         | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     7000000 | PA      | $7400745.17    | 0.11%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783450 GN 10/26 FIXED 3                           | CUSIP: 36241LZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42055 | PA      | $41846.37      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | 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        |     6500000 | PA      | $6394100.70    | 0.09%             | 2028-01-07      | Floating      | 2.55%                 | 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        |     2000000 | PA      | $1998393.12    | 0.03%             | 2034-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                         | ROMARK CREDIT FUNDING I, LTD. RCF 2024 3A A 144A            | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4400000 | PA      | $4415620.00    | 0.06%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91026 FG 04/27 FIXED 5.5                 | CUSIP: 3128P7D75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         999 | PA      | $1013.54       | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-3320.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                         | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M4            | CUSIP: 46629TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1100000 | PA      | $1093506.92    | 0.02%             | 2036-07-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                  | NISOURCE INC SR UNSECURED 02/31 1.7                         | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $5357206.23    | 0.08%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA9853 FR 09/53 FIXED 6                   | CUSIP: 3133KR5N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    64347618 | PA      | $66913981.72   | 0.98%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $60441.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-23513.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                                | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   250100000 | PA      | $227610382.75  | 3.32%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31068 FG 02/45 FIXED 4                   | CUSIP: 3132QMFJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43222 | PA      | $41969.84      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | 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        |     5350000 | PA      | $5498779.92    | 0.08%             | 2035-07-23      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5531 FN 11/54 FIXED 5.5                         | CUSIP: 31418FED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35470016 | PA      | $35996882.54   | 0.53%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-AR1                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 AR1 A1A           | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5599833 | PA      | $5056823.62    | 0.07%             | 2035-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65234 FG 08/44 FIXED 4.5                 | CUSIP: 31322YY70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21575 | PA      | $20999.04      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                        | PIKES PEAK CLO PIPK 2018 2A ARR 144A                        | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6500000 | PA      | $6507447.64    | 0.10%             | 2034-10-11      | Floating      | 5.10%                 | 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        |    47526000 | PA      | $2453816.74    | 0.04%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 3A9                | CUSIP: 126384AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      668800 | PA      | $305582.88     | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP COMPANY GUAR 01/31 5.9               | CUSIP: 30225VAR8<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2230135.57    | 0.03%             | 2031-01-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $3085.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.56900 08/14/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $126274.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2005 1 A2                       | CUSIP: 81744FGN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222171 | PA      | $215536.50     | 0.00%             | 2035-02-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004239 G2 09/38 FIXED 6                        | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2888 | PA      | $2932.22       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 06/34 3                           | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1300000 | PA      | $925769.61     | 0.01%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR9                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR9 A1            | CUSIP: 94986GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1005865 | PA      | $914592.17     | 0.01%             | 2037-12-28      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1230.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256576 FN 01/37 FIXED 5.5                         | CUSIP: 31371M6M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6557 | PA      | $6718.89       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL SERVICES US CORP                                         | STELLANTIS FINANCIAL SER SR UNSECURED 144A 09/28 4.95       | CUSIP: 85855FAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2737726.97    | 0.04%             | 2028-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 314                                                 | FANNIEMAE STRIP FNS 314 1                                   | CUSIP: 3136FABE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6235 | PA      | $5637.38       | 0.00%             | 2031-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KDAC AIRCRAFT FINANCE LTD 2017-1A                                             | KDAC AVIATION FINANCE LIMITED KDAC 2017 1A A 144A           | CUSIP: 48244XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     1103804 | PA      | $1103095.26    | 0.02%             | 2042-12-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.53200 08/20/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $155053.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31271 FG 01/36 FIXED 4.5                 | CUSIP: 31281BMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69694 | PA      | $70031.46      | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-646270.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P00061 FG 08/34 FIXED 4.5                 | CUSIP: 31283NB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2633 | PA      | $2636.18       | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M1             | CUSIP: 76112B4P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      833462 | PA      | $826343.31     | 0.01%             | 2036-03-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-108.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                     | STELLANTIS FIN US INC COMPANY GUAR 144A 03/35 6.45          | CUSIP: 85855CAL4<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $11544320.01   | 0.17%             | 2035-03-18      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3A                                               | BAIN CAPITAL CREDIT CLO LIMITE BCC 2019 3A ARR 144A         | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6550000 | PA      | $6546357.61    | 0.10%             | 2034-10-21      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-443.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-9                                                      | FANNIE MAE FNR 2010 9 GO                                    | CUSIP: 31398MBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23317 | PA      | $20064.40      | 0.00%             | 2040-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $531000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 03/29 VAR             | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5185576.50    | 0.08%             | 2029-03-06      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING LP                                                | WESTERN MIDSTREAM OPERAT SR UNSECURED 11/34 5.45            | CUSIP: 958667AG2<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1712926.60    | 0.03%             | 2034-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AW9120 FN 10/44 FIXED 4.5                         | CUSIP: 3138XZD24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93282 | PA      | $93176.98      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-D                                                | FREMONT HOME LOAN TRUST FHLT 2004 D M1                      | CUSIP: 35729PGC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4718215 | PA      | $4284368.47    | 0.06%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VALEO SA SNR SE ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $9539.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                             | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                  | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $416200.00     | 0.01%             | 2032-04-08      | Floating      | 11.55%                | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/55 7.375              | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4200000 | PA      | $4534950.00    | 0.07%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                       | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A             | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1568892 | PA      | $1497687.96    | 0.02%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260326                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $2906.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779983 GN 11/26 FIXED 3                           | CUSIP: 36177HCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21967 | PA      | $21849.06      | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S5                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A10             | CUSIP: 74957EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      353953 | PA      | $303417.63     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5            | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2978108.73    | 0.04%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1           | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1927543 | PA      | $1676434.38    | 0.02%             | 2037-01-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                 | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A                   | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3572415 | PA      | $3574816.51    | 0.05%             | 2033-04-22      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-48822.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AA8372 GN 03/29 FIXED 3                           | CUSIP: 36178GJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102211 | PA      | $100862.83     | 0.00%             | 2029-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260219                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-35614.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q22511 FG 10/43 FIXED 4.5                 | CUSIP: 3132JPYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      262673 | PA      | $263731.69     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -542000000 | PA      | $-556253396.76 | -8.12%            | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q29869 FG 11/44 FIXED 4.5                 | CUSIP: 3132MAT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      248550 | PA      | $248021.29     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                               | MAREX GROUP PLC SR UNSECURED 05/28 5.829                    | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     4000000 | PA      | $4068448.80    | 0.06%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 08/29 6.875                | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3832375.96    | 0.06%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260309                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $20004.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0757 G2 02/28 FIXED 3                        | CUSIP: 36179MZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2354 | PA      | $2333.00       | 0.00%             | 2028-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3272 FN 07/41 FIXED 4.5                         | CUSIP: 31416YT65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1429803 | PA      | $1438989.39    | 0.02%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP SR UNSECURED 144A 10/28 6.75         | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5521863.83    | 0.08%             | 2028-10-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QH6111 FR 12/53 FIXED 6.5                 | CUSIP: 3133CJYG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3756402 | PA      | $3908532.85    | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/34 5.8               | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4156616.92    | 0.06%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $20293.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.01150 02/14/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1341978.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4061                                                       | FREDDIE MAC FHR 4061 SL                                     | CUSIP: 3137ARCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49569 | PA      | $24590.07      | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                      | HOST HOTELS + RESORTS LP SR UNSECURED 12/31 2.9             | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1813009.68    | 0.03%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/28 VAR                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     7500000 | PA      | $7385994.60    | 0.11%             | 2028-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08421 FG 10/40 FIXED 4                   | CUSIP: 3128MJPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         278 | PA      | $273.45        | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                            | CNO GLOBAL FUNDING SECURED 144A 12/30 4.7                   | CUSIP: 18977W2J8<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7815329.50    | 0.11%             | 2030-12-11      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260305                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $225.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                                     | JP MORGAN MORTGAGE TRUST JPMMT 2025 NQM2 A1 144A            | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1828784 | PA      | $1846472.02    | 0.03%             | 2065-09-25      | Variable      | 5.57%                 | 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        |     6200000 | PA      | $1829000.00    | 0.03%             | 2060-12-31      | None          | 0.00%                 | 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        |     1000000 | PA      | $1175201.87    | 0.02%             | 2037-10-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3.26          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                         | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75         | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      280000 | PA      | $283257.83     | 0.00%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT MAR26 XCBT 20260320                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1481 | NC      | $-4053861.70   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SENIOR LOAN ACTIVE EXCHA PIMCO SENIOR LOAN ACTIVE ETF | CUSIP: 72201R627<br>LEI: 549300YFT046RNVJXR73 | Long             | EC               | RF                | US        |      314081 | NS      | $15791992.68   | 0.23%             |  |  |  | No            |                  1 | 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        |      182417 | PA      | $168056.28     | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                  | ACE SECURITIES CORP. ACE 2006 HE4 A2D                       | CUSIP: 00442BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4143879 | PA      | $1624355.22    | 0.02%             | 2036-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A            | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394314 | PA      | $381069.25     | 0.01%             | 2037-12-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP SR UNSECURED 01/31 3.25                  | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2002331.25    | 0.03%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK50                                                               | BANK BANK 2025 BNK50 ASB                                    | CUSIP: 064908AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2321193.93    | 0.03%             | 2068-05-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA 144A 01/30 VAR                                      | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     5000000 | PA      | $5177877.25    | 0.08%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A1          | CUSIP: 12668BEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1145832 | PA      | $909903.05     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK51                                                               | BANK BANK 2025 BNK51 A4                                     | CUSIP: 06541HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $5049758.50    | 0.07%             | 2067-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                 | VENTURE CDO LTD VENTR 2017 29A AR 144A                      | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      311906 | PA      | $312074.27     | 0.00%             | 2030-09-07      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $72842.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                      | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/61 4.3        | CUSIP: 53079EBL7<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $3203318.02    | 0.05%             | 2061-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF6 A1 144A       | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1999675.40    | 0.03%             | 2055-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-169087.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                 | VISTRA OPERATIONS CO LLC SR SECURED 144A 10/33 6.95         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5587015.00    | 0.08%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C13 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2025 C13 A4                          | CUSIP: 05592YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $3037740.30    | 0.04%             | 2058-10-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-9                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 9 M1               | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1301695 | PA      | $1285743.66    | 0.02%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260318                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-8919.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE SECURITIES TRUST 2020-S3                              | KEY COMMERCIAL MORTGAGE TRUST KCM 2020 S3 A3 144A           | CUSIP: 49308VAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9110190.00    | 0.13%             | 2052-09-16      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP INC                                                   | AMERICAN NATIONAL GROUP SR UNSECURED 10/29 5.75             | CUSIP: 025676AN7<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3727900.22    | 0.05%             | 2029-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2020-2 LTD                                                     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2020 2A A1R2 144A       | CUSIP: 14315GAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2699945.68    | 0.04%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                 | ARGENT SECURITIES INC. ARSI 2005 W5 A2C                     | CUSIP: 040104QN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4273638 | PA      | $4146256.34    | 0.06%             | 2036-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $79725.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4            | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      841842 | PA      | $708551.56     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 7 LP 2025-2                                             | PK ALIFT LOAN FUNDING PKAIR 2025 2 A 144A                   | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2735000 | PA      | $2744533.43    | 0.04%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/64 7.008                      | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1140478.52    | 0.02%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                  | ENBRIDGE INC COMPANY GUAR 11/28 4.2                         | CUSIP: 29250NCM5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     2200000 | PA      | $2204319.08    | 0.03%             | 2028-11-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO SR UNSECURED 10/27 VAR             | CUSIP: 14040HDB8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2048141.12    | 0.03%             | 2027-10-29      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                         | BX TRUST BX 2021 21M A 144A                                 | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      654539 | PA      | $654263.41     | 0.01%             | 2036-10-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      957913 | PA      | $958688.98     | 0.01%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 792400 FN 09/34 FLOATING VAR                      | CUSIP: 31405LKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16654 | PA      | $17175.68      | 0.00%             | 2034-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                               | KKR FINANCIAL CLO LTD KKR 36A AR 144A                       | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2100706.63    | 0.03%             | 2034-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9               | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1993702.11    | 0.03%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | 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        |     2300000 | PA      | $2702961.33    | 0.04%             | 2038-02-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $5706.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.26378 12/02/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $771546.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 02/33 13.25                      | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 46597400000 | PA      | $12502015.24   | 0.18%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004554 G2 10/39 FIXED 5                        | CUSIP: 36202FBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29575 | PA      | $29953.27      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4106.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1                | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      482220 | PA      | $491823.43     | 0.01%             | 2034-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-330417.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1559 FN 10/53 FIXED 6.5                         | CUSIP: 3140A1WV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27161737 | PA      | $28259729.63   | 0.41%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A2R 144A         | CUSIP: 05684RAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1004743.73    | 0.01%             | 2034-07-16      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $20870.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A      | CUSIP: 46645WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1776604 | PA      | $1737758.12    | 0.03%             | 2033-07-05      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1101 FN 12/53 FIXED 6.5                         | CUSIP: 3140A1GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5511473 | PA      | $5737049.54    | 0.08%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A             | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      513316 | PA      | $486136.92     | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                 | COMM MORTGAGE TRUST COMM 2021 2400 A 144A                   | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5261298 | PA      | $5200052.55    | 0.08%             | 2038-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA 01/35 6.033                              | CUSIP: 05964HBK0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     2200000 | PA      | $2357153.85    | 0.03%             | 2035-01-17      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-42599.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $88776.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                           | EMERA US FINANCE LP COMPANY GUAR 06/31 2.639                | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000000 | PA      | $905401.60     | 0.01%             | 2031-06-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                              | BRIXMOR OPERATING PART SR UNSECURED 07/30 4.05              | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1973060.62    | 0.03%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB9151 FN 09/54 FIXED 6                           | CUSIP: 3140QVEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17453462 | PA      | $18263164.03   | 0.27%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA1633 FN 12/54 FIXED VAR                         | CUSIP: 3140W1Y72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39322528 | PA      | $39924702.09   | 0.58%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                      | UBS AG STAMFORD CT SR UNSECURED 07/27 5                     | CUSIP: 22550L2K6<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |     3500000 | PA      | $3570404.85    | 0.05%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A4          | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250773 | PA      | $214647.11     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2025-3A                              | CASTLELAKE AIRCRAFT SECURITIZA CLAST 2025 3A A 144A         | CUSIP: 14855YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10927374 | PA      | $10977882.11   | 0.16%             | 2050-11-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A         | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1922257.76    | 0.03%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.62000 02/14/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-281629.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                 | BGC GROUP INC SR UNSECURED 06/29 6.6                        | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2924264.56    | 0.04%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.26606 12/02/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2547322.32    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2005-3                                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 3 LZ                | CUSIP: 38374KSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53910 | PA      | $54193.62      | 0.00%             | 2035-01-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                               | CHOICE HOTELS INTL INC SR UNSECURED 01/31 3.7               | CUSIP: 169905AG1<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1905326.62    | 0.03%             | 2031-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE10                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE10 M1           | CUSIP: 073879MR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1298749 | PA      | $1339604.98    | 0.02%             | 2034-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 01/30 VAR                       | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3250000 | PA      | $3338328.24    | 0.05%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF1 144A          | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1538303 | PA      | $1245574.33    | 0.02%             | 2036-01-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                        | VENTURE GLOBAL LNG INC SR SECURED 144A 01/30 7              | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     5600000 | PA      | $5393608.42    | 0.08%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $6257.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260220                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $52730.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783446 GN 10/26 FIXED 3                           | CUSIP: 36241LZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71278 | PA      | $70954.40      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4058438.16    | 0.06%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                                   | NATIONAL FOOTBALL LEAGUE 5YR OCT SR SEC                     | CUSIP: 958BJNII0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3558945.22    | 0.05%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-64728.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91148 FG 01/28 FIXED 5.5                 | CUSIP: 3128P7HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         995 | PA      | $1009.57       | 0.00%             | 2028-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPERATING PARTNERSHIP LP                                     | AMERICOLD REALTY OPER PA COMPANY GUAR 09/34 5.409           | CUSIP: 03063UAA9<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $5759572.92    | 0.08%             | 2034-09-12      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| DIAMOND ISSUER 2021-1A                                                        | DIAMOND ISSUER LLC SHINE 2021 1A A 144A                     | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1800000 | PA      | $1728506.70    | 0.03%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC 2025-1A                                                 | QTS ISSUER ABS II LLC QTSII 2025 1A A2 144A                 | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3900000 | PA      | $3871996.05    | 0.06%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                        | NXP BV/NXP FDG/NXP USA COMPANY GUAR 01/33 5                 | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      900000 | PA      | $914534.89     | 0.01%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 07/35 FIXED 7.35                            | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     4857143 | PA      | $5291864.88    | 0.08%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                          | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A          | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2643465 | PA      | $2658235.94    | 0.04%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/27 6.125       | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $3090099.96    | 0.05%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM8                      | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM8 A1 144A       | CUSIP: 61779QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5229754 | PA      | $5236516.23    | 0.08%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-609781.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                | GREENSAIF PIPELINES BIDC SR SECURED 144A 08/42 6.1027       | CUSIP: 39541EAE3<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     1400000 | PA      | $1460614.15    | 0.02%             | 2042-08-23      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1753 G2 03/44 FIXED 4.5                      | CUSIP: 36179N5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13567 | PA      | $13322.30      | 0.00%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31079 FG 02/34 FIXED 4.5                 | CUSIP: 31281BFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8660 | PA      | $8627.76       | 0.00%             | 2034-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784034 G2 08/30 FIXED 2                        | CUSIP: 3622A2PT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      374136 | PA      | $362765.65     | 0.01%             | 2030-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                               | FIDELITY NATL FINANCIAL COMPANY GUAR 03/31 2.45             | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     2793000 | PA      | $2497752.78    | 0.04%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                                | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A                   | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3600000 | PA      | $3599980.78    | 0.05%             | 2035-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                             | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/31 4.125        | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6283608.44    | 0.09%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/35 5.75                             | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2520379.44    | 0.04%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM3 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM3 A1 144A              | CUSIP: 67118KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4288104 | PA      | $4333197.60    | 0.06%             | 2063-12-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC SR UNSECURED 08/34 5.25                 | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3179852.19    | 0.05%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/31 3.625                          | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2883279.99    | 0.04%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-209.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-54660.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.00000 02/12/25-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8185695.57    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260309                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $35658.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3664 FN 05/49 FIXED 4                           | CUSIP: 31418DCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      689291 | PA      | $665107.20     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | 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      | $18625.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1              | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2721990 | PA      | $674075.76     | 0.01%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR             | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $254725.00     | 0.00%             | 2031-06-05      | Floating      | 12.97%                | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO SR UNSECURED 11/34 VAR             | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2594598.69    | 0.04%             | 2034-11-02      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB7998 FN 02/54 FIXED 6                           | CUSIP: 3140QT3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5258221 | PA      | $5470526.77    | 0.08%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31130 FG 02/45 FIXED 4                   | CUSIP: 3132QMHG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      594253 | PA      | $571625.48     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $14500.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 C A1                  | CUSIP: 59020UDN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24676 | PA      | $24489.85      | 0.00%             | 2029-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| TRUST 2401                                                                    | TRUST 2401 SR UNSECURED 144A 01/30 4.869                    | CUSIP: 89834MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     3232000 | PA      | $3185653.12    | 0.05%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                     | ROMARK CLO LTD RMRK 2021 4A A2AR 144A                       | CUSIP: 77588LAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1302395.33    | 0.02%             | 2034-07-10      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6           | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    48900000 | PA      | $15687689.15   | 0.23%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                               | SOUTHERN CALIF GAS CO 1ST MORTGAGE 02/30 2.55               | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1603635.11    | 0.02%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                           | BRANDYWINE OPER PARTNERS COMPANY GUAR 11/27 3.95            | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |      300000 | PA      | $294283.02     | 0.00%             | 2027-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 06/29 VAR               | CUSIP: 80282KBG0<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3137917.83    | 0.05%             | 2029-06-12      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004308 G2 12/38 FIXED 5                        | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11488 | PA      | $11552.98      | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 M1            | CUSIP: 46625SAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1510000 | PA      | $1462966.97    | 0.02%             | 2036-07-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                        | SEMPRA JR SUBORDINA 04/56 VAR                               | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5112026.45    | 0.07%             | 2056-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.51400 09/04/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $73142.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                           | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A           | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200181 | PA      | $201194.06     | 0.00%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL AUTOMOTIVE REIT 2023-1A                                               | CAPITAL AUTOMOTIVE REIT CAUTO 2023 1A A1 144A               | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4681250 | PA      | $4716820.48    | 0.07%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/35 VAR                  | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9950000 | PA      | $10608607.02   | 0.15%             | 2035-04-22      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                      | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4               | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1307164 | PA      | $1389855.61    | 0.02%             | 2034-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/33 VAR                  | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2950000 | PA      | $2708181.74    | 0.04%             | 2033-01-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260305                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-66.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10157 FG 01/35 FIXED 5.5                 | CUSIP: 3128DHE67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      402910 | PA      | $408735.16     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 931733 FN 08/49 FIXED 4.5                         | CUSIP: 31412QEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30843 | PA      | $30363.80      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                    | NETAPP INC SR UNSECURED 03/32 5.5                           | CUSIP: 64110DAM6<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1040741.02    | 0.02%             | 2032-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1            | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      445139 | PA      | $378131.54     | 0.01%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1361098.35    | 0.02%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                             | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A             | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8505311 | PA      | $8577024.84    | 0.13%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                                   | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A             | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      868057 | PA      | $875463.46     | 0.01%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-72                                                     | FANNIE MAE FNR 2007 72 B                                    | CUSIP: 31396WQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21826 | PA      | $22893.78      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A2 144A         | CUSIP: 12654PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $952504.10     | 0.01%             | 2057-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FARMERS INSURANCE EXCHANGE                                                    | FARMERS INS EXCH SUBORDINATED 144A 10/64 VAR                | CUSIP: 309601AG7<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1962491.00    | 0.03%             | 2064-10-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783424 GN 09/26 FIXED 3                           | CUSIP: 36241LYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48075 | PA      | $47877.07      | 0.00%             | 2026-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/37 6.875              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     6500000 | PA      | $6951750.00    | 0.10%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5                 | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1537985 | PA      | $1600013.65    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60000 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $100750.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-128.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-58                                                            | FANNIE MAE FNR 2006 58 PO                                   | CUSIP: 31395ND20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3839 | PA      | $3380.20       | 0.00%             | 2036-07-25      | None          | 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        |     2000000 | PA      | $2000602.18    | 0.03%             | 2034-10-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                          | STONEPEAK SALTT 2021 1A AA 144A                             | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      315064 | PA      | $307718.97     | 0.00%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10219 FG 01/34 FIXED 5                   | CUSIP: 3128DHG40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11690 | PA      | $11749.60      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC ASHTEAD CAPITAL INC                     | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3147149.19    | 0.05%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A92415 FG 06/40 FIXED 4.5                 | CUSIP: 312940VG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74394 | PA      | $75027.48      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2024 5C5 A3                          | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13100000 | PA      | $13692306.02   | 0.20%             | 2057-02-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C            | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1637242 | PA      | $922696.12     | 0.01%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3772                                                       | FREDDIE MAC FHR 3772 ES                                     | CUSIP: 3137A4HD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      800788 | PA      | $56137.87      | 0.00%             | 2040-12-15      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF4              | CUSIP: 759676AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8664451 | PA      | $3121763.47    | 0.05%             | 2036-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                           | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A           | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      544963 | PA      | $549990.25     | 0.01%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A        | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      835355 | PA      | $811876.38     | 0.01%             | 2038-08-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5          | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $150291.52     | 0.00%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-B                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 B A3                  | CUSIP: 59020UBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6488 | PA      | $5898.89       | 0.00%             | 2029-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-120                                                           | FANNIE MAE FNR 2005 120 WS                                  | CUSIP: 31394VKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52228 | PA      | $54273.93      | 0.00%             | 2036-01-25      | Floating      | 8.10%                 | 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        |    57545000 | PA      | $3488491.88    | 0.05%             | 2040-01-31      | Fixed         | 9.00%                 | 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        |    14350000 | PA      | $14901792.37   | 0.22%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM5                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM5 A1 144A       | CUSIP: 36273GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2822695 | PA      | $2827545.68    | 0.04%             | 2065-07-25      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                  | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                         | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A          | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      470929 | PA      | $484255.01     | 0.01%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                      | FANNIE MAE FNR 2013 6 BZ                                    | CUSIP: 3136ABM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         159 | PA      | $115.84        | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                           | SVB FINL TR                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      112000 | NS      | $14560.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2392.69       | 0.00%             |  |  |  | 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        |     2500000 | PA      | $2937999.97    | 0.04%             | 2039-08-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A         | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2009519.22    | 0.03%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5296 FN 03/54 FIXED 5.5                         | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28748792 | PA      | $29190509.14   | 0.43%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) MAR26 XCBT 20260331                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       11162 | NC      | $-2339277.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                            | RGA GLOBAL FUNDING SECURED 144A 11/30 4.6                   | CUSIP: 76209PAK9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |     9900000 | PA      | $9910192.15    | 0.14%             | 2030-11-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE PUBLIC WORKS BOARD                                           | CALIFORNIA ST PUBLIC WKS BRD L CASFAC 10/34 FIXED 8.361     | CUSIP: 130685WB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     5000000 | PA      | $5911534.00    | 0.09%             | 2034-10-01      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| BLUE CROSS AND BLUE SHIELD OF MINNESOTA                                       | BLUE CRO AND BLU SHIE OF MI SR UNSEC 4A2                    | CUSIP: 990AAWUC0<br>LEI: XHK82HP57BJNZ0CZTH48 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4059928.32    | 0.06%             | 2032-04-30      | Fixed         | 5.96%                 | Yes           |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A        | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91856 | PA      | $89723.87      | 0.00%             | 2035-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91168 FG 04/28 FIXED 5.5                 | CUSIP: 3128P7JM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         521 | PA      | $528.94        | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $3311.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16300000 | PA      | $16944078.36   | 0.25%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A         | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2385778 | PA      | $2377739.63    | 0.03%             | 2061-07-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31019 FG 09/33 FIXED 4                   | CUSIP: 31281BDY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55084 | PA      | $53862.41      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 880115 FN 04/36 FIXED 5                           | CUSIP: 31409VYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3194 | PA      | $3191.65       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/33 5.766           | CUSIP: 86562MCS7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     3000000 | PA      | $3200384.64    | 0.05%             | 2033-01-13      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02208 FG 07/41 FIXED 4.5                 | CUSIP: 3132GFNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50309 | PA      | $50359.01      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5568                                                       | FREDDIE MAC FHR 5568 FE                                     | CUSIP: 3137HMN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23894845 | PA      | $24009803.10   | 0.35%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $85356.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 09/54 6.25             | CUSIP: 361841AU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1990430.92    | 0.03%             | 2054-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-56807.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/55 4.75                                  | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    32300000 | PA      | $31747367.03   | 0.46%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004880 G2 12/40 FIXED 4.5                      | CUSIP: 36202FM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28245 | PA      | $27909.34      | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-55                                                     | FANNIE MAE FNR 2012 55 GS                                   | CUSIP: 3136A53W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      178230 | PA      | $134561.94     | 0.00%             | 2042-05-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/28 VAR                    | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $2523424.08    | 0.04%             | 2028-06-09      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AX3123 FN 10/44 FIXED 4                           | CUSIP: 3138Y4PH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      183502 | PA      | $178282.03     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 3A1           | CUSIP: 45661HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1338996 | PA      | $843950.01     | 0.01%             | 2036-09-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                            | ESSEX PORTFOLIO LP COMPANY GUAR 04/34 5.5                   | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1817423.37    | 0.03%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0528 G2 11/42 FIXED 3.5                      | CUSIP: 36179MSR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      134137 | PA      | $121329.96     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2023-4                                             | LAD AUTO RECEIVABLES TRUST LADAR 2023 4A A4 144A            | CUSIP: 50571AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $5035174.50    | 0.07%             | 2028-06-15      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-19418.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/33 VAR                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     5200000 | PA      | $5948072.88    | 0.09%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                    | ARES CLO LTD ARES 2013 2A AR3 144A                          | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4201342.32    | 0.06%             | 2034-10-28      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA1193 FN 03/55 FIXED VAR                         | CUSIP: 3140W1KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18199363 | PA      | $19025991.09   | 0.28%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                     | ONEOK INC COMPANY GUAR 09/33 6.05                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6395807.58    | 0.09%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4130.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-36401.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 02/28 5.55                  | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2567447.10    | 0.04%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-1PL                                                       | ACHV ABS TRUST ACHV 2024 1PL A 144A                         | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       58170 | PA      | $58469.94      | 0.00%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q26755 FG 06/44 FIXED 4.5                 | CUSIP: 3132M7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      457649 | PA      | $456402.95     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                                    | LOW INCOME INVESTMENT UNSECURED 07/29 3.711                 | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2410570.93    | 0.04%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                                | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                      | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      286960 | PA      | $277802.43     | 0.00%             | 2034-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $4714.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-21116.81     | -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        |      375918 | PA      | $254089.96     | 0.00%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1496 G2 12/28 FIXED 3                        | CUSIP: 36179NUV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10965 | PA      | $10841.80      | 0.00%             | 2028-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-31653.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 A11             | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1443242 | PA      | $1672001.11    | 0.02%             | 2034-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/29 VAR                                  | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1500000 | PA      | $1601194.20    | 0.02%             | 2029-11-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                 | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR           | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $306139.60     | 0.00%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                            | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                   | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      366591 | PA      | $366169.08     | 0.01%             | 2036-10-16      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-A                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ1 M3            | CUSIP: 073879UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59278 | PA      | $59314.32      | 0.00%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING SR SECURED 144A 03/27 5.516           | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2032069.82    | 0.03%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                            | TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2        | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |     1137482 | PA      | $1124938.50    | 0.02%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256937 FN 10/37 FIXED 6.5                         | CUSIP: 31371NLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         771 | PA      | $803.28        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 09/34 VAR                 | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    18550000 | PA      | $19802651.08   | 0.29%             | 2034-09-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   216065910 | PA      | $190990449.96  | 2.79%             | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE I LTD 2019-1                                         | HORIZON AIRCRAFT FINANCE I LIM HORZN 2019 1 A 144A          | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     1338806 | PA      | $1316436.81    | 0.02%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2577                                                              | FREDDIE MAC FHR 2577 LO                                     | CUSIP: 31393LCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      206061 | PA      | $193269.72     | 0.00%             | 2033-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2D               | CUSIP: 61749KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1387994 | PA      | $507955.39     | 0.01%             | 2036-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                         | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 3.75         | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $99387.18      | 0.00%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $74889.36      | 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      | $295649.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B A 144A         | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3260000 | PA      | $2902892.75    | 0.04%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-858.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES11                                                | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES11 A1A 144A        | CUSIP: 749423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3965037 | PA      | $3974843.12    | 0.06%             | 2055-11-25      | Variable      | 4.97%                 | 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        |      200000 | PA      | $59000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2024 5C5 A2                          | CUSIP: 05593RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $2055951.20    | 0.03%             | 2057-02-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-4F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 4F 6A1                     | CUSIP: 362650BB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      527776 | PA      | $203088.46     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75         | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1426521.60    | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                                   | OCEAN TRAILS CLO OCTR 2020 10A AR2 144A                     | CUSIP: 67516CAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2003937.68    | 0.03%             | 2034-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-24654.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-60297.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31417 FG 07/37 FIXED 5.5                 | CUSIP: 31281BSE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1536 | PA      | $1601.25       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-55                                                     | FANNIE MAE FNR 2007 55 PO                                   | CUSIP: 31396WGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1609 | PA      | $1356.15       | 0.00%             | 2037-06-25      | None          | 0.00%                 | 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        |     3900000 | PA      | $4068565.18    | 0.06%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 939484 FN 06/37 FIXED 5                           | CUSIP: 31413AFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5140 | PA      | $5093.70       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                              | LPL HOLDINGS INC COMPANY GUAR 06/35 5.75                    | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      900000 | PA      | $926945.81     | 0.01%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-1 CLASS AA PASS THROUGH TRUST                            | DELTA AIR LINES 2020 AA PASS THRU CE 12/29 2                | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      939587 | PA      | $898200.11     | 0.01%             | 2029-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 03/32 VAR             | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     3700000 | PA      | $3399786.03    | 0.05%             | 2032-03-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                        | LEHMAN XS TRUST LXS 2006 8 3A4                              | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1358252 | PA      | $1341584.27    | 0.02%             | 2036-06-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2025-5C2                   | MORGAN STANLEY BAML TRUST MSBAM 2025 5C2 A3                 | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $5129202.50    | 0.07%             | 2058-11-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A         | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1651237 | PA      | $1646098.90    | 0.02%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97896 FG 12/27 FIXED 5.5                 | CUSIP: 3128E4XZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1146 | PA      | $1163.45       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 2A3             | CUSIP: 68402CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1784943 | PA      | $1073672.27    | 0.02%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA4253 G2 02/47 FIXED 4.5                      | CUSIP: 36179SWN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23240 | PA      | $22820.25      | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005300 G2 02/27 FIXED 3                        | CUSIP: 36202F3H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      204472 | PA      | $203231.92     | 0.00%             | 2027-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                             | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                      | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      672163 | PA      | $673141.78     | 0.01%             | 2039-02-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A          | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3018667 | PA      | $3012186.82    | 0.04%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 881858 FN 04/36 FLOATING VAR                      | CUSIP: 31409XWT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2990 | PA      | $3099.75       | 0.00%             | 2036-04-01      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                          | BOSTON PROPERTIES LP SR UNSECURED 04/32 2.55                | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $3842080.31    | 0.06%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                     | NATIONAL FUEL GAS CO SR UNSECURED 10/26 5.5                 | CUSIP: 636180BS9<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1515355.92    | 0.02%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                                | LCM LTD PARTNERSHIP LCM 35A A1R 144A                        | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2499685.48    | 0.04%             | 2034-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2            | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      909133 | PA      | $856999.43     | 0.01%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| OBX 2025-R1 TRUST                                                             | ONSLOW BAY FINANCIAL LLC OBX 2025 R1 A1 144A                | CUSIP: 67123GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4126547 | PA      | $4123443.81    | 0.06%             | 2062-09-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2             | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2055404 | PA      | $1019372.53    | 0.01%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2002-RS2                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2002 RS2 MII2           | CUSIP: 760985JT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      758563 | PA      | $663810.06     | 0.01%             | 2032-03-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A        | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1010331.20    | 0.01%             | 2040-09-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q03745 FG 10/41 FIXED 4.5                 | CUSIP: 3132GJZJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194209 | PA      | $194491.16     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005255 G2 12/26 FIXED 3                        | CUSIP: 36202FZU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221419 | PA      | $220229.17     | 0.00%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 922855 FN 11/36 FIXED 5.5                         | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23923 | PA      | $24815.95      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256986 FN 11/37 FIXED 7                           | CUSIP: 31371NNB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11289 | PA      | $11606.43      | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 73110JAF9<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 14.18%                | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA SR UNSECURED 144A 03/30 VAR                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     4800000 | PA      | $4987416.77    | 0.07%             | 2030-03-15      | Floating      | 5.67%                 | 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        |      741505 | PA      | $742202.95     | 0.01%             | 2029-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-6331.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3            | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2096252 | PA      | $1640208.24    | 0.02%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1            | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2023186 | PA      | $2123220.41    | 0.03%             | 2034-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q14520 FG 01/43 FIXED 3                   | CUSIP: 3132HRAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         339 | PA      | $319.56        | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                   | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $261400.00     | 0.00%             | 2032-06-07      | Floating      | 11.37%                | 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        |    82100000 | PA      | $86813249.34   | 1.27%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $2191.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DF3717 FN 11/55 FIXED 5.5                         | CUSIP: 3140BUDX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6807542 | PA      | $6923556.40    | 0.10%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD0070 FN 12/37 FIXED VAR                         | CUSIP: 31418MCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2131 | PA      | $2212.60       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256009 FN 08/35 FIXED 4                           | CUSIP: 31371MKW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      143565 | PA      | $142266.06     | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT COP SOLD USD 20260102                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4109.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 847996 FN 11/35 FLOATING VAR                      | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1764 | PA      | $1810.58       | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125             | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     8500000 | PA      | $8605373.57    | 0.13%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                                 | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A                   | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      577383 | PA      | $577660.57     | 0.01%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                    | ARES STRATEGIC INCOME FU SR UNSECURED 02/30 5.6             | CUSIP: 04020EAD9<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5027604.50    | 0.07%             | 2030-02-15      | Fixed         | 5.60%                 | 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        |     3500000 | PA      | $3497161.15    | 0.05%             | 2034-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A        | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      918752 | PA      | $911960.17     | 0.01%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1K0030 FH 07/36 FLOATING VAR              | CUSIP: 3128NUA79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1947 | PA      | $2014.82       | 0.00%             | 2036-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A       | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2210000 | PA      | $2081170.92    | 0.03%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H042620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32600000 | PA      | $31735335.86   | 0.46%             | 2056-02-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2601                                                       | FREDDIE MAC FHR 2601 LL                                     | CUSIP: 31393PV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15000 | PA      | $15405.00      | 0.00%             | 2033-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                                  | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A              | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $949473.00     | 0.01%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS9                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS9 A33            | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1722150 | PA      | $1426904.39    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                             | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR                  | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $258125.00     | 0.00%             | 2031-09-14      | Floating      | 14.58%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA4732 FN 09/52 FIXED 4                           | CUSIP: 31418EHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    64083504 | PA      | $61089186.81   | 0.89%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8463 FR 09/54 FIXED 6                   | CUSIP: 3132DWML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21587604 | PA      | $22177869.17   | 0.32%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/29 6.298                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1805050.04    | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                         | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR              | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |      603000 | PA      | $617381.55     | 0.01%             | 2029-04-09      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                        | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 09/27 VAR          | CUSIP: 79587J2D4<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3013038.33    | 0.04%             | 2027-09-02      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 3F 3A1                     | CUSIP: 362334HG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4022140 | PA      | $1299328.62    | 0.02%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-2                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 2 M1              | CUSIP: 64352VGA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      527041 | PA      | $575052.35     | 0.01%             | 2034-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                  | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/34 6.528                      | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1217381.12    | 0.02%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 878045 FN 03/36 FIXED 5                           | CUSIP: 31409TP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3991 | PA      | $3955.29       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2025-INV1                                | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2025 INV1 A1 144A       | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1971130 | PA      | $1976646.48    | 0.03%             | 2060-11-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $26113.04      | 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        |     3000000 | PA      | $2002050.10    | 0.03%             | 2057-12-30      | Floating      | 5.71%                 | No            |                  3 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                        | SAMMONS FINANCIAL GLOBAL SECURED 144A 12/29 5.1             | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1538590.97    | 0.02%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260227                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $31251.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6423863 | PA      | $6345141.88    | 0.09%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1514.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260520                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4568.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP SR UNSECURED 09/26 4.45                  | CUSIP: 756109BY9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      700000 | PA      | $700865.64     | 0.01%             | 2026-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2504.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02904 FG 08/41 FIXED 4.5                 | CUSIP: 3132GGGM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56848 | PA      | $57042.41      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5                 | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1399681 | PA      | $1367906.73    | 0.02%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $22523.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-37164.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.7               | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     3380000 | PA      | $3423441.21    | 0.05%             | 2028-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                                 | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 C               | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1700000 | PA      | $1758160.40    | 0.03%             | 2031-03-17      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                                   | NATIONAL FOOTBALL LEAGUE 9YR OCT SR SEC                     | CUSIP: 958BJPII5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2548603.78    | 0.04%             | 2034-10-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT2086 FR 06/49 FIXED 3.5                 | CUSIP: 3132AEJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1460133 | PA      | $1365954.33    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004879 G2 12/40 FIXED 4                        | CUSIP: 36202FM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33783 | PA      | $32140.82      | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                             | EVERSOURCE ENERGY SR UNSECURED 02/29 5.95                   | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     4650000 | PA      | $4862897.69    | 0.07%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                    | CUSIP: 639057AD0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $186114.48     | 0.00%             | 2031-06-28      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-18674.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                           | BRANDYWINE OPER PARTNERS COMPANY GUAR 03/28 7.8             | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |      100000 | PA      | $105807.70     | 0.00%             | 2028-03-15      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H10235 FG 10/37 FIXED 4.5                 | CUSIP: 3128N0HL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118954 | PA      | $119168.89     | 0.00%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA3795 G2 07/46 FIXED 4.5                      | CUSIP: 36179SGC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130818 | PA      | $128455.75     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                      | LEHMAN XS TRUST LXS 2006 18N A3                             | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1625192 | PA      | $1632478.23    | 0.02%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SEC 2001-28                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 28 1A1             | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23460 | PA      | $12967.54      | 0.00%             | 2031-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                             | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A                | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      142442 | PA      | $143130.70     | 0.00%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| CAPITAL POWER (US HOLDINGS) INC                                               | CAPITAL POWER US HOLDING COMPANY GUAR 144A 06/28 5.257      | CUSIP: 14041TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1734687.51    | 0.03%             | 2028-06-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.52500 09/04/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $69379.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT MAR26 XMOD 20260320                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         231 | NC      | $-248770.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EQUS 2021-EQAZ MORTGAGE TRUST                                                 | EQUS 2021 EQAZ MORTGAGE TRUST EQUS 2021 EQAZ A 144A         | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3735731 | PA      | $3736230.84    | 0.05%             | 2038-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-2A                                     | GLS AUTO RECEIVABLES TRUST GCAR 2024 2A B 144A              | CUSIP: 37964VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $3020407.50    | 0.04%             | 2028-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $28871.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                       | FREDDIE MAC FHR 5051 SX                                     | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14994617 | PA      | $615320.62     | 0.01%             | 2048-11-15      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                          | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A          | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1910483 | PA      | $1938697.30    | 0.03%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CC0257 FN 04/55 FIXED 6                           | CUSIP: 3140Y6JB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15065626 | PA      | $15745340.57   | 0.23%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AZ9228 FN 10/45 FIXED 4                           | CUSIP: 3140E2HE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1258692 | PA      | $1223766.75    | 0.02%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE8245 FN 03/47 FIXED 4                           | CUSIP: 3140FUET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      800210 | PA      | $778109.88     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1312.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                        | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A          | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $513488.75     | 0.01%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR                | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $250987.50     | 0.00%             | 2030-01-08      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A           | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6899411 | PA      | $6959021.79    | 0.10%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC SR UNSECURED 10/30 2.9                  | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1873366.06    | 0.03%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO MORTGAGE BACKED SECURITI PIMCO MBS ACTIVE ETF         | CUSIP: 72201R569<br>LEI: 2549001WTPP9QU7A6W04 | Long             | EC               | RF                | US        |     4632686 | NS      | $230221330.77  | 3.36%             |  |  |  | No            |                  1 | On Loan: No      |
| BDS 2025-FL14 LLC                                                             | BDS LTD BDS 2025 FL14 A 144A                                | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3200000 | PA      | $3197145.60    | 0.05%             | 2042-10-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD8319 FN 07/40 FIXED 4.5                         | CUSIP: 31418WG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      190841 | PA      | $192411.20     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC E                                     | CUSIP: 955GGY900<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |      900000 | PA      | $907737.89     | 0.01%             | 2040-01-30      | Fixed         | 5.79%                 | Yes           |                  3 | 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        |     2478070 | PA      | $2481098.72    | 0.04%             | 2033-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/32 7.5            | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     2800000 | PA      | $3230239.60    | 0.05%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-893122.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                     | VOYA CLO LTD INGIM 2012 4A A1R3 144A                        | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      193541 | PA      | $193780.05     | 0.00%             | 2030-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-8                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 8 3A1              | CUSIP: 576433E77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2385040 | PA      | $2388808.64    | 0.03%             | 2035-12-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 759022 GN 11/26 FIXED 3                           | CUSIP: 36230UAX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16114 | PA      | $16028.14      | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                         | BX TRUST BX 2022 LP2 A 144A                                 | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1168195 | PA      | $1167035.00    | 0.02%             | 2039-02-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC 2025 TERM LOAN B                      | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      992500 | PA      | $996683.39     | 0.01%             | 2032-02-10      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1291.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB8026 FN 02/54 FIXED 6.5                         | CUSIP: 3140QT4L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7042304 | PA      | $7346469.69    | 0.11%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC COMPANY GUAR 144A 11/53 6.875          | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $2058918.96    | 0.03%             | 2053-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                              | FREDDIE MAC FHR 3117 OK                                     | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3630 | PA      | $3209.26       | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDIANA FINANCE AUTHORITY                                                     | INDIANA ST FIN AUTH UNIV HSG R INSHSG 07/53 FIXED 5.928     | CUSIP: 45471MAC0<br>LEI: 549300PS0PAS7NDSSI20 | Long             | DBT              | MUN               | US        |     8000000 | PA      | $7894919.20    | 0.12%             | 2053-07-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 03/33 VAR                        | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4297028.18    | 0.06%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      600000 | PA      | $628230.00     | 0.01%             | 2032-06-07      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-6410.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GLOBAL FUNDING                                              | AMERICAN NATIONAL GF SR SECURED 144A 12/28 4.625            | CUSIP: 02771D2D5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5123747.79    | 0.07%             | 2028-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004795 G2 09/40 FIXED 4                        | CUSIP: 36202FKG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35512 | PA      | $33785.45      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-8                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 8 A6              | CUSIP: 93935EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6866577 | PA      | $2245349.26    | 0.03%             | 2036-10-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 02/31 2.45                        | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10250000 | PA      | $9380063.03    | 0.14%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A BR 144A          | CUSIP: 05684RAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1502753.45    | 0.02%             | 2034-07-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2798.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $82157.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 04/34 5.95       | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     4000000 | PA      | $4262059.32    | 0.06%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                                 | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 B               | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1700000 | PA      | $1723885.00    | 0.03%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RVPO STATE STREET GLOBAL MARKE USD RVPO FICC SSGM           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    20300000 | PA      | $20300000.00   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/35 VAR                    | CUSIP: 404280EE5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     7400000 | PA      | $7806333.19    | 0.11%             | 2035-03-04      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257180 FN 04/38 FIXED 5                           | CUSIP: 31371NUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2280 | PA      | $2275.41       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                          | ROCKET COS INC COMPANY GUAR 144A 02/32 7.125                | CUSIP: 77311WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1262962.56    | 0.02%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1                             | SECURITIZED ASSET BACKED RECEI SABR 2004 NC1 M1             | CUSIP: 81375WAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1579743 | PA      | $1667727.55    | 0.02%             | 2034-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA0938 FN 03/55 FIXED VAR                         | CUSIP: 3140W1BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16623368 | PA      | $17394312.39   | 0.25%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                                   | NATIONAL FOOTBALL LEAGUE 9YR JUL SR SEC                     | CUSIP: 957IHHII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3060987.12    | 0.04%             | 2034-10-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                  | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A                 | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1373399 | PA      | $1375068.85    | 0.02%             | 2030-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG           | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      500000 | PA      | $147500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 06/30 VAR                  | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    12050000 | PA      | $12193363.67   | 0.18%             | 2030-06-14      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2198.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-528.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                 | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A         | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      534026 | PA      | $538812.34     | 0.01%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP/THE SR UNSECURED 03/32 5.8                         | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8208892.16    | 0.12%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-806.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    21500000 | PA      | $21500000.00   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| WAVE TRUST 2019-1                                                             | WAVE USA WAAV 2019 1 A 144A                                 | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2219665 | PA      | $2181396.51    | 0.03%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A        | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2400000 | PA      | $2325538.20    | 0.03%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                            | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875                 | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4156034.88    | 0.06%             | 2030-01-16      | Fixed         | 5.88%                 | 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        |     1800000 | PA      | $2115359.98    | 0.03%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORPORATION                                               | MAIN STREET CAPITAL CORP SR UNSECURED 03/29 6.95            | CUSIP: 56035LAH7<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3237630.86    | 0.05%             | 2029-03-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP               | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65929 | PA      | $29061.34      | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                              | SOCIETE GENERALE 144A 01/29 VAR                             | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     3300000 | PA      | $3433265.62    | 0.05%             | 2029-01-10      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| MINNESOTA HOUSING FINANCE AGENCY                                              | MINNESOTA ST HSG FIN AGY MNSHSG 01/29 FIXED 5.301           | CUSIP: 60416T8D3<br>LEI: 549300R89XDTQBK4GE22 | Long             | DBT              | MUN               | US        |     5515000 | PA      | $5630344.57    | 0.08%             | 2029-01-01      | Fixed         | 5.30%                 | 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        |     1500000 | PA      | $1501782.27    | 0.02%             | 2034-04-17      | Floating      | 5.12%                 | 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        |      140372 | PA      | $121004.02     | 0.00%             | 2037-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 09/34 VAR                    | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    15700000 | PA      | $17147482.70   | 0.25%             | 2034-09-22      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A         | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1105672 | PA      | $1114715.26    | 0.02%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889404 FN 06/37 FIXED VAR                         | CUSIP: 31410KDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5144 | PA      | $5094.27       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                 | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                       | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      496614 | PA      | $499879.52     | 0.01%             | 2026-01-27      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260219                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-10188.56     | -0.00%            |  |  |  | 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        |     2382309 | PA      | $2205514.06    | 0.03%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                      | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                    | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      910629 | PA      | $911116.84     | 0.01%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $13620.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5471 FN 09/54 FIXED 6                           | CUSIP: 31418FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50008255 | PA      | $51375624.02   | 0.75%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45            | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1931043 | PA      | $1991867.68    | 0.03%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                             | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A             | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3826263 | PA      | $3860418.80    | 0.06%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA 144A 01/27 VAR                                      | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     4000000 | PA      | $4002477.08    | 0.06%             | 2027-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/34 1.75                                  | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   160158600 | PA      | $159311620.46  | 2.33%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                                      | FERGUSON ENTERPRISES INC COMPANY GUAR 10/34 5               | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1009550.54    | 0.01%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      466000 | PA      | $461035.18     | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-24.53        | -0.00%            |  |  |  | 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      | $29196.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A          | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1099958 | PA      | $1107315.12    | 0.02%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                                       | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1                | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      609346 | PA      | $585469.90     | 0.01%             | 2046-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/29 VAR                       | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2045738.10    | 0.03%             | 2029-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                              | PROJECT CASHMERE CLASS A1 144A                              | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    89000000 | PA      | $59394152.95   | 0.87%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 05/35 5.75              | CUSIP: 303901BX9<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     7750000 | PA      | $8064540.42    | 0.12%             | 2035-05-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $43527.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA3996 G2 10/46 FIXED 4.5                      | CUSIP: 36179SNM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      141798 | PA      | $141211.37     | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-7                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 7 A11 144A        | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3203662 | PA      | $3215170.07    | 0.05%             | 2055-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 995952 FN 02/38 FIXED VAR                         | CUSIP: 31416CL95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2409 | PA      | $2501.51       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                   | URSA RE LTD UNSECURED 144A 02/28 VAR                        | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     1000000 | PA      | $1019750.00    | 0.01%             | 2028-02-22      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                               | VERAISON RE LTD UNSECURED 144A 03/33 VAR                    | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $257712.50     | 0.00%             | 2033-03-08      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A4           | CUSIP: 83613DAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3021770 | PA      | $2562231.03    | 0.04%             | 2037-07-25      | Floating      | 4.10%                 | 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        |     2669809 | PA      | $1528986.18    | 0.02%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004384 G2 03/39 FIXED 4.5                      | CUSIP: 36202E2R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13990 | PA      | $13732.46      | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 05/30 4               | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1161975.54    | 0.02%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 2025-1A                                      | PLANET FITNESS MASTER ISSUER L PLNT 2025 1A A2II 144A       | CUSIP: 72703PAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $10028724.00   | 0.15%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                    | PACIFICORP JR SUBORDINA 09/55 VAR                           | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5609928.50    | 0.08%             | 2055-09-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260225                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $300559.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91195 FG 07/28 FIXED 5.5                 | CUSIP: 3128P7KG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12168 | PA      | $12352.90      | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | 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        |    28408545 | PA      | $27775872.46   | 0.41%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3638 FN 04/49 FIXED 4                           | CUSIP: 31418DBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1045119 | PA      | $1008776.08    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/32 3.625                            | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     3250000 | PA      | $3073600.04    | 0.04%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM9                      | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM9 A1 144A       | CUSIP: 61779VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1470829 | PA      | $1474539.06    | 0.02%             | 2070-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -227200000 | PA      | $-230181595.58 | -3.36%            | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                   | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A                | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2961285 | PA      | $2956155.41    | 0.04%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                         | ALESCO PREFERRED FUNDING LTD ALESC 17A A1 144A              | CUSIP: 01450NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1810541 | PA      | $1769804.21    | 0.03%             | 2038-09-23      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                     | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A               | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4800000 | PA      | $4792425.36    | 0.07%             | 2034-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A         | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2507489.08    | 0.04%             | 2039-03-19      | Floating      | 5.47%                 | 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        |   135474779 | PA      | $139188740.59  | 2.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                                      | BROADSTONE NET LEASE LLC COMPANY GUAR 11/32 5               | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2309316.45    | 0.03%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE2                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE2 M1            | CUSIP: 04541GHW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      564805 | PA      | $608688.48     | 0.01%             | 2034-04-25      | Floating      | 4.67%                 | 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        |    20805044 | PA      | $21375403.30   | 0.31%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.56500 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $55870.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3210.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $83.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                               | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A                 | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      938600 | PA      | $954537.54     | 0.01%             | 2040-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A           | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1945936 | PA      | $1823062.27    | 0.03%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-24195.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-263104.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                                       | ENI SPA SR UNSECURED 144A 05/35 5.75                        | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     3100000 | PA      | $3248736.92    | 0.05%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                 | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                   | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4885506.00    | 0.07%             | 2036-09-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC 2003-AR3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4             | CUSIP: 03072SHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2881100 | PA      | $2820611.47    | 0.04%             | 2033-06-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A              | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2085530 | PA      | $2112697.42    | 0.03%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745410 FN 01/36 FIXED VAR                         | CUSIP: 31403DDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5071 | PA      | $5120.73       | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                                                                 | LINEAGE OP LP COMPANY GUAR 144A 07/30 5.25                  | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2221693.56    | 0.03%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31455 FG 10/37 FIXED 5.5                 | CUSIP: 31281BTL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1541 | PA      | $1599.34       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FARMERS INSURANCE EXCHANGE                                                    | FARMERS INS EXCH SUBORDINATED 144A 11/57 VAR                | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1720501.20    | 0.03%             | 2057-11-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1928.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR7                                                               | BANK5 BANK5 2024 5YR7 A3                                    | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2297520.06    | 0.03%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91033 FG 06/27 FIXED 5.5                 | CUSIP: 3128P7EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1728 | PA      | $1754.04       | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A           | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      651949 | PA      | $654120.34     | 0.01%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-81.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1258192 | PA      | $1259461.22    | 0.02%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 08/32 5.625             | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     2200000 | PA      | $2297664.09    | 0.03%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A          | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      499982 | PA      | $504434.82     | 0.01%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1029.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM5485 FN 02/49 FIXED VAR                         | CUSIP: 3140JACX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      734456 | PA      | $684931.44     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                | VENTURE CDO LTD VENTR 2017 27A AR 144A                      | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       83354 | PA      | $83456.52      | 0.00%             | 2030-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AK9126 FN 02/42 FIXED 4                           | CUSIP: 3138EED89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97365 | PA      | $96410.39      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY                     | SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 11/35 5.25       | CUSIP: 78448TAP7<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    16000000 | PA      | $16012471.04   | 0.23%             | 2035-11-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257280 FN 05/48 FIXED 4.5                         | CUSIP: 31371NXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129749 | PA      | $127737.17     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                             | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A              | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6200000 | PA      | $6197910.04    | 0.09%             | 2034-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2002-HE2                  | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE2 B             | CUSIP: 045413CW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      225733 | PA      | $218337.45     | 0.00%             | 2032-08-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                               | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                     | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85052 | PA      | $85915.44      | 0.00%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A         | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1910882.94    | 0.03%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1361306 | PA      | $1356425.63    | 0.02%             | 2028-04-01      | Fixed         | 3.70%                 | 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        |     1466650 | PA      | $1468323.04    | 0.02%             | 2032-07-23      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A3                | CUSIP: 655378AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4473297 | PA      | $3769571.15    | 0.06%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                              | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A              | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1790804 | PA      | $1797429.78    | 0.03%             | 2055-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -460000000 | PA      | $-472366511.20 | -6.90%            | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR               | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1771991.16    | 0.03%             | 2029-03-09      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PRIVATE CREDIT FUND                                             | GOLUB CAPITAL CAP FND SR UNSECURED 144A 08/28 5.45          | CUSIP: 38179RAE5<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4029334.72    | 0.06%             | 2028-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP COMPANY GUAR 02/34 5.4               | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1748767.92    | 0.03%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 04/35 VAR              | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     4350000 | PA      | $4626375.38    | 0.07%             | 2035-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                            | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A           | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2000041.20    | 0.03%             | 2035-01-20      | Floating      | 4.98%                 | 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        |     3000000 | PA      | $3001298.79    | 0.04%             | 2034-07-10      | Floating      | 5.07%                 | 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        |     5800000 | PA      | $4439190.86    | 0.06%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2                 | CUSIP: 61755CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93794 | PA      | $86067.53      | 0.00%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                   | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8900000 | PA      | $7157895.31    | 0.10%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C                | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260573 | PA      | $136934.31     | 0.00%             | 2036-10-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                     | NATIONAL FUEL GAS CO SR UNSECURED 03/30 5.5                 | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2168967.84    | 0.03%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV JR SUBORDINA 12/99 VAR                         | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $540782.16     | 0.01%             | 2031-05-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R2                                            | VERUS SECURITIZATION TRUST VERUS 2025 R2 A1 144A            | CUSIP: 92541EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2600000 | PA      | $2608363.42    | 0.04%             | 2067-07-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6                 | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3996560.74    | 0.06%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                | SMRT SMRT 2022 MINI A 144A                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2350000 | PA      | $2350590.56    | 0.03%             | 2039-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SBL HOLDINGS LLC                                                              | SBL HOLDINGS INC SR UNSECURED 144A 09/28 5.9                | CUSIP: 78397DAE8<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3983041.48    | 0.06%             | 2028-09-26      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                              | ESSENT GROUP LTD SR UNSECURED 07/29 6.25                    | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |     2200000 | PA      | $2297804.85    | 0.03%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/27 VAR                                  | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     4500000 | PA      | $4428163.31    | 0.06%             | 2027-11-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  MAR26 IFLL 20260327                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         262 | NC      | $240374.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A92791 FG 07/40 FIXED 4.5                 | CUSIP: 312941C47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30062 | PA      | $30369.54      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-352667.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A14706 FG 10/33 FIXED 4                   | CUSIP: 31296PGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7545 | PA      | $7469.26       | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                                  | KBC GROUP NV SR UNSECURED 144A 09/34 VAR                    | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     5200000 | PA      | $5673275.61    | 0.08%             | 2034-09-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                 | SIXTH STREET LENDING PAR SR UNSECURED 01/30 5.75            | CUSIP: 829932AD4<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3041579.10    | 0.04%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260224                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $71253.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375       | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    15402000 | PA      | $15421718.72   | 0.23%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5                 | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1095517.72    | 0.02%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91128 FG 12/27 FIXED 5.5                 | CUSIP: 3128P7HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3475 | PA      | $3527.89       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZN2806 FR 01/49 FIXED 4.5                 | CUSIP: 3131Y9DK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      882747 | PA      | $876331.00     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A55007 FG 11/36 FIXED 6                   | CUSIP: 3128KHR40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18780 | PA      | $19758.83      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 08/33 VAR             | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     8500000 | PA      | $8648880.22    | 0.13%             | 2033-08-11      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260212                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $17.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 2A7          | CUSIP: 12667GQD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      582444 | PA      | $370736.21     | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1361.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $33224.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                    | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                   | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4001168.88    | 0.06%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G30463 FG 12/28 FIXED 5.5                 | CUSIP: 3128CUQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         109 | PA      | $110.61        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-6639.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC B                                     | CUSIP: 955GGZII8<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1227059.00    | 0.02%             | 2032-01-30      | Fixed         | 5.41%                 | Yes           |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $59000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A        | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1878550 | PA      | $1856709.32    | 0.03%             | 2037-04-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2000000 | PA      | $-2028277.68   | -0.03%            | 2055-01-15      | Fixed         | 5.50%                 | 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      | $212632.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-3695.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AG8838 GN 01/29 FIXED 3                           | CUSIP: 36182DZB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127183 | PA      | $125716.97     | 0.00%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 12/33 6.75             | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3601798.20    | 0.05%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/36 5.8528       | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     2300000 | PA      | $2408750.90    | 0.04%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/34 5.611             | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2101227.84    | 0.03%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $141.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5                 | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    67599441 | PA      | $68705239.58   | 1.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                             | EXPEDIA GROUP INC COMPANY GUAR 02/30 3.25                   | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2110913.95    | 0.03%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A           | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       96263 | PA      | $96513.85      | 0.00%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3 2025-NQM3            | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM3 A1 144A       | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1722783 | PA      | $1736174.53    | 0.03%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1A                                                        | LUNAR AIRCRAFT 2020 1 LIMITED LUNRR 2020 1A A 144A          | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1210921 | PA      | $1191825.04    | 0.02%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AASET-2025-2A                                                                 | APOLLO AVIATION SECURITIZATION AASET 2025 2A A 144A         | CUSIP: 00039NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7035131 | PA      | $7091583.39    | 0.10%             | 2050-02-16      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $14666.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8420 FR 04/54 FIXED 5.5                 | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38213201 | PA      | $38800336.16   | 0.57%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                                  | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A             | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9100000 | PA      | $9152525.56    | 0.13%             | 2037-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                       | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2               | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24919 | PA      | $24755.80      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3085 FN 06/51 FIXED 4.5                         | CUSIP: 31416YNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      156250 | PA      | $153823.87     | 0.00%             | 2051-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260127                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $23910.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                           | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A               | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600000 | PA      | $614249.52     | 0.01%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94251 FG 10/40 FIXED 4                   | CUSIP: 312942WL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1031 | PA      | $1011.32       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                        | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A              | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4300000 | PA      | $4300060.76    | 0.06%             | 2034-10-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1               | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4255526 | PA      | $2486574.21    | 0.04%             | 2036-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A            | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      383533 | PA      | $384240.14     | 0.01%             | 2040-07-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 02/29 6.5                | CUSIP: 03666HAG6<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1227632.28    | 0.02%             | 2029-02-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-16489.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 08/28 7.95               | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1164348.63    | 0.02%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1A            | CUSIP: 251510MD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100580 | PA      | $92410.06      | 0.00%             | 2036-02-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC COREBRIDGE FINANCIAL INC           | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2304746.73    | 0.03%             | 2034-01-15      | Fixed         | 5.75%                 | 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        |     3100000 | PA      | $3099880.77    | 0.05%             | 2034-04-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS3096 FN 07/44 FIXED 4                           | CUSIP: 3138WCNN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      199707 | PA      | $196147.75     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31421 FG 07/37 FIXED 5                   | CUSIP: 31281BSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1681 | PA      | $1730.38       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AL6978 G2 03/45 FIXED 3.5                      | CUSIP: 36184DXF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      311645 | PA      | $282475.21     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-9                                                      | FANNIE MAE FNR 2010 9 KD                                    | CUSIP: 31398MCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3001 | PA      | $3020.90       | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AX6047 FN 10/44 FIXED 4.5                         | CUSIP: 3138Y7WH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      235619 | PA      | $236188.20     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                              | PUGET ENERGY INC SR SECURED 03/35 5.725                     | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1543651.40    | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST 2020-B                                               | AJAX MORTGAGE LOAN TRUST AJAXM 2020 B A1 144A               | CUSIP: 00969YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      650002 | PA      | $618767.70     | 0.01%             | 2059-05-25      | Fixed         | 1.70%                 | 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        |     3400000 | PA      | $3547390.00    | 0.05%             | 2032-04-15      | Fixed         | 7.75%                 | 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        |     1022058 | PA      | $1003935.97    | 0.01%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q07046 FG 03/42 FIXED 3.5                 | CUSIP: 3132GSET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7984 | PA      | $7675.16       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A            | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      830746 | PA      | $797325.76     | 0.01%             | 2046-10-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-5                                              | TOWD POINT MORTGAGE TRUST TPMT 2018 5 A1A 144A              | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1224230 | PA      | $1216795.03    | 0.02%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91030 FG 05/27 FIXED 5.5                 | CUSIP: 3128P7EB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         730 | PA      | $740.82        | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                         | TIME WARNER CABLE LLC SR SECURED 07/38 7.3                  | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2680138.63    | 0.04%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-15.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31100000 | PA      | $32356827.20   | 0.47%             | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7           | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    68300000 | PA      | $23188186.31   | 0.34%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/26 6.95            | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1503451.61    | 0.02%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA                                   | SPIRIT AIR 2017 1 PTT AA PASS THRU CE 08/31 3.375           | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      480244 | PA      | $452606.18     | 0.01%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-267.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 08/29 11                         | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 53381000000 | PA      | $13359875.43   | 0.20%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 06/34 VAR                  | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    17950000 | PA      | $18656194.46   | 0.27%             | 2034-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7.12         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                            | VICI PROPERTIES LP SR UNSECURED 04/34 5.75                  | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2684555.93    | 0.04%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9146.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94576 FG 10/40 FIXED 4                   | CUSIP: 312943CM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         164 | PA      | $160.53        | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A         | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1369477 | PA      | $1365332.91    | 0.02%             | 2061-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL5 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL5 A1 144A       | CUSIP: 69383PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2956375.50    | 0.04%             | 2065-06-25      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                          | WSTN TRUST WSTN 2023 MAUI A 144A                            | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3565723.00    | 0.05%             | 2037-07-05      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4158                                                       | FREDDIE MAC FHR 4158 KZ                                     | CUSIP: 3137AXUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          42 | PA      | $28.17         | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6 JUMBOS                                  | CUSIP: 21H060614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4895500 | PA      | $4989394.17    | 0.07%             | 2055-01-15      | Fixed         | 6.00%                 | 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        |     8400000 | PA      | $8616498.49    | 0.13%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004767 G2 08/40 FIXED 4.5                      | CUSIP: 36202FJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15910 | PA      | $15780.33      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 1A3          | CUSIP: 12667GPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      336060 | PA      | $265677.77     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5560                                                       | FREDDIE MAC FHR 5560 FB                                     | CUSIP: 3137HLZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11505200 | PA      | $11579127.75   | 0.17%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                           | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5            | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2676593 | PA      | $2614428.17    | 0.04%             | 2035-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                                        | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A               | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48314 | PA      | $47685.03      | 0.00%             | 2034-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7             | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      292545 | PA      | $269150.88     | 0.00%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-29185.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                           | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A               | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      906505 | PA      | $913153.46     | 0.01%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260305                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-357.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $532490.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                                     | FANNIE MAE FNR 2025 66 FL                                   | CUSIP: 3136BWZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24548278 | PA      | $24662041.85   | 0.36%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                              | PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 03/28 4.75       | CUSIP: BYVTPZII5<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |     4300000 | PA      | $4268072.50    | 0.06%             | 2028-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-65899.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AJ2513 G2 01/45 FIXED 4                        | CUSIP: 36182WYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      393768 | PA      | $378757.80     | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 928692 FN 08/37 FIXED 5.5                         | CUSIP: 31412LXV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13536 | PA      | $13640.75      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260212                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $511514.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31485 FG 02/38 FIXED 4.5                 | CUSIP: 31281BUJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29010 | PA      | $29041.09      | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | 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        |     1800000 | PA      | $1797165.29    | 0.03%             | 2034-07-24      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005146 G2 08/26 FIXED 3                        | CUSIP: 36202FWF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7267 | PA      | $7230.13       | 0.00%             | 2026-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                       | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A          | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3200000 | PA      | $3223144.32    | 0.05%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PRIVATE CREDIT FUND                                             | GOLUB CAPITAL CAP FND SR UNSECURED 05/30 5.875              | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2029006.32    | 0.03%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB7270 FN 10/53 FIXED 6                           | CUSIP: 3140QTCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    51183794 | PA      | $53225150.56   | 0.78%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C03598 FG 11/40 FIXED 4                   | CUSIP: 31292K7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         303 | PA      | $297.28        | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                                 | SELECTIVE INSURANCE GROU SR UNSECURED 04/35 5.9             | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4620636.42    | 0.07%             | 2035-04-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 03/31 2.958                 | CUSIP: 05964HAM7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     2200000 | PA      | $2040973.37    | 0.03%             | 2031-03-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE INCORPORATED                                               | JONES LANG LASALLE INC SR UNSECURED 12/28 6.875             | CUSIP: 48020QAB3<br>LEI: 6SYKCME112RT8TQUO411 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3853909.62    | 0.06%             | 2028-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                               | CHOICE HOTELS INTL INC SR UNSECURED 08/34 5.85              | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3569819.89    | 0.05%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                       | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR         | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |     3300000 | NS      | $3302442.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256786 FN 06/37 FIXED 6                           | CUSIP: 31371NF34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25495 | PA      | $25868.34      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOMINO'S PIZZA MASTER ISSUER LLC 2025-1A                                      | DOMINOS PIZZA MASTER ISSUER LL DPABS 2025 1A A2I 144A       | CUSIP: 25755TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    22500000 | PA      | $22666322.25   | 0.33%             | 2055-07-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                           | MFRA TRUST MFRA 2023 INV2 A1 144A                           | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      912633 | PA      | $922279.16     | 0.01%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-151.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/33 VAR              | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    10250000 | PA      | $9445673.28    | 0.14%             | 2033-02-24      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4473                                                       | FREDDIE MAC FHR 4473 BI                                     | CUSIP: 3137BJAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4881899 | PA      | $452877.13     | 0.01%             | 2040-06-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| PPL CAPITAL FUNDING                                                           | PPL CAPITAL FUNDING INC PPL CAPITAL FUNDING INC             | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2307677.27    | 0.03%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3057.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.23100 09/18/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $169085.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AJ0740 GN 07/29 FIXED 3                           | CUSIP: 36182UZD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      223848 | PA      | $220449.92     | 0.00%             | 2029-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                              | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                     | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8400000 | PA      | $8402573.93    | 0.12%             | 2034-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR                | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1500000 | PA      | $1589850.00    | 0.02%             | 2032-03-13      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55000 08/21/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $139247.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                  | ENBRIDGE INC ENBRIDGE INC                                   | CUSIP: 29250NBY0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     2150000 | PA      | $2309692.30    | 0.03%             | 2030-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                                                            | SMITH + NEPHEW PLC SR UNSECURED 03/34 5.4                   | CUSIP: 83192PAD0<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |     7000000 | PA      | $7245004.55    | 0.11%             | 2034-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $7520.44       | 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        | 50793000000 | PA      | $12523791.17   | 0.18%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3852                                                       | FREDDIE MAC FHR 3852 SG                                     | CUSIP: 3137ABAR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      537142 | PA      | $458805.57     | 0.01%             | 2041-05-15      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2D            | CUSIP: 17309BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3910626 | PA      | $1391650.35    | 0.02%             | 2036-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375          | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1283444.83    | 0.02%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2300000 | PA      | $2872101.72    | 0.04%             | 2033-11-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $60345.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-A                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A          | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      440265 | PA      | $448503.48     | 0.01%             | 2053-01-15      | Fixed         | 5.38%                 | 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        |   697212000 | PA      | $43937828.70   | 0.64%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR              | CUSIP: 38141GZS6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3043899.27    | 0.04%             | 2028-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SL0873 FR 04/55 FIXED 6                   | CUSIP: 31427M6K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4315446 | PA      | $4512783.42    | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | 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        |       42039 | PA      | $39897.95      | 0.00%             | 2035-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A          | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3374545 | PA      | $3410940.00    | 0.05%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                    | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A        | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      524977 | PA      | $525608.07     | 0.01%             | 2030-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/26 0.00000                                 | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      679000 | PA      | $673187.42     | 0.01%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-712.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| METAL CAYMAN 2017-1 LLC                                                       | METAL CAYMAN METAL 2017 1 A 144A                            | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     2194282 | PA      | $1535930.13    | 0.02%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC SR SECURED 144A 03/32 6.375           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1249842.00    | 0.02%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/28 6.07                 | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     3100000 | PA      | $3234216.79    | 0.05%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783423 GN 09/26 FIXED 3                           | CUSIP: 36241LYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35552 | PA      | $35405.71      | 0.00%             | 2026-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                       | FREDDIE MAC FHR 5508 FH                                     | CUSIP: 3137HJGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69136538 | PA      | $69180667.85   | 1.01%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C13 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2025 C13 ASB                         | CUSIP: 05592YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2581066.00    | 0.04%             | 2058-10-15      | Fixed         | 5.23%                 | 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        |     3500000 | PA      | $4109004.50    | 0.06%             | 2038-10-21      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS COMPANY LLC                                               | EL PASO NATURAL GAS COMPANY GUAR 144A 02/32 3.5             | CUSIP: 283695BQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1583948.04    | 0.02%             | 2032-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $14303.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q17134 FG 04/43 FIXED 3                   | CUSIP: 3132J8LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2410 | PA      | $2233.03       | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $31340.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                          | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A1           | CUSIP: 94984CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204256 | PA      | $192728.59     | 0.00%             | 2036-08-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $447.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                           | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A           | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      359882 | PA      | $361266.66     | 0.01%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC D                                     | CUSIP: 955GGZ907<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |      500000 | PA      | $507287.54     | 0.01%             | 2037-01-30      | Fixed         | 5.69%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 738876 GN 10/26 FIXED 3                           | CUSIP: 3620AS2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19596 | PA      | $19498.76      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A         | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $507880.50     | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 738969 GN 11/26 FIXED 3                           | CUSIP: 3620AS6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174368 | PA      | $173505.01     | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3              | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      617081 | PA      | $624556.19     | 0.01%             | 2034-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779942 GN 11/26 FIXED 3                           | CUSIP: 36177HBK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35921 | PA      | $35743.50      | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256370 FN 06/36 FIXED 5.5                         | CUSIP: 31371MW78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21452 | PA      | $21539.06      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260303                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $306.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                         | COMPEER FINANCIAL ACA JR SUBORDINA 144A 12/99 VAR           | CUSIP: 20453QAC6<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |    20950000 | NS      | $21602173.50   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $36327.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC           | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $7660940.76    | 0.11%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2689.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A3 144A        | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280836 | PA      | $270412.54     | 0.00%             | 2055-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    85000000 | PA      | $80582884.05   | 1.18%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D                | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12253473 | PA      | $6177965.69    | 0.09%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                        | EQUITABLE HOLDINGS INC SR UNSECURED 01/33 5.594             | CUSIP: 29452EAC5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1044452.78    | 0.02%             | 2033-01-11      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-2491.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES LX CLO LTD 60A                                                           | ARES CLO LTD ARES 2021 60A AR 144A                          | CUSIP: 04018FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000306.14    | 0.01%             | 2034-07-18      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                              | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR                 | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1000000 | PA      | $1000809.50    | 0.01%             | 2029-01-08      | Floating      | 13.46%                | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-DA                                             | NELNET STUDENT LOAN TRUST NSLT 2025 DA A1A 144A             | CUSIP: 639931AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $9973544.00    | 0.15%             | 2054-08-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-14730.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY INDUSTRIAL DEVELOPMENT AGENCY                                   | NEW YORK CITY NY INDL DEV AGY NYCDEV 01/46 FIXED 6.027      | CUSIP: 64971PEC5<br>LEI: 549300XR20ZR5DHL9534 | Long             | DBT              | MUN               | US        |      500000 | PA      | $492065.75     | 0.01%             | 2046-01-01      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA2784 FN 04/55 FIXED VAR                         | CUSIP: 3140W3CW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28741715 | PA      | $30032424.82   | 0.44%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1C            | CUSIP: 251510MF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      933675 | PA      | $857772.69     | 0.01%             | 2036-02-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B            | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      965092 | PA      | $751795.22     | 0.01%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     6600000 | PA      | $6600000.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 5.85            | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1015752.27    | 0.01%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                   | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625       | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2470460.70    | 0.04%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CGMS-2021-9A                                                                  | CARLYLE GLOBAL MARKET STRATEGI CGMS 2021 9A AR 144A         | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000563.52    | 0.01%             | 2034-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL BA5051 GN 06/47 FIXED 4                           | CUSIP: 3617AHTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3833723 | PA      | $3672751.52    | 0.05%             | 2047-06-15      | Fixed         | 4.00%                 | 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        |     2000000 | PA      | $2350303.85    | 0.03%             | 2036-07-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-26871.17     | -0.00%            |  |  |  | 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        |     8000000 | PA      | $7997098.88    | 0.12%             | 2035-04-23      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                 | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                       | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1606511 | PA      | $1605958.65    | 0.02%             | 2049-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST 2023-6                                                   | VERIZON MASTER TRUST VZMT 2023 6 A 144A                     | CUSIP: 92348VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7000000 | PA      | $7263789.40    | 0.11%             | 2031-09-22      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZA6388 FR 02/49 FIXED 4.5                 | CUSIP: 31329QCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      719064 | PA      | $713689.55     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $17307.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                        | CASTLELAKE LP FIRST LIEN TERM LOAN                          | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     4102909 | PA      | $3920575.63    | 0.06%             | 2031-05-12      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260219                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-4096.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                                 | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A                  | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2185080 | PA      | $2299272.78    | 0.03%             | 2041-10-15      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.28063 12/02/24-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1308394.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                    | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      600000 | PA      | $631350.00     | 0.01%             | 2028-01-07      | Floating      | 14.09%                | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 09/34 5.45            | CUSIP: 31847RAJ1<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2201015.28    | 0.03%             | 2034-09-30      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-38829.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                          | GSAMP TRUST GSAMP 2005 HE4 M3                               | CUSIP: 362341KE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      328936 | PA      | $333745.99     | 0.00%             | 2045-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 1A1              | CUSIP: 576433KM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93119 | PA      | $80244.74      | 0.00%             | 2034-04-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M2              | CUSIP: 542514HE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      705182 | PA      | $722386.20     | 0.01%             | 2034-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $14927.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.41000 09/05/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $108585.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0415 FN 05/40 FIXED 4.5                         | CUSIP: 31417YN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34338 | PA      | $33745.13      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-12A                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A           | CUSIP: 04942UAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      224482 | PA      | $224601.99     | 0.00%             | 2031-10-24      | Floating      | 5.31%                 | 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      | $8981648.10    | 0.13%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| BACARDI LIMITED                                                               | BACARDI LTD COMPANY GUAR 144A 05/38 5.15                    | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     1200000 | PA      | $1142368.61    | 0.02%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $121267.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256849 FN 08/37 FIXED 6                           | CUSIP: 31371NH24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3658 | PA      | $3834.56       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP / JSG FINANCE INC                                           | JANE STREET GRP/JSG FIN SR SECURED 144A 04/31 7.125         | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1577026.97    | 0.02%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                                  | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                      | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5200000 | PA      | $5187000.00    | 0.08%             | 2034-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR                    | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    10000000 | PA      | $10885217.70   | 0.16%             | 2034-03-09      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                                | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A        | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3500000 | PA      | $3499859.79    | 0.05%             | 2035-12-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                              | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A         | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7500000 | PA      | $7870186.50    | 0.11%             | 2030-02-20      | Fixed         | 6.02%                 | 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        |     2700000 | PA      | $3176307.57    | 0.05%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                | WINSTON RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $258000.00     | 0.00%             | 2028-02-21      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| UPGRADE AUTO RECEIVABLES TRUST 25-1A                                          | UPGRADE AUTO RECEIVABLES TRUST UPGA 2025 1A A4 144A         | CUSIP: 91531AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5300000 | PA      | $5267651.45    | 0.08%             | 2031-10-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                           | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A                  | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6500000 | PA      | $6512288.32    | 0.10%             | 2043-08-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                          | TARGA RESOURCES CORP COMPANY GUAR 03/33 6.125               | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3213376.74    | 0.05%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 778668 GN 12/26 FIXED 3                           | CUSIP: 36176WZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      136120 | PA      | $135461.09     | 0.00%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A      | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3475056 | PA      | $3148220.79    | 0.05%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H00790 FG 05/37 FIXED 5.5                 | CUSIP: 3128MS2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11196 | PA      | $11249.12      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                        | LEHMAN XS TRUST LXS 2005 6 3A3A                             | CUSIP: 525221DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2865677 | PA      | $1308809.36    | 0.02%             | 2035-11-25      | Variable      | 6.26%                 | 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        |     8900000 | PA      | $9415674.19    | 0.14%             | 2035-03-01      | Floating      | 5.78%                 | 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        |     5600000 | PA      | $5603080.00    | 0.08%             | 2034-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-18004.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1             | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      809022 | PA      | $789037.94     | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                     | INVITATION HOMES OP COMPANY GUAR 02/35 4.875                | CUSIP: 46188BAG7<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1287229.32    | 0.02%             | 2035-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                          | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A         | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      777009 | PA      | $769715.99     | 0.01%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-C                                           | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 C A 144A            | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8920122 | PA      | $8947209.30    | 0.13%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $7624.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 930897 FN 04/39 FIXED 5.5                         | CUSIP: 31412PGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      207062 | PA      | $210274.72     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-58                                                     | FANNIE MAE FNR 2012 58 KB                                   | CUSIP: 3136A6KA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      364832 | PA      | $349714.73     | 0.01%             | 2042-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-6341.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                     | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A        | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1358198 | PA      | $1352979.25    | 0.02%             | 2054-09-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A           | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1529873 | PA      | $1532249.09    | 0.02%             | 2067-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H10170 FG 07/37 FIXED 5.5                 | CUSIP: 3128N0FK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12477 | PA      | $12457.35      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/36 VAR                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     8950000 | PA      | $9384343.23    | 0.14%             | 2036-04-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $59305.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 06/33 5.5                              | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2290524.83    | 0.03%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                   | CUSIP: S6989ZAQ7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    35660000 | PA      | $2077819.48    | 0.03%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $144107.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2018-C2                                                  | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 C2 A5             | CUSIP: 05491UBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $994771.50     | 0.01%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT1776 FR 03/49 FIXED 3.5                 | CUSIP: 3132AD6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1374513 | PA      | $1286426.79    | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2008-2R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2008 2R 1A1 144A          | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      290802 | PA      | $252186.31     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                                   | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A                   | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     4900000 | PA      | $4926601.66    | 0.07%             | 2036-04-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260224                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $30230.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-48711.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 783425 G2 09/26 FIXED 3                        | CUSIP: 36241LYW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1213 | PA      | $1207.77       | 0.00%             | 2026-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BZ4074 FN 04/32 FIXED 5.33                        | CUSIP: 3140NYQ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1176000 | PA      | $1235063.29    | 0.02%             | 2032-04-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 944066 FN 07/37 FIXED 6.5                         | CUSIP: 31413FJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1466 | PA      | $1486.50       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM16 TRUST                                                          | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM16 A1 144A             | CUSIP: 67120GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5317212 | PA      | $5359139.05    | 0.08%             | 2064-10-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                               | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                     | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1801436 | PA      | $1694351.16    | 0.02%             | 2037-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                     | COREBRIDGE GLOB FUNDING SECURED 144A 12/28 VAR              | CUSIP: 00138CBL1<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     6700000 | PA      | $6714126.35    | 0.10%             | 2028-12-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $14300.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-891.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 03/32 2.7                     | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2428301.51    | 0.04%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3545                                                              | FREDDIE MAC FHR 3545 AO                                     | CUSIP: 31398E3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7987 | PA      | $6836.45       | 0.00%             | 2039-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745632 FN 03/36 FIXED VAR                         | CUSIP: 31403DLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2443 | PA      | $2414.97       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 735329 FN 11/33 FIXED VAR                         | CUSIP: 31402Q4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12494 | PA      | $12566.38      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 1A1                   | CUSIP: 126694WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      404328 | PA      | $377317.53     | 0.01%             | 2036-03-20      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-57148.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US LOGISTICS FUND LP                                        | PROLOGIS TARGETED US COMPANY GUAR 144A 04/29 5.25           | CUSIP: 74350LAA2<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4535275.93    | 0.07%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6 JUMBOS                                  | CUSIP: 21H060622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    95104500 | PA      | $96861704.00   | 1.41%             | 2056-02-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97897 FG 12/27 FIXED 5.5                 | CUSIP: 3128E4X23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2379 | PA      | $2414.44       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A        | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1928929.16    | 0.03%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779081 GN 04/27 FIXED 3                           | CUSIP: 36176XJ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62160 | PA      | $61778.81      | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6.38         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                   | COBANK ACB JR SUBORDINA 12/99 VAR                           | CUSIP: 19075QAF9<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |    10000000 | NS      | $10312600.00   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-131                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 131 PZ              | CUSIP: 38377XL59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44662 | PA      | $44549.73      | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                          | EDISON INTERNATIONAL SR UNSECURED 06/27 5.75                | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1782100.51    | 0.03%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/33 VAR                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     6800000 | PA      | $7144815.49    | 0.10%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2024-2                                                 | OPORTUN FUNDING LLC OPTN 2024 2 A 144A                      | CUSIP: 68377KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       45793 | PA      | $45798.23      | 0.00%             | 2032-02-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                             | MARS INC SR UNSECURED 144A 03/35 5.2                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2827535.43    | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-FM2                                                          | GSAMP TRUST GSAMP 2004 FM2 M1                               | CUSIP: 36228FN28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      651270 | PA      | $674591.15     | 0.01%             | 2034-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256260 FN 04/36 FIXED 5.5                         | CUSIP: 31371MTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10682 | PA      | $10812.27      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q04911 FG 12/41 FIXED 3.5                 | CUSIP: 3132GLDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1006 | PA      | $969.40        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-406098.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 07/26 3.95               | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $996532.99     | 0.01%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC 2025-2A                                                 | SWITCH ABS ISSUER, LLC SWTCH 2025 2A A21 144A               | CUSIP: 871044AS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12500000 | PA      | $12501392.50   | 0.18%             | 2055-10-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2018-1                               | CASTLELAKE AIRCRAFT STRUCTURED CLAST 2018 1 A 144A          | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      205560 | PA      | $203521.40     | 0.00%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q01045 FG 05/41 FIXED 4.5                 | CUSIP: 3132GEES5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      438363 | PA      | $439944.65     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345               | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     2800000 | PA      | $2764088.66    | 0.04%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $20884.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                       | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A              | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5600000 | PA      | $5604200.00    | 0.08%             | 2034-08-16      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A             | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1600000 | PA      | $1735571.84    | 0.03%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $5924556.12    | 0.09%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 C 144A           | CUSIP: 69544NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6899411 | PA      | $6940266.43    | 0.10%             | 2032-07-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8                  | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1775226.19    | 0.03%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.58600 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $112826.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 A3D           | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3217231 | PA      | $3174532.76    | 0.05%             | 2036-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 918828 FN 04/37 FIXED 5.5                         | CUSIP: 31411YYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47040 | PA      | $47519.78      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                        | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3            | CUSIP: 04541GUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      980281 | PA      | $997933.96     | 0.01%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-18                                                     | FANNIE MAE FNR 2013 18 MZ                                   | CUSIP: 3136ACXR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         744 | PA      | $669.97        | 0.00%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $81700.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A        | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $1961481.40    | 0.03%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255966 FN 10/35 FIXED 5.5                         | CUSIP: 31371MJK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         296 | PA      | $297.20        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/43 3.875                                 | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   318300000 | PA      | $286451350.80  | 4.18%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 11/30 4.875                | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     2650000 | PA      | $2653563.91    | 0.04%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004489 G2 07/39 FIXED 5                        | CUSIP: 36202E7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19571 | PA      | $19681.11      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C                | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6420000 | PA      | $5748620.15    | 0.08%             | 2037-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                         | VALE OVERSEAS LIMITED COMPANY GUAR 06/54 6.4                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     4000000 | PA      | $4086000.00    | 0.06%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                       | FREDDIE MAC FHR 5564 PF                                     | CUSIP: 3137HMDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6083823 | PA      | $6114852.13    | 0.09%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                           | CHENIERE ENERGY INC SR UNSECURED 04/34 5.65                 | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3113537.43    | 0.05%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 02/35 4.78              | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5121645.31    | 0.07%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004284 G2 11/38 FIXED 5.5                      | CUSIP: 36202EXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5861 | PA      | $5919.49       | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $10023.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3            | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B            | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5397637 | PA      | $3790679.00    | 0.06%             | 2037-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                        | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A             | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5650000 | PA      | $5646154.16    | 0.08%             | 2034-10-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A          | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2228769 | PA      | $2270189.51    | 0.03%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $20275.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V19 MORTGAGE TRUST                                             | BENCHMARK MORTGAGE TRUST BMARK 2025 V19 A3                  | CUSIP: 08164DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6719840.40    | 0.10%             | 2058-01-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                  | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784067 G2 10/45 FIXED 4                        | CUSIP: 3622A2QU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4510085 | PA      | $4340503.47    | 0.06%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31490 FG 01/38 FIXED 5                   | CUSIP: 31281BUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28111 | PA      | $28923.17      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | 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        |        4676 | PA      | $4080.33       | 0.00%             | 2035-11-25      | Floating      | 4.12%                 | 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      | $46067.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3342.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85000 08/05/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-40959.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2399820.00    | 0.04%             | 2027-01-07      | Floating      | 16.84%                | No            |                  2 | On Loan: No      |
| HANDSHAKE RE LTD                                                              | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR                   | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250303.78     | 0.00%             | 2030-01-08      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1084 FN 11/53 FIXED 6.5                         | CUSIP: 3140A1F28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7941321 | PA      | $8259943.46    | 0.12%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                        | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A          | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      240467 | PA      | $241507.99     | 0.00%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5                 | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28539827 | PA      | $29031982.77   | 0.42%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/27 6.259                      | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1334398.75    | 0.02%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                                    | AIR CANADA SR SECURED 144A 08/26 3.875                      | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |     1000000 | PA      | $995804.00     | 0.01%             | 2026-08-15      | Fixed         | 3.88%                 | 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        |    10450000 | PA      | $10719513.13   | 0.16%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLDINGS LLC                                                 | FREEDOM MORTGAGE HOLD SR UNSECURED 144A 04/32 8.375         | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6425982.84    | 0.09%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                                   | NATIONAL FOOTBALL LEAGUE 12YR OCT SR SEC                    | CUSIP: 990ABCUQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1515820.43    | 0.02%             | 2037-10-05      | Fixed         | 5.42%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0928 G2 04/43 FIXED 4                        | CUSIP: 36179NA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60064 | PA      | $57674.17      | 0.00%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORPORATION                                                   | ARES MANAGEMENT CORP ARES MANAGEMENT CORP                   | CUSIP: 03990BAA9<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6351880.56    | 0.09%             | 2028-11-10      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                                  | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                     | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2800000 | PA      | $2800577.56    | 0.04%             | 2034-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/44 3.125                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   206100000 | PA      | $163189336.97  | 2.38%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3              | CUSIP: 759950GV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13819589 | PA      | $5873615.74    | 0.09%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-120                                                           | FANNIE MAE FNR 2005 120 PB                                  | CUSIP: 31394VJR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9682 | PA      | $10285.34      | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2            | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1739644 | PA      | $1598665.93    | 0.02%             | 2037-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7           | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300049 | PA      | $155019.20     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                                 | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                     | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     4000000 | NS      | $3931840.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)                                 | FLEX LTD SR UNSECURED 01/32 5.25                            | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     2100000 | PA      | $2141452.78    | 0.03%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/28 VAR                       | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    19500000 | PA      | $20265147.44   | 0.30%             | 2028-10-18      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 931375 FN 06/39 FIXED 4.5                         | CUSIP: 31412PXC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12098 | PA      | $12197.67      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A         | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600000 | PA      | $583300.68     | 0.01%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                          | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4            | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3085009 | PA      | $3055177.23    | 0.04%             | 2035-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91176 FG 05/28 FIXED 5.5                 | CUSIP: 3128P7JV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6038 | PA      | $6129.91       | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2005-RP1                             | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 RP1 1F 144A       | CUSIP: 74927UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1026040 | PA      | $944985.96     | 0.01%             | 2034-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                      | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                       | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2800000 | PA      | $2799357.12    | 0.04%             | 2034-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE0214 FN 01/47 FIXED 3.5                         | CUSIP: 3140FKGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      497140 | PA      | $471399.76     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE3009 FN 12/46 FIXED 4                           | CUSIP: 3140FNKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      477691 | PA      | $463627.72     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $4697.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $15221.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                                                         | COUSINS PROPERTIES LP COMPANY GUAR 07/30 5.25               | CUSIP: 222793AC5<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3286803.26    | 0.05%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31311 FG 08/36 FIXED 5.5                 | CUSIP: 31281BN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1162 | PA      | $1212.00       | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                                       | FREDDIE MAC FHR 4165 KZ                                     | CUSIP: 3137AYRT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         219 | PA      | $146.47        | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                              | LAZARD GROUP LLC COMPANY GUAR 08/35 5.625                   | CUSIP: 52107QAM7<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4511697.17    | 0.07%             | 2035-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260203                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-15262.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                           | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                    | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1301823.48    | 0.02%             | 2035-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3               | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1128327 | PA      | $1204599.35    | 0.02%             | 2037-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 879922 FN 11/35 FIXED 5                           | CUSIP: 31409VSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1838 | PA      | $1850.62       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                 | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3         | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      577440 | PA      | $552812.46     | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A        | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7533764 | PA      | $7478073.38    | 0.11%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $99683.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F070617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9900000 | PA      | $-10419311.63  | -0.15%            | 2055-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                              | ROMARK CLO LTD RMRK 2021 5A BR 144A                         | CUSIP: 77588PAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4250000 | PA      | $4260625.00    | 0.06%             | 2035-01-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                     | BANCO BILBAO VIZCAYA ARG SR UNSECURED 03/29 5.381           | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     6000000 | PA      | $6226735.38    | 0.09%             | 2029-03-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 65559CAA9<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     5600000 | PA      | $5668661.60    | 0.08%             | 2026-03-26      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.28000 09/16/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $350398.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                    | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A                   | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6300000 | PA      | $6311460.14    | 0.09%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2007-41                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 41 PC               | CUSIP: 38375KXH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3815 | PA      | $3945.04       | 0.00%             | 2037-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING SECURED 144A 02/26 5.684              | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7816303.40    | 0.11%             | 2026-02-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 11/40 12.75                      | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 53831000000 | PA      | $13976235.43   | 0.20%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.67900 08/13/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $39957.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A2 144A        | CUSIP: 85573EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217422 | PA      | $209249.32     | 0.00%             | 2055-11-25      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $44178.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM4                                     | JP MORGAN MORTGAGE TRUST JPMMT 2025 NQM4 A1 144A            | CUSIP: 46660HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1953535 | PA      | $1956429.26    | 0.03%             | 2066-03-25      | Variable      | 4.95%                 | 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        |     6000000 | PA      | $6000000.00    | 0.09%             | 2048-04-11      | Floating      | 5.12%                 | No            |                  3 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A            | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4443331 | PA      | $4395846.64    | 0.06%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                             | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A             | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2272946 | PA      | $2367943.33    | 0.03%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260311                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1703.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $18902.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31476 FG 12/37 FIXED 5                   | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5330 | PA      | $5471.56       | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                      | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A1 144A        | CUSIP: 68269HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10200000 | PA      | $10410134.28   | 0.15%             | 2036-09-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| TRUST 2401                                                                    | TRUST 2401 SR UNSECURED 144A 01/44 6.95                     | CUSIP: 89834MAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      300000 | PA      | $313702.50     | 0.00%             | 2044-01-30      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2934.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 06/48 6                     | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6310370.43    | 0.09%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-16571.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 09/34 5.625            | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1827681.05    | 0.03%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-37613.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005166 G2 09/26 FIXED 3                        | CUSIP: 36202FW36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31794 | PA      | $31632.46      | 0.00%             | 2026-09-20      | Fixed         | 3.00%                 | 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        |     5700000 | PA      | $5717868.53    | 0.08%             | 2034-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR2                                                          | GSAMP TRUST GSAMP 2004 AR2 M5                               | CUSIP: 36242DDT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4885393 | PA      | $4286879.92    | 0.06%             | 2034-08-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783451 GN 10/26 FIXED 3                           | CUSIP: 36241LZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15218 | PA      | $15149.23      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A          | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1432815 | PA      | $1431888.80    | 0.02%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 11/30 VAR                        | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $4478830.46    | 0.07%             | 2030-11-05      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                    | NETAPP INC SR UNSECURED 03/35 5.7                           | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1679139.97    | 0.02%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q30148 FG 12/44 FIXED 4                   | CUSIP: 3132QLEW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      593117 | PA      | $579482.93     | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | 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        |     5368760 | PA      | $5432689.62    | 0.08%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      415000 | PA      | $411157.49     | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55800 08/21/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $58529.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1328.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5353 FN 05/54 FIXED 5.5                         | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46190493 | PA      | $46897837.48   | 0.68%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                                     | FANNIE MAE FNR 2025 69 FD                                   | CUSIP: 3136BWB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48386306 | PA      | $48617796.27   | 0.71%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V19 MORTGAGE TRUST                                             | BENCHMARK MORTGAGE TRUST BMARK 2025 V19 A2                  | CUSIP: 08164DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6587794.20    | 0.10%             | 2058-01-15      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -89500000 | PA      | $-89269258.26  | -1.30%            | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PREFERRED AND CAPITAL SE PIMCO PREF AND CAP SEC ACT   | CUSIP: 72201R619<br>LEI: 549300XBG0GWIQBZLV45 | Long             | EC               | RF                | US        |      413237 | NS      | $21285837.87   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-67500.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5             | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3189505 | PA      | $2871083.32    | 0.04%             | 2047-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $12576.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A                              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2024 1A A 144A           | CUSIP: 76088YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      194119 | PA      | $195126.00     | 0.00%             | 2032-06-25      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-34                                                     | FANNIE MAE FNR 2006 34 SK                                   | CUSIP: 31395DPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      478756 | PA      | $52605.74      | 0.00%             | 2036-05-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-4                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3               | CUSIP: 9497EMAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      906688 | PA      | $906333.09     | 0.01%             | 2035-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE COMPANY                                                | PACIFIC LIFE INSURANCE C SUBORDINATED 144A 06/39 9.25       | CUSIP: 694475AA2<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $6806201.45    | 0.10%             | 2039-06-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST REF MORT 04/47 4                    | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     2950000 | PA      | $2215187.80    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-93                                                     | FANNIE MAE FNR 2007 93 ZB                                   | CUSIP: 31396XWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118019 | PA      | $117151.16     | 0.00%             | 2037-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                              | SAXON ASSET SECURITIES TRUST SAST 2004 3 M5                 | CUSIP: 805564QZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1772862 | PA      | $1461519.66    | 0.02%             | 2034-12-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                                   | SAMMONS FINANCIAL GROUP SR UNSECURED 144A 04/34 6.875       | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |    10240000 | PA      | $11237839.56   | 0.16%             | 2034-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                     | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     2000000 | PA      | $1854753.40    | 0.03%             | 2031-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                                      | SCE RECOVERY FUNDING LLC SR SECURED 03/47 5.341             | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7519666.05    | 0.11%             | 2047-03-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AV8867 FN 11/44 FIXED 4.5                         | CUSIP: 3138XLZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      190388 | PA      | $190173.36     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260206                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-64304.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888412 FN 04/37 FIXED VAR                         | CUSIP: 31410GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6491 | PA      | $6628.48       | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3405.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375           | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $2827139.52    | 0.04%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214     | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     7050000 | PA      | $5162220.80    | 0.08%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/49 FIXED 4.875     | CUSIP: 88880LAW3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     3305000 | PA      | $3137709.49    | 0.05%             | 2049-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3 JUMBOS                                  | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20000000 | PA      | $17974218.80   | 0.26%             | 2055-01-15      | Fixed         | 3.00%                 | 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        |      335627 | PA      | $337549.91     | 0.00%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1             | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2498626 | PA      | $2386540.43    | 0.03%             | 2035-12-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02265 FG 07/41 FIXED 4.5                 | CUSIP: 3132GFQS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      116023 | PA      | $116629.37     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8476 FR 11/54 FIXED 6                   | CUSIP: 3132DWMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39357970 | PA      | $40436945.73   | 0.59%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q03759 FG 10/41 FIXED 3.5                 | CUSIP: 3132GJZY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         672 | PA      | $641.60        | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH1 M6            | CUSIP: 17307G2T4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1780000 | PA      | $1794306.04    | 0.03%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9200000 | PA      | $7806334.32    | 0.11%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $3317.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8431 FR 05/54 FIXED 5.5                 | CUSIP: 3132DWLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    87160720 | PA      | $88495470.07   | 1.29%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL K00042 FG 07/37 FIXED 6.5                 | CUSIP: 31301ABK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2536 | PA      | $2690.06       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                              | PUGET ENERGY INC SR SECURED 03/32 4.224                     | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2884280.55    | 0.04%             | 2032-03-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD5297 FR 04/54 FIXED 6                   | CUSIP: 3132DS3E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1100332 | PA      | $1144759.34    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260323                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-5873.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G2603 FH 10/36 FLOATING VAR              | CUSIP: 3128QS3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         167 | PA      | $172.07        | 0.00%             | 2036-10-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $8469.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C03449 FG 03/40 FIXED 4                   | CUSIP: 31292KZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         120 | PA      | $118.09        | 0.00%             | 2040-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6676 FN 07/53 FIXED 6                           | CUSIP: 3140QSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      885285 | PA      | $922758.92     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                                       | SOUTH BOW USA INFRA HLDS COMPANY GUAR 10/34 5.584           | CUSIP: 83007CAF9<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3738481.37    | 0.05%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                       | REACH FINANCIAL LLC REACH 2024 2A B 144A                    | CUSIP: 75525HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1500000 | PA      | $1522509.60    | 0.02%             | 2031-07-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889388 FN 03/38 FIXED VAR                         | CUSIP: 31410KCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17780 | PA      | $18604.31      | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                             | CI FINANCIAL CORP COMPANY GUAR 144A 12/31 4.625             | CUSIP: ACI379J02<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     6200000 | PA      | $7343582.57    | 0.11%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-C39                                                 | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 C39 A5            | CUSIP: 05556YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7800000 | PA      | $8057336.04    | 0.12%             | 2058-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2023-3A                              | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 3A A 144A         | CUSIP: 05377RGU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $5062129.00    | 0.07%             | 2028-02-22      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-98                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 98 FX               | CUSIP: 38381NPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48863030 | PA      | $49127427.35   | 0.72%             | 2055-06-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 08/28 VAR              | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10071879.20   | 0.15%             | 2028-08-23      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 11/32 5.2                  | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3604271.72    | 0.05%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-583.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08877 FG 05/49 FIXED 4                   | CUSIP: 3128MJ6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      273013 | PA      | $263832.64     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA SR UNSECURED 144A 06/35 VAR                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     3050000 | PA      | $3252281.67    | 0.05%             | 2035-06-15      | Floating      | 6.04%                 | No            |                  2 | 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        |     6409326 | PA      | $6598358.09    | 0.10%             | 2053-12-01      | Fixed         | 6.00%                 | 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        |    21250000 | PA      | $21586554.10   | 0.32%             | 2033-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 627130 G2 03/34 FIXED 5                        | CUSIP: 36291FVX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      122788 | PA      | $122367.95     | 0.00%             | 2034-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    79900000 | PA      | $83047806.72   | 1.21%             | 2055-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3            | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3315036 | PA      | $3230860.06    | 0.05%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                        | BROOKFIELD FINANCE INC BROOKFIELD FINANCE INC               | CUSIP: 11271LAK8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     8300000 | PA      | $9030573.47    | 0.13%             | 2034-01-05      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260326                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $651.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $17688.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF13                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2C            | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2858744 | PA      | $1896047.31    | 0.03%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -66827750 | PA      | $-66907999.00  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                        | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 B 144A           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2232990 | PA      | $2284297.02    | 0.03%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A                           | AASET 2021 2 TRUST AASET 2021 2A A 144A                     | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1945704 | PA      | $1848154.88    | 0.03%             | 2047-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     5000000 | PA      | $4760019.50    | 0.07%             | 2029-03-01      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AY5622 FN 06/45 FIXED 3.5                         | CUSIP: 3138YKG80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21760216 | PA      | $20682299.82   | 0.30%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                             | MARS INC SR UNSECURED 144A 03/32 5                          | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2835562.46    | 0.04%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35            | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $731128.46     | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004553 G2 10/39 FIXED 4.5                      | CUSIP: 36202FBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104313 | PA      | $103073.87     | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3              | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      661992 | PA      | $203825.77     | 0.00%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q45705 FG 01/47 FIXED 4                   | CUSIP: 3132WKKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      574243 | PA      | $557992.01     | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 08/33 VAR                    | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     4200000 | PA      | $4353501.85    | 0.06%             | 2033-08-11      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004462 G2 06/39 FIXED 5                        | CUSIP: 36202E5X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24539 | PA      | $24676.87      | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $45398.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260318                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                            | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A             | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2996566.50    | 0.04%             | 2029-08-16      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $17330.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES 2025-FL4                               | GREYSTONE COMMERCIAL REAL ESTA GSTNE 2025 FL4 A 144A        | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7350000 | PA      | $7368114.96    | 0.11%             | 2043-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 968312 FN 02/38 FIXED 4.5                         | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5715 | PA      | $5782.12       | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004311 G2 12/38 FIXED 6.5                      | CUSIP: 36202EYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11234 | PA      | $11230.43      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $703.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2665                                                              | FREDDIE MAC FHR 2665 LL                                     | CUSIP: 31394GYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15000 | PA      | $15627.26      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUE CROSS AND BLUE SHIELD OF FLORIDA                                         | BLUE CROSS BLU SHIELD FL SR UNSEC 4A2                       | CUSIP: 958BHKII8<br>LEI: CY3CIREO3HYBKXC2HK74 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3801440.16    | 0.06%             | 2030-09-30      | Fixed         | 4.85%                 | Yes           |                  3 | On Loan: No      |
| AMERICAN AIRLINES 2025-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLINE 25 1A PTT PASS THRU CE 11/39 4.9               | CUSIP: 02377NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5177525.08    | 0.08%             | 2039-11-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 932584 FN 12/35 FIXED 5                           | CUSIP: 31412RCV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      225863 | PA      | $226851.95     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A               | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2124933 | PA      | $2041939.63    | 0.03%             | 2037-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6              | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |     1251615 | PA      | $1260464.38    | 0.02%             | 2030-06-24      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A        | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2800000 | PA      | $2808041.32    | 0.04%             | 2037-07-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31313 FG 09/36 FIXED 5.5                 | CUSIP: 31281BN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12087 | PA      | $12591.00      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260224                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $29631.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $40002.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-3                                                 | GSAA HOME EQUITY TRUST GSAA 2007 3 A4A                      | CUSIP: 3622EAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2639795 | PA      | $891661.52     | 0.01%             | 2047-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                            | ALLY FINANCIAL INC SR UNSECURED 07/35 VAR                   | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2333166.48    | 0.03%             | 2035-07-26      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 04/31 2.8               | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2100000 | PA      | $1890473.13    | 0.03%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| TEXAS-NEW MEXICO POWER COMPANY                                                | TEXAS NEW MEXICO PR 1ST MTGE                                | CUSIP: 957JLAII9<br>LEI: V016JWFUGDNVD05M7E74 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7573010.25    | 0.11%             | 2030-07-31      | Fixed         | 4.83%                 | Yes           |                  3 | On Loan: No      |
| CROSS 2025-H8 MORTGAGE TRUST 2025-H8                                          | CROSS MORTGAGE TRUST CROSS 2025 H8 A1 144A                  | CUSIP: 22757XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      965160 | PA      | $967750.92     | 0.01%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0375 G2 09/27 FIXED 3                        | CUSIP: 36179MMY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11913 | PA      | $11821.39      | 0.00%             | 2027-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-11841.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A8            | CUSIP: 74922EAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1031519 | PA      | $850057.54     | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $24677.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORPORATION                                                   | PROTECTIVE LIFE CORP SR UNSECURED 144A 01/31 4.7            | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |    10950000 | PA      | $11003732.75   | 0.16%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                  | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      562130 | PA      | $385943.73     | 0.01%             | 2036-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 01/26 3.4                  | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1899300.31    | 0.03%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-WF4                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M5             | CUSIP: 86359DLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2915423 | PA      | $3003528.28    | 0.04%             | 2035-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.00000 12/17/25-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-5661306.77   | -0.08%            |  |  |  | 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        |     9528266 | PA      | $9522541.90    | 0.14%             | 2062-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0853 FN 09/41 FIXED 4.5                         | CUSIP: 31417Y5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95688 | PA      | $94036.37      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                                | URSA RE II LTD UNSECURED 144A 06/28 VAR                     | CUSIP: 91734PAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      500000 | PA      | $500000.00     | 0.01%             | 2028-06-07      | Floating      | 11.61%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-9946.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/32 VAR                       | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1525337.67    | 0.02%             | 2032-10-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2564.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                                   | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                     | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5800000 | PA      | $5805594.56    | 0.08%             | 2035-01-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004593 G2 12/39 FIXED 5                        | CUSIP: 36202FC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26353 | PA      | $26500.95      | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1              | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2587744 | PA      | $2224823.56    | 0.03%             | 2046-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                             | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A             | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17210525 | PA      | $17284199.95   | 0.25%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 3A1A                  | CUSIP: 126694VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      381411 | PA      | $342456.67     | 0.01%             | 2036-02-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | HARDWOOD FUNDING LLC CORP0HRF2                              | CUSIP: 955NUGII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1534209.56    | 0.02%             | 2032-06-07      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AJ0738 GN 07/29 FIXED 3                           | CUSIP: 36182UZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29737 | PA      | $29281.65      | 0.00%             | 2029-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-15587.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/32 4.15                   | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1958880.82    | 0.03%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260227                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $21426.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MSCI INC                                                                      | MSCI INC COMPANY GUAR 144A 02/31 3.875                      | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96100.47      | 0.00%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL J39776 FG 10/33 FIXED 3.5                 | CUSIP: 31307W2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40837 | PA      | $40603.08      | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR19                                                              | BANK5 BANK5 2025 5YR19 A2                                   | CUSIP: 05494RBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8100000 | PA      | $8213920.02    | 0.12%             | 2058-12-15      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A4                                | RESIDENTIAL ASSET SECURITIZATI RAST 2004 A4 A11             | CUSIP: 45660NK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1010120 | PA      | $980016.05     | 0.01%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                                              | LSEG US FIN CORP LSEG US FIN CORP                           | CUSIP: 50222CAB6<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1550139.12    | 0.02%             | 2034-03-28      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR                  | CUSIP: 096003AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2000000 | PA      | $2044400.00    | 0.03%             | 2031-01-08      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 10/29 5.3              | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4542570.78    | 0.07%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1471.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/29 5.55              | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3306243.26    | 0.05%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5388 FN 06/54 FIXED 5.5                         | CUSIP: 31418E7A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   112342483 | PA      | $114057119.91  | 1.67%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                   | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   163225315 | PA      | $170639093.76  | 2.49%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004709 G2 06/40 FIXED 4.5                      | CUSIP: 36202FGS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      204351 | PA      | $201923.75     | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004796 G2 09/40 FIXED 4.5                      | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17320 | PA      | $17114.59      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-7116.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITADEL LIMITED PARTNERSHIP                                                   | CITADEL LP SR UNSECURED 144A 01/32 6.375                    | CUSIP: 17288XAC8<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4247631.12    | 0.06%             | 2032-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                              | LPL HOLDINGS INC COMPANY GUAR 11/28 6.75                    | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5338065.85    | 0.08%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2025-B                                              | AQUA FINANCE TRUST AQFIT 2025 B A 144A                      | CUSIP: 03837GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1946770 | PA      | $1961923.26    | 0.03%             | 2051-05-17      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                              | LPL HOLDINGS INC COMPANY GUAR 06/30 5.15                    | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4489447.29    | 0.07%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260318                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $14.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783793 GN 07/28 FIXED 3                           | CUSIP: 3622A2GA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      460280 | PA      | $456767.43     | 0.01%             | 2028-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745323 FN 09/34 FIXED VAR                         | CUSIP: 31403DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6168 | PA      | $6261.31       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.40750 09/05/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $124364.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-8979.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL BA5040 GN 06/47 FIXED 4                           | CUSIP: 3617AHS59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1659870 | PA      | $1590171.36    | 0.02%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $8584.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-20611.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/28 VAR               | CUSIP: 606822CN2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     2500000 | PA      | $2557757.10    | 0.04%             | 2028-09-13      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2                 | CUSIP: 61744CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3775417 | PA      | $3700966.68    | 0.05%             | 2035-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-01-08      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q35222 FG 08/45 FIXED 4                   | CUSIP: 3132QRYU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1517322 | PA      | $1477364.74    | 0.02%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 09/30 4.5              | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     4550000 | PA      | $4504510.06    | 0.07%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1A LTD                                                              | SLAM LLC SLAM 2025 1A A 144A                                | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5693582 | PA      | $5848549.60    | 0.09%             | 2050-05-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                           | ONCOR ELECTRIC SERIES H 5.15                                | CUSIP: 955TTGII8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $12277021.44   | 0.18%             | 2029-05-01      | Fixed         | 5.15%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC1904 FN 02/46 FIXED 4                           | CUSIP: 3140EWDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17245 | PA      | $16673.02      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4404288.15    | 0.06%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                | OFSI FUND LTD OFSBS 2021 10A AR 144A                        | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3004141.80    | 0.04%             | 2034-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51240 FG 01/37 FIXED 6.5                 | CUSIP: 3128C6LV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8646 | PA      | $8676.06       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5191 FN 11/53 FIXED 6                           | CUSIP: 31418EXV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24398887 | PA      | $25112320.62   | 0.37%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NMI HOLDINGS INC                                                              | NMI HOLDINGS SR UNSECURED 08/29 6                           | CUSIP: 629209AC1<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4665285.00    | 0.07%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC JR SUBORDINA 12/99 VAR             | CUSIP: 21871XAU3<br>LEI: 549300XY1661QCIA7J65 | Long             | EP               | CORP              | US        |     6500000 | NS      | $6687070.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA3329 FN 08/55 FIXED VAR                         | CUSIP: 3140W3VX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18125923 | PA      | $18964722.59   | 0.28%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 462402 FN 12/28 FLOATING VAR                      | CUSIP: 31381JU34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79468 | PA      | $79278.03      | 0.00%             | 2028-12-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65                 | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2988411.63    | 0.04%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                     | HA SUSTAINABLE INF CAP COMPANY GUAR 07/34 6.375             | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2547846.03    | 0.04%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                     | INVITATION HOMES OP COMPANY GUAR 08/30 5.45                 | CUSIP: 46188BAE2<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5206408.10    | 0.08%             | 2030-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UPG HI ISSUER TRUST 2025-2                                                    | UPG HI ISSUER TRUST UPGHI 2025 2 A 144A                     | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6900000 | PA      | $6902000.31    | 0.10%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD5631 FR 06/54 FIXED 6                   | CUSIP: 3132DTHG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18264054 | PA      | $19071963.92   | 0.28%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS SEC INC 2004-HE2                                             | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE2 M1            | CUSIP: 07384YQY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1542712 | PA      | $1645621.72    | 0.02%             | 2034-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-12                                            | VERUS SECURITIZATION TRUST VERUS 2025 12 A1FC 144A          | CUSIP: 92490FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3600000 | PA      | $3607381.80    | 0.05%             | 2070-12-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC3943 FN 01/40 FIXED 4                           | CUSIP: 31417NLZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12066 | PA      | $11813.87      | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A             | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2143255 | PA      | $2155759.30    | 0.03%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                                       | BOOZ ALLEN HAMILTON INC COMPANY GUAR 04/35 5.95             | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2695523.35    | 0.04%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A        | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2085059 | PA      | $2052501.89    | 0.03%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-2                                                 | SLM STUDENT LOAN TRUST SLMA 2008 2 A3                       | CUSIP: 784442AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       76877 | PA      | $76880.20      | 0.00%             | 2049-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 845233 FN 12/35 FIXED 5                           | CUSIP: 31408ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1401 | PA      | $1401.23       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004673 G2 04/40 FIXED 4.5                      | CUSIP: 36202FFN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      210845 | PA      | $208339.87     | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 08/32 5.4                  | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5189798.45    | 0.08%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $123721.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                                 | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                     | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3052847 | PA      | $2864311.41    | 0.04%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-185677.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.28013 12/02/24-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1015338.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL 2022-1A                                              | VB S1 ISSUER LLC VBTEL 2022 1A C2II 144A                    | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2400000 | PA      | $2198183.28    | 0.03%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A90710 FG 01/40 FIXED 4.5                 | CUSIP: 312938YF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      183139 | PA      | $184954.22     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   449590500 | PA      | $438548130.21  | 6.40%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                                  | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A          | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2631078 | PA      | $2641044.15    | 0.04%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31067 FG 02/45 FIXED 4                   | CUSIP: 3132QMFH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      586920 | PA      | $571428.36     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91187 FG 06/28 FIXED 5.5                 | CUSIP: 3128P7J87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1623 | PA      | $1647.97       | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                                   | NATIONAL FOOTBALL LEAGUE 12YR JUL SR SEC                    | CUSIP: 957IHJII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      600000 | PA      | $606824.80     | 0.01%             | 2037-10-05      | Fixed         | 5.42%                 | Yes           |                  3 | On Loan: No      |
| FREDDIE MAC 3117                                                              | FREDDIE MAC FHR 3117 EO                                     | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4393 | PA      | $3949.69       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | 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        |     4400000 | PA      | $4400070.53    | 0.06%             | 2034-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0316 FN 12/49 FIXED 4.5                         | CUSIP: 31417YK63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36214 | PA      | $35651.88      | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7190.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004674 G2 04/40 FIXED 5                        | CUSIP: 36202FFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7451 | PA      | $7546.81       | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HOLDINGS LIMITED                                              | ASPEN INSURANCE HLDG LTD SR UNSECURED 07/30 5.75            | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |     3300000 | PA      | $3442973.99    | 0.05%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                         | TIME WARNER CABLE LLC SR SECURED 05/37 6.55                 | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      600000 | PA      | $613011.73     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G30399 FG 06/28 FIXED 5.5                 | CUSIP: 3128CUNQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         481 | PA      | $487.85        | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 5.3         | CUSIP: 65480CAG0<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1402904.08    | 0.02%             | 2027-09-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-380.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1              | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1001401 | PA      | $980030.61     | 0.01%             | 2034-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45            | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     7934000 | PA      | $7828340.38    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-17240.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260102                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $34246.38      | 0.00%             |  |  |  | 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        |     2600000 | PA      | $2599405.17    | 0.04%             | 2036-07-17      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51310 FG 08/37 FIXED 6                   | CUSIP: 3128C6N39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7724 | PA      | $7903.36       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 746364 FN 09/33 FIXED 4                           | CUSIP: 31403EFD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11583 | PA      | $11426.05      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 03/54 6.35              | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     2000000 | PA      | $2079039.94    | 0.03%             | 2054-03-22      | Fixed         | 6.35%                 | 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        |     2500000 | PA      | $2937999.97    | 0.04%             | 2039-01-23      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB1465 FN 09/40 FIXED 4.5                         | CUSIP: 31416WTX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6234 | PA      | $6289.69       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD 2020-86A                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2020 86A A1R2 144A            | CUSIP: 26245XAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1300000 | PA      | $1300248.66    | 0.02%             | 2034-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260129                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $442621.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $5284.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A        | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $3209295.36    | 0.05%             | 2042-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 08/31 2.4             | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1573242.77    | 0.02%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                            | CNO GLOBAL FUNDING SECURED 144A 09/29 4.95                  | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     3700000 | PA      | $3761111.01    | 0.05%             | 2029-09-09      | Fixed         | 4.95%                 | 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        |     1000000 | PA      | $1176219.24    | 0.02%             | 2037-05-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                             | AG TRUST AG 2024 NLP A 144A                                 | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3278643 | PA      | $3300644.88    | 0.05%             | 2041-08-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 763863 FN 08/34 FIXED 5.5                         | CUSIP: 31404BTU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8209 | PA      | $8272.67       | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-83893.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1020.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260302                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $52272.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5                 | CUSIP: 3132DWH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38489191 | PA      | $39161799.93   | 0.57%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORPORATION                                                  | BLUE OWL CAPITAL CORP SR UNSECURED 03/29 5.95               | CUSIP: 69121KAH7<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2018952.62    | 0.03%             | 2029-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/54 6.858                      | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $2022981.07    | 0.03%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                      | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5             | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     5150000 | PA      | $5215601.58    | 0.08%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                                               | NGPL PIPECO LLC SR UNSECURED 144A 07/31 3.25                | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1382316.86    | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08882 FG 06/49 FIXED 4                   | CUSIP: 3128MJ6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      763875 | PA      | $737951.73     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                               | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $264375.00     | 0.00%             | 2032-01-07      | Floating      | 12.09%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3                | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60668 | PA      | $62073.60      | 0.00%             | 2035-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4532.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-18529.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91020 FG 03/27 FIXED 5.5                 | CUSIP: 3128P7DZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         371 | PA      | $376.45        | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-19838.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $313095.00     | 0.00%             | 2032-06-07      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                            | ALLY FINANCIAL INC SR UNSECURED 01/30 VAR                   | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3290412.14    | 0.05%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A           | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1981335 | PA      | $1616980.95    | 0.02%             | 2036-12-19      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                                            | SLM STUDENT LOAN TRUST SLMA 2006 B A5                       | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1418679 | PA      | $1385873.82    | 0.02%             | 2039-12-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-38252.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                      | ARES CAPITAL CORP SR UNSECURED 03/29 5.875                  | CUSIP: 04010LBF9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3078422.34    | 0.04%             | 2029-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MAPLE GROVE FUNDING TRUST I                                                   | MAPLE GROVE FUNDING TR I SR UNSECURED 144A 08/51 4.161      | CUSIP: 565130AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5500000 | PA      | $3880468.52    | 0.06%             | 2051-08-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8402 FR 02/54 FIXED 6                   | CUSIP: 3132DWKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32004740 | PA      | $32908468.14   | 0.48%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2134.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                        | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                      | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $300718.99     | 0.00%             | 2027-07-08      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| UPGRADE AUTO RECEIVABLES TRUST 25-1A                                          | UPGRADE AUTO RECEIVABLES TRUST UPGA 2025 1A A3 144A         | CUSIP: 91531AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8600000 | PA      | $8623830.60    | 0.13%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A      | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $90500.00      | 0.00%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                             | CHESAPEAKE FUNDING II LLC CFII 2024 1A A2 144A              | CUSIP: 165183DJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2569988 | PA      | $2572493.48    | 0.04%             | 2036-05-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31493 FG 02/38 FIXED 5                   | CUSIP: 31281BUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12449 | PA      | $12827.65      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS LLC                                                    | KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4          | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $5848625.40    | 0.09%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | CORP0HRG0 HRDFDG 5.33 06/09/35                              | CUSIP: 957HXRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      700000 | PA      | $719336.12     | 0.01%             | 2035-06-07      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1265 G2 09/28 FIXED 3                        | CUSIP: 36179NMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3812 | PA      | $3765.68       | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94185 FG 10/40 FIXED 4                   | CUSIP: 312942UJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1604 | PA      | $1548.23       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A1 144A                           | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      864141 | PA      | $827035.91     | 0.01%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004364 G2 02/39 FIXED 6                        | CUSIP: 36202EZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29521 | PA      | $29733.52      | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBAL HOLDINGS LLC                                        | CITADEL SECURITIES GLOBA SR SECURED 144A 06/30 5.5          | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2567482.73    | 0.04%             | 2030-06-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2526737 | PA      | $2283585.94    | 0.03%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| UPGRADE AUTO RECEIVABLES TRUST 25-1A                                          | UPGRADE AUTO RECEIVABLES TRUST UPGA 2025 1A A2 144A         | CUSIP: 91531AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17300000 | PA      | $17322600.72   | 0.25%             | 2029-05-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-102                                                    | FANNIE MAE FNR 2012 102 HS                                  | CUSIP: 3136A8RK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16794906 | PA      | $2528814.08    | 0.04%             | 2042-09-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP            | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5             | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1433597.20    | 0.02%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 11/34 4.4               | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4344058.71    | 0.06%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260205                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $434.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LASALLE STREET LENDING CLO I LTD 2023-1A       | NEUBERGER BERMAN LOAN ADVISERS NEUBL 2023 1A A1R 144A       | CUSIP: 640977AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     6500000 | PA      | $6507896.33    | 0.10%             | 2036-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC (FIN) COMPANY                                                 | GLOBAL ATLANTIC FIN CO COMPANY GUAR 144A 10/29 4.4          | CUSIP: 37959GAA5<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2955930.93    | 0.04%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE7182 FN 03/47 FIXED 3.5                         | CUSIP: 3140FS6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1555622 | PA      | $1475252.54    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 04/35 5.7                   | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1346359.07    | 0.02%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP)                   | HANOVER INSURANCE GROUP SR UNSECURED 09/35 5.5              | CUSIP: 410867AH8<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2340024.14    | 0.03%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $34404.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/36 VAR                       | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    16160000 | PA      | $16972769.30   | 0.25%             | 2036-04-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                               | SKYMILES IP LTD 2025 REPRICED TERM LOAN B                   | CUSIP: 24736CBT0<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |     1352218 | PA      | $1365908.84    | 0.02%             | 2028-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1666.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A            | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      665039 | PA      | $647167.34     | 0.01%             | 2035-03-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C8 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2024 5C8 A3                          | CUSIP: 09661XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $3542007.80    | 0.05%             | 2057-12-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                      | LEHMAN XS TRUST LXS 2006 16N A4A                            | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2202138 | PA      | $1989646.58    | 0.03%             | 2046-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-53249.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $5844.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $24442.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1             | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1643551 | PA      | $1599041.50    | 0.02%             | 2037-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005276 G2 01/27 FIXED 3                        | CUSIP: 36202F2H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      303139 | PA      | $301404.35     | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1107.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 929863 FN 08/38 FIXED 5.5                         | CUSIP: 31412NB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11891 | PA      | $11983.89      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | 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        |     9950702 | PA      | $10065720.50   | 0.15%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SL0874 FR 03/55 FIXED 6                   | CUSIP: 31427M6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8896148 | PA      | $9308732.34    | 0.14%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                | WINSTON RE LTD UNSECURED 144A 02/31 VAR                     | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     4000000 | PA      | $4239200.00    | 0.06%             | 2031-02-26      | Floating      | 15.31%                | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR                  | CUSIP: 096003AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2000000 | PA      | $2074000.00    | 0.03%             | 2031-01-08      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260318                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $98877.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/44 8.75                   | CUSIP: BPXR8CII6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    57786000 | PA      | $3359264.88    | 0.05%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-5071.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                              | NEW YORK NY NYC 02/45 FIXED 6.291                           | CUSIP: 64966SNH5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     4180000 | PA      | $4395181.80    | 0.06%             | 2045-02-01      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AD8911 GN 04/28 FIXED 3                           | CUSIP: 36180M3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119493 | PA      | $118326.72     | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                                     | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A                    | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8300000 | PA      | $8335272.34    | 0.12%             | 2037-07-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $25.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3              | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1628936.94    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-97                                                            | FANNIE MAE FNR 2005 97 DZ                                   | CUSIP: 31394UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20813 | PA      | $20708.52      | 0.00%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889528 FN 05/38 FIXED VAR                         | CUSIP: 31410KHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1629 | PA      | $1700.50       | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A9                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A9 A3              | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16635 | PA      | $15342.18      | 0.00%             | 2033-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-50                                                            | FANNIE MAE FNR 2006 50 JO                                   | CUSIP: 31395DUD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4820 | PA      | $4221.82       | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                        | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 12/30 4.8          | CUSIP: 79587J2E2<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5114543.36    | 0.07%             | 2030-12-12      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004691 G2 05/40 FIXED 4.5                      | CUSIP: 36202FF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         954 | PA      | $949.75        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLAM 2024-1A LTD                                                              | SLAM LLC SLAM 2024 1A A 144A                                | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2667177 | PA      | $2707004.73    | 0.04%             | 2049-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                             | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A          | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2237458.77    | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                           | SAXON ASSET SECURITIES TRUST SAST 2005 1 M3                 | CUSIP: 805564RP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      594588 | PA      | $501198.61     | 0.01%             | 2035-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A           | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4000071.52    | 0.06%             | 2034-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A4             | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6128775 | PA      | $5168940.08    | 0.08%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                              | FREDDIE MAC FHR 2614 SJ                                     | CUSIP: 31393QNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15079 | PA      | $17344.83      | 0.00%             | 2033-05-15      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| MINNESOTA HOUSING FINANCE AGENCY                                              | MINNESOTA ST HSG FIN AGY MNSHSG 01/34 FIXED 5.532           | CUSIP: 60416T8E1<br>LEI: 549300R89XDTQBK4GE22 | Long             | DBT              | MUN               | US        |     5000000 | PA      | $5172847.50    | 0.08%             | 2034-01-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A         | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7440000 | PA      | $7446803.95    | 0.11%             | 2034-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                   | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                     | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3001354.14    | 0.04%             | 2034-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 2022-27A LTD                                                         | AMERICAN MONEY MANAGEMENT CORP AMMC 2022 27A A1R 144A       | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1400000 | PA      | $1399524.78    | 0.02%             | 2037-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260226                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4465.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-383.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                                  | MMIFS RE LTD SECURED 144A 01/33 VAR                         | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $182607.19     | 0.00%             | 2033-01-10      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                                | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A2           | CUSIP: 05494NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $7036545.60    | 0.10%             | 2058-09-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 778776 GN 01/27 FIXED 3                           | CUSIP: 36176W6M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      161055 | PA      | $160219.88     | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                    | VMWARE LLC SR UNSECURED 08/31 2.2                           | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2000210.87    | 0.03%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-19404.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                                | URSA RE II LTD UNSECURED 144A 12/29 VAR                     | CUSIP: 91734PAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.00%             | 2029-12-07      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SR SECURED 144A 01/29 5.5           | CUSIP: 36143L2L8<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3085378.38    | 0.05%             | 2029-01-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-11801.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-NCM2                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 NCM2 2CB1          | CUSIP: 17307GHA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      835159 | PA      | $846031.72     | 0.01%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A1             | CUSIP: 32027NWK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157098 | PA      | $154587.54     | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65                 | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      350000 | PA      | $298399.45     | 0.00%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                       | COMM MORTGAGE TRUST COMM 2016 667M A 144A                   | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2340000 | PA      | $2237390.77    | 0.03%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26609500 | PA      | $25980891.81   | 0.38%             | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004512 G2 08/39 FIXED 4.5                      | CUSIP: 36202FAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62790 | PA      | $62043.91      | 0.00%             | 2039-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A           | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      269549 | PA      | $270516.71     | 0.00%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-5N                                                       | LEHMAN XS TRUST LXS 2005 5N 3A1B                            | CUSIP: 86359DUS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         959 | PA      | $956.11        | 0.00%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                          | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR            | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      500000 | PA      | $499847.40     | 0.01%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                    | CDW LLC/CDW FINANCE COMPANY GUAR 08/34 5.55                 | CUSIP: 12513GBL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2651561.56    | 0.04%             | 2034-08-22      | Fixed         | 5.55%                 | 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      | $158667.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT MAR26 XCBT 20260320                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -1411 | NC      | $1670148.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 04/34 6.25                | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $4023482.81    | 0.06%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0250 FN 11/39 FIXED 5                           | CUSIP: 31417YH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26204 | PA      | $26278.14      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005227 G2 11/26 FIXED 3                        | CUSIP: 36202FYY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111915 | PA      | $111313.15     | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV ING GROEP NV                                   | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    10000000 | PA      | $10317995.30   | 0.15%             | 2030-03-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 778779 GN 01/27 FIXED 3                           | CUSIP: 36176W6Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76470 | PA      | $76029.09      | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                   | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $302143.92     | 0.00%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2020-3A                                         | ECMC GROUP STUDENT LOAN TRUST ECMC 2020 3A A1B 144A         | CUSIP: 26833BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2302737 | PA      | $2310141.81    | 0.03%             | 2070-01-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2025-INV4                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 INV4 A1 144A       | CUSIP: 26846DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      981209 | PA      | $984659.29     | 0.01%             | 2070-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                               | PFP III PFP 2024 11 A 144A                                  | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     3240853 | PA      | $3251076.05    | 0.05%             | 2039-09-17      | Floating      | 5.61%                 | 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        |     5000000 | PA      | $5001691.00    | 0.07%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                           | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $311700.00     | 0.00%             | 2033-04-10      | Floating      | 13.33%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260108                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $34966.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                                  | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A                   | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8900000 | PA      | $8945760.69    | 0.13%             | 2037-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM1 A2B            | CUSIP: 59020U5D3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11786792 | PA      | $1250312.20    | 0.02%             | 2037-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14453.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                   | GARTNER INC SR UNSECURED 03/31 4.95                         | CUSIP: 366651AJ6<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     5170000 | PA      | $5204868.65    | 0.08%             | 2031-03-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS1                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A             | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1122883 | PA      | $1105015.23    | 0.02%             | 2059-07-25      | Fixed         | 2.75%                 | 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        |     2600000 | PA      | $2616294.20    | 0.04%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5038 FN 06/53 FIXED 5                           | CUSIP: 31418ES43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68225923 | PA      | $68406957.98   | 1.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $70424.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                      | PRUDENTIAL FINANCIAL INC JR SUBORDINA 03/54 VAR             | CUSIP: 744320BP6<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2960942.66    | 0.04%             | 2054-03-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO CIBC                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -6670375 | PA      | $-6682025.92   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 03/29 5.75       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     3000000 | PA      | $3105608.40    | 0.05%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5                   | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18104031 | PA      | $18131532.54   | 0.26%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $8272.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3467 FN 09/48 FIXED 4                           | CUSIP: 31418CZ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1113405 | PA      | $1071973.82    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                                 | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A         | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2935586 | PA      | $2972810.97    | 0.04%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0594 FN 10/40 FIXED 4.5                         | CUSIP: 31417YUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79631 | PA      | $79389.13      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $501.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4600000 | PA      | $4590594.01    | 0.07%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-8                                             | VERUS SECURITIZATION TRUST VERUS 2021 8 A1 144A             | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2138680 | PA      | $1987665.73    | 0.03%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| CLECO POWER LLC                                                               | CLECO POWER LLC SR UNSECURED 144A 01/36 5.3                 | CUSIP: 185508AJ7<br>LEI: TM1ZH54SJKLNHFCBFK92 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1515516.00    | 0.02%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/26 1.653                | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     3000000 | PA      | $2963432.10    | 0.04%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 357175 FN 12/31 FIXED 5.5                         | CUSIP: 31376JXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24851 | PA      | $24965.10      | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | 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        |     2400000 | PA      | $2400043.92    | 0.04%             | 2034-10-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2                               | GM FINANCIAL REVOLVING RECEIVA GMREV 2023 2 A 144A          | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3600000 | PA      | $3781551.60    | 0.06%             | 2036-08-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888738 FN 10/37 FIXED VAR                         | CUSIP: 31410GLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51537 | PA      | $54947.25      | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                                            | SANTOS FINANCE LTD COMPANY GUAR 144A 11/35 5.75             | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |     8150000 | PA      | $8109338.02    | 0.12%             | 2035-11-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS ISSUER LLC 2025-1A                                       | VANTAGE DATA CENTERS LLC VDC 2025 1A A2 144A                | CUSIP: 92212KAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $5346679.32    | 0.08%             | 2055-08-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR UNSECURED 10/29 3.75                 | CUSIP: 247361ZT8<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3330145.13    | 0.05%             | 2029-10-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                          | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR             | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3109670.76    | 0.05%             | 2028-01-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| OAKTREE STRATEGIC CREDIT FUND                                                 | OAKTREE STRATEGIC CREDIT SR UNSECURED 07/29 6.5             | CUSIP: 67403AAE9<br>LEI: 2549006RRE0JC7G43241 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1339795.61    | 0.02%             | 2029-07-23      | Fixed         | 6.50%                 | 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        |    12000000 | PA      | $12238080.00   | 0.18%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-14                                                            | FANNIE MAE FNR 2001 14 Z                                    | CUSIP: 31359SWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3512 | PA      | $3621.30       | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260302                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $54137.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/29 4                      | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1992135.88    | 0.03%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $17710.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                                      | SCE RECOVERY FUNDING LLC SR SECURED 03/36 4.453             | CUSIP: 78433LAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7528569.30    | 0.11%             | 2036-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $7484.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                              | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2000000 | PA      | $2143000.00    | 0.03%             | 2026-06-08      | Floating      | 20.81%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004488 G2 07/39 FIXED 4.5                      | CUSIP: 36202E6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12961 | PA      | $12845.37      | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                              | KILROY REALTY LP COMPANY GUAR 02/30 3.05                    | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1862452.18    | 0.03%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95            | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6025458.24    | 0.09%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                   | COBANK ACB JR SUBORDINA 12/99 VAR                           | CUSIP: 19075QAD4<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |     1700000 | NS      | $1668975.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AZ5730 FN 09/45 FIXED 3.5                         | CUSIP: 3138YXLL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1146034 | PA      | $1082765.25    | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $13581.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                      | FANNIE MAE FNR 2013 6 JZ                                    | CUSIP: 3136ABN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          46 | PA      | $32.16         | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 993203 FN 06/39 FIXED 4.5                         | CUSIP: 31415YKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18923 | PA      | $18975.76      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | 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      | $39662.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GE CAPITAL FUNDING LLC                                                        | GE CAPITAL FUNDING LLC COMPANY GUAR 05/32 4.55              | CUSIP: 36166NAK9<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1515977.94    | 0.02%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1973.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-14743.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $2540.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260303                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-210156.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2004-26                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 26 ED               | CUSIP: 38374F3T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12697 | PA      | $12762.15      | 0.00%             | 2034-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A1                  | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4898201 | PA      | $2524030.30    | 0.04%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION                                                   | ONEMAIN FINANCE CORP COMPANY GUAR 01/28 6.625               | CUSIP: 85172FAQ2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1338467.00    | 0.02%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1           | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      533402 | PA      | $530803.99     | 0.01%             | 2035-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/30 4.9             | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1619384.00    | 0.02%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR7                                                               | BANK5 BANK5 2024 5YR7 A2                                    | CUSIP: 06211UBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4300000 | PA      | $4484619.21    | 0.07%             | 2057-06-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   435700000 | PA      | $447413236.80  | 6.53%             | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-19A LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 19A B 144A         | CUSIP: 03331VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $4991106.85    | 0.07%             | 2040-10-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                            | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A             | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7500000 | PA      | $7502971.50    | 0.11%             | 2028-10-16      | Floating      | 5.32%                 | 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        |     6530164 | PA      | $5886822.38    | 0.09%             | 2047-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| TEXAS-NEW MEXICO POWER COMPANY                                                | TEXAS NEW MEXICO PR 1ST MTGE                                | CUSIP: 990AAAQJ8<br>LEI: V016JWFUGDNVD05M7E74 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5070735.75    | 0.07%             | 2032-07-31      | Fixed         | 5.12%                 | Yes           |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                                     | FANNIE MAE FNR 2025 69 FB                                   | CUSIP: 3136BWC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24139338 | PA      | $24254719.21   | 0.35%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A          | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7532037 | PA      | $7533671.83    | 0.11%             | 2037-02-19      | Floating      | 5.08%                 | 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        |     5484605 | PA      | $5634933.60    | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-48613.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/29 5.1             | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     2700000 | PA      | $2761194.37    | 0.04%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| KKR CLO 27 LTD                                                                | KKR FINANCIAL CLO LTD KKR 27A A1R2 144A                     | CUSIP: 48253YBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000004.60    | 0.01%             | 2035-01-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BD6487 FN 09/46 FIXED 4                           | CUSIP: 3140FEF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      538016 | PA      | $522879.49     | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 1A2 144A        | CUSIP: 05990TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5023304 | PA      | $4851471.89    | 0.07%             | 2036-08-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                             | AIRCASTLE LTD COMPANY GUAR 144A 02/29 5.95                  | CUSIP: 00928QAY7<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     5000000 | PA      | $5209841.10    | 0.08%             | 2029-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIVERSITY                                                            | CORNELL UNIVERSITY SR UNSECURED 06/30 4.169                 | CUSIP: 219207AD9<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4020393.36    | 0.06%             | 2030-06-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 10/35 6.384             | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2272420.81    | 0.03%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                   | PEACEHEALTH OBLIGATED GR SR UNSECURED 11/32 4.855           | CUSIP: 70462GAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2018798.58    | 0.03%             | 2032-11-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 02/33 5.25             | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2310216.60    | 0.03%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM1 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM1 A1 144A              | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4031895 | PA      | $4022339.92    | 0.06%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004216 G2 08/38 FIXED 6                        | CUSIP: 36202EVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9972 | PA      | $10058.68      | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2540.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC5864 FN 05/40 FIXED 4                           | CUSIP: 31417SQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4191 | PA      | $4130.05       | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A           | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2356258 | PA      | $2110806.24    | 0.03%             | 2038-01-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                     | FANNIE MAE FNR 2011 17 PG                                   | CUSIP: 31397QC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1990 | PA      | $1987.34       | 0.00%             | 2041-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 688058 G2 08/38 FIXED 4.5                      | CUSIP: 36296DMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46070 | PA      | $45846.76      | 0.00%             | 2038-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59900 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $44233.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                                         | GOLUB CAPITAL BDC SR UNSECURED 07/29 6                      | CUSIP: 38173MAE2<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6137041.44    | 0.09%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3                  | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8527 | PA      | $8194.89       | 0.00%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP4 A1 144A        | CUSIP: 17292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11866929 | PA      | $11214553.83   | 0.16%             | 2062-10-25      | Fixed         | 3.38%                 | 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        |     2610000 | PA      | $2608840.85    | 0.04%             | 2036-10-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                              | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A4                    | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      756500 | PA      | $704452.65     | 0.01%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91206 FG 08/28 FIXED 5.5                 | CUSIP: 3128P7KT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5663 | PA      | $5749.48       | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 04/29 VAR                        | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2998546.02    | 0.04%             | 2029-04-23      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                          | ACRES PLC ACRES 2025 FL3 A 144A                             | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     7900000 | PA      | $7916242.80    | 0.12%             | 2040-08-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR                  | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $6601584.24    | 0.10%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $49535.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A           | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430875 | PA      | $410433.32     | 0.01%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260121                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $20623.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 04/64 6          | CUSIP: 268317BB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     4000000 | PA      | $3941952.64    | 0.06%             | 2064-04-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1045 FN 10/53 FIXED 6.5                         | CUSIP: 3140A1ET0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6627082 | PA      | $6893977.95    | 0.10%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-42.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A          | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      672843 | PA      | $678821.33     | 0.01%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                                     | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR                  | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |      300000 | PA      | $352560.00     | 0.01%             | 2031-01-07      | Floating      | 14.61%                | No            |                  3 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260116                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-39878.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV JR SUBORDINA 12/99 VAR                         | CUSIP: 456837AY9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $584859.00     | 0.01%             | 2027-05-16      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5614 FN 02/55 FIXED 5.5                         | CUSIP: 31418FGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    93840365 | PA      | $95224666.12   | 1.39%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER II LLC 2025-1A                                                | DATABANK ISSUER II, LLC HYPER 2025 1A A2 144A               | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4934763.50    | 0.07%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-5RA                                        | NOMURA RESECURITIZATION TRUST NMRR 2010 5RA 1A7 144A        | CUSIP: 65539GBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1799208 | PA      | $726131.03     | 0.01%             | 2037-10-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-3                                               | BEAR STEARNS ALT A TRUST BALTA 2004 3 A1                    | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4247 | PA      | $4225.55       | 0.00%             | 2034-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-V4 MORTGAGE TRUST                                              | BENCHMARK MORTGAGE TRUST BMARK 2023 V4 A3                   | CUSIP: 081926AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6700000 | PA      | $7097532.44    | 0.10%             | 2056-11-15      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1             | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2559122 | PA      | $824765.94     | 0.01%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2             | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159250 | PA      | $157843.32     | 0.00%             | 2035-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.64300 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $29174.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                           | PARALLEL LTD PARL 2021 1A AR 144A                           | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4100000 | PA      | $4092453.87    | 0.06%             | 2034-07-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005123 G2 07/41 FIXED 4.5                      | CUSIP: 36202FVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43092 | PA      | $42302.31      | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 10/29 6.35               | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $6025632.59    | 0.09%             | 2029-10-23      | Fixed         | 6.35%                 | 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        |     1000000 | PA      | $895591.10     | 0.01%             | 2038-07-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AK6081 FN 02/42 FIXED 4                           | CUSIP: 3138EAXK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30560 | PA      | $30482.67      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON CO                                                              | TOLEDO EDISON COMPANY 1ST MORTGAGE 144A 05/28 2.65          | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2918000 | PA      | $2778111.08    | 0.04%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260114                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-82842.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                    | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A                 | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1500000.00    | 0.02%             | 2036-01-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55500 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $59293.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $7116.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A           | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      319186 | PA      | $287243.04     | 0.00%             | 2046-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 929080 FN 01/38 FIXED 5                           | CUSIP: 31412MFV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45561 | PA      | $45116.60      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     2684000 | PA      | $2602834.61    | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260318                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $19752.48      | 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      | $11037.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784295 G2 03/47 FIXED 3.5                      | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6197129 | PA      | $5708447.21    | 0.08%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7               | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2958771.76    | 0.04%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-14730.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260219                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-8850.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4503.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M3               | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      702127 | PA      | $700918.96     | 0.01%             | 2035-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL3453 FN 09/37 FIXED VAR                         | CUSIP: 3138EKZT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      322881 | PA      | $334052.88     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A2            | CUSIP: 17309RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340386 | PA      | $325660.47     | 0.00%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                    | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9        | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4776593.71    | 0.07%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0456 G2 10/42 FIXED 3.5                      | CUSIP: 36179MQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121527 | PA      | $109925.93     | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | 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        |     3300000 | PA      | $2805021.78    | 0.04%             | 2036-06-01      | Fixed         | 3.49%                 | 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      | $-236405.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES           | FORD AUTO SECURITIZATION TRUST FASTR 2024 AA A2 144A        | CUSIP: 345214BJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     1988250 | PA      | $1467406.24    | 0.02%             | 2028-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260122                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-13628.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                          | JACKSON NATL LIFE GLOBAL SECURED 144A 09/28 VAR             | CUSIP: 46849CJS1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $15052189.80   | 0.22%             | 2028-09-12      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/31 6.05            | CUSIP: 345397E25<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5143411.50    | 0.08%             | 2031-03-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8366 FR 10/53 FIXED 5                   | CUSIP: 3132DWJK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   156721034 | PA      | $156837895.69  | 2.29%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)MAR26 XCBT 20260320                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        4887 | NC      | $-2279210.70   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91115 FG 11/27 FIXED 5.5                 | CUSIP: 3128P7GY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         658 | PA      | $667.98        | 0.00%             | 2027-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                      | AMERICAN HOMES 4 RENT SR UNSECURED 02/34 5.5                | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1760354.62    | 0.03%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260126                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-320491.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5                 | CUSIP: 3133KR3D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      845979 | PA      | $828084.53     | 0.01%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1B 144A          | CUSIP: 78450XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      984824 | PA      | $987350.00     | 0.01%             | 2056-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer