# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004496
**Filing Date:** 2025-11
**Character Count:** 341982
**Document Hash:** 0a64aba3a3c3e1fd3428e5133ff610d4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004496.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004496

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528347

**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 StocksPLUS Short Fund (Series ID: S000009706)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026642 | Institutional | PSTIX           |
| C000031215 | A             | PSSAX           |
| C000031217 | C             | PSSCX           |
| C000064154 | I-2           | PSPLX           |
| C000200451 | I-3           | PSNNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO StocksPLUS Short Fund

- **b. EDGAR series identifier (if any):** S000009706

- **c. LEI of Series:** P42MUQ6KRRELZQZE1595

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $237021697.42

**Total Liabilities:** $137014670.39

**Net Assets:** $100007027.03

**Delayed Delivery Securities:** $1227142.50

**Cash Not Reported:** $4942320.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4667.455900 | **1-Year:** 14187.631300 | **5-Year:** 16165.642400 | **10-Year:** 213.778800 | **30-Year:** 0.000000

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

- **3-Month:** 8.757100 | **1-Year:** 1801.412300 | **5-Year:** 8251.035800 | **10-Year:** 1662.485000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000031215 | -1.53%               | -0.78%               | -2.66%               |
| Class ID C000031217 | -1.66%               | -0.68%               | -2.73%               |
| Class ID C000064154 | -1.75%               | -0.59%               | -2.68%               |
| Class ID C000200451 | -1.61%               | -0.74%               | -2.70%               |
| Class ID C000026642 | -1.59%               | -0.59%               | -2.67%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $186827.19               | $-569125.91                                |
| Month 2  | $331177.16               | $509552.11                                 |
| Month 3  | $243334.91               | $154735.10                                 |

**Designated Index Information**

- **Index Name:** S&P 500 Index

- **Index Identifier:** SPTR

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA PASS THRU POOLS                                 | FNMA POOL 920077 FN 12/36 FIXED 5.5                     | CUSIP: 31412BFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109404 | PA      | $113230.08    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                   | VICI PROPERTIES LP SR UNSECURED 02/28 4.75              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100861.14    | 0.10%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1        | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17108 | PA      | $16319.90     | 0.02%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AE2919 FN 08/40 FIXED 5.5                     | CUSIP: 31419DG54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4806 | PA      | $4895.08      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-192936.06   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                      | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2         | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70949 | PA      | $67667.46     | 0.07%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5         | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2000000 | PA      | $106707.59    | 0.11%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -50 | NC      | $-5573.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 946254 FN 09/37 FIXED 6                       | CUSIP: 31413HWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4110 | PA      | $4333.52      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1402.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 675181 GN 03/38 FIXED 5                       | CUSIP: 36295NCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    149574 | PA      | $153481.31    | 0.15%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AO3526 FN 04/39 FIXED 4.5                     | CUSIP: 3138LT4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3734 | PA      | $3735.59      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 966578 FN 02/38 FIXED 6                       | CUSIP: 31414HJX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16028 | PA      | $16766.14     | 0.02%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 872787 FN 06/36 FIXED 5.5                     | CUSIP: 31409JUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       601 | PA      | $625.72       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 682705 FN 01/33 FIXED 5.5                     | CUSIP: 31400BNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       362 | PA      | $364.65       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST LOAN SECURITIZATION TRUST 2007-1           | EQUIFIRST LOAN SECURITIZATION EQLS 2007 1 A1 144A       | CUSIP: 29445UAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    574306 | PA      | $535842.40    | 0.54%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $510.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888301 FN 09/36 FIXED VAR                     | CUSIP: 31410F3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14194 | PA      | $14574.19     | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UABUA2 PIMCO SWAPTION 3.907 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2900000 | NC      | $1297.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1660.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A36784 FG 09/35 FIXED 5               | CUSIP: 31297SRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1245 | PA      | $1275.67      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $36.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888227 FN 11/25 FIXED VAR                     | CUSIP: 31410FYY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $5.99         | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-146.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $12.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12420 | PA      | $12929.60     | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A          | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6407 | PA      | $6304.75      | 0.01%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD0198 FN 09/38 FIXED VAR                     | CUSIP: 31418MGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $256.85       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $517.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 904605 FN 11/36 FIXED 6                       | CUSIP: 31411DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1952 | PA      | $2034.35      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1676.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888820 FN 07/37 FIXED VAR                     | CUSIP: 31410GPD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87583 | PA      | $91179.44     | 0.09%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $92.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPTR TRS EQUITY SOFR+67.5 BOA                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-700468.96   | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A39333 FG 10/35 FIXED 5               | CUSIP: 31297VLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1599 | PA      | $1641.94      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-301077.44   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                       | ARGENT SECURITIES INC. ARSI 2006 W3 A2C                 | CUSIP: 040104SR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898416 | PA      | $281619.00    | 0.28%             | 2036-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR          | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3560 | PA      | $3681.78      | 0.00%             | 2035-06-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2960000 | PA      | $-2494250.22  | -2.49%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       949 | PA      | $913.51       | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 836362 FN 10/35 FIXED 5.5                     | CUSIP: 31407PFB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19068 | PA      | $19849.72     | 0.02%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 905334 FN 12/36 FIXED 6                       | CUSIP: 31411DY78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115 | PA      | $118.01       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG       | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |   1078000 | PA      | $140140.00    | 0.14%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $17.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-9910.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 05/07/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $680.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-8932.48     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 995482 FN 01/39 FIXED VAR                     | CUSIP: 31416B2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3055 | PA      | $3170.88      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS MXN TIIE1/9.00000 12/24/24-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-28571.94    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL0525 FN 04/37 FIXED VAR                     | CUSIP: 3138EGSP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9962 | PA      | $10327.76     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 754744 FN 11/33 FIXED 5.5                     | CUSIP: 31403QP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2644 | PA      | $2666.66      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    489000 | PA      | $487407.18    | 0.49%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 13.2914 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-887.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CRB SECURITIZATION TRUST 2023-1                      | CRB SECURITIZATION TRUST CRB 2023 1 A 144A              | CUSIP: 12670DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32702 | PA      | $32752.57     | 0.03%             | 2033-10-20      | Fixed         | 6.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 760393 GN 10/41 FIXED 5                       | CUSIP: 36176ARN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60675 | PA      | $60892.29     | 0.06%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $1063.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -800000 | NC      | $-523.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPTR TRS EQUITY FEDL01+78 JPM                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-33902.47    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPTR TRS EQUITY FEDL01+82 FAR                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-18094.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $3130.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   8300000 | PA      | $455908.86    | 0.46%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3419.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $94.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240000 | PA      | $210843.28    | 0.21%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-0.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 357639 FN 11/34 FIXED 5.5                     | CUSIP: 31376KHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $604.91       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 637882 GN 04/35 FIXED 5                       | CUSIP: 36291TUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28382 | PA      | $29087.50     | 0.03%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.80902 12/02/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $61271.38     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $20919.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       126 | NC      | $-14119.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 988580 FN 08/38 FIXED 6                       | CUSIP: 31415TFV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $775.79       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 688141 GN 12/38 FIXED 5                       | CUSIP: 36296DP28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39086 | PA      | $39233.45     | 0.04%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $2114.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RK89 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -280000 | NC      | $-512.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                   | FANNIE MAE FNR 2007 96 AF                               | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    220584 | PA      | $221040.89    | 0.22%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 692479 GN 04/39 FIXED 5                       | CUSIP: 36296JJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6186 | PA      | $6319.36      | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-827.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-117785.55   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 819567 FN 04/35 FIXED 5.5                     | CUSIP: 31406TQU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4391 | PA      | $4571.39      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-50.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE2                         | ACE SECURITIES CORP. ACE 2005 HE2 M5                    | CUSIP: 004421MG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513365 | PA      | $506718.82    | 0.51%             | 2035-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1586000 | PA      | $1582441.19   | 1.58%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G04668 FG 03/38 FIXED 5               | CUSIP: 3128M6QV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16623 | PA      | $17073.52     | 0.02%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A  | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129862 | PA      | $130735.97    | 0.13%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    420000 | PA      | $415059.57    | 0.42%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 988588 FN 08/38 FIXED 5.5                     | CUSIP: 31415TF54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10652 | PA      | $11037.63     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $869.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    400000 | NC      | $26506.64     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AX2488 FN 10/44 FIXED 4                       | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48010 | PA      | $47037.61     | 0.05%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3249.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3              | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M3           | CUSIP: 00764MFT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1132109.03   | 1.13%             | 2035-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 773068 FN 03/34 FIXED 5.5                     | CUSIP: 31404MZ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       329 | PA      | $340.05       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 905588 FN 12/36 FIXED 5.5                     | CUSIP: 31411ECZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $55.68        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.85400 12/29/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1667.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-541.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 884863 FN 04/36 FIXED 5.5                     | CUSIP: 31410CB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58 | PA      | $59.29        | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.00000 06/20/24-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-549.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $317.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL3223 FN 09/41 FIXED VAR                     | CUSIP: 3138EKSM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101854 | PA      | $105746.98    | 0.11%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-11.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 754031 FN 12/33 FLOATING VAR                  | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2574 | PA      | $2631.16      | 0.00%             | 2033-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $312.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A3       | CUSIP: 02150JAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282615 | PA      | $533340.92    | 0.53%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $650.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $296.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3996.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2552.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $15.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1616.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST2           | UPSTART PASS THROUGH TRUST UPSPT 2022 ST2 A 144A        | CUSIP: 91680UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11520 | PA      | $11507.01     | 0.01%             | 2030-04-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-805.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 992302 FN 01/39 FIXED 5.5                     | CUSIP: 31415XKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11070 | PA      | $11440.76     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-507.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256597 FN 02/37 FIXED 5.5                     | CUSIP: 31371M7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $133.15       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A72047 FG 01/38 FIXED 5               | CUSIP: 3128L5HY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25501 | PA      | $26191.01     | 0.03%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 932035 FN 03/38 FIXED 6                       | CUSIP: 31412QPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1280 | PA      | $1349.52      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3443.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1       | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093194 | PA      | $971246.90    | 0.97%             | 2036-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05250 FG 03/38 FIXED 5               | CUSIP: 3128M7EX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20901 | PA      | $21466.08     | 0.02%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-20.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $321.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -8 | NC      | $-5511.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A83067 FG 11/38 FIXED 5               | CUSIP: 312929MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5282 | PA      | $5422.08      | 0.01%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A          | CUSIP: 41161QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642756 | PA      | $328453.03    | 0.33%             | 2036-06-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-873.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9487 | PA      | $8735.82      | 0.01%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-370.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $112.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194594 | PA      | $194903.89    | 0.19%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 920078 FN 12/36 FIXED 5.5                     | CUSIP: 31412BFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3875 | PA      | $4033.99      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $177.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2550000 | PA      | $2403024.27   | 2.40%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3310000 | PA      | $3112115.32   | 3.11%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 698340 GN 05/39 FIXED 5                       | CUSIP: 36296QZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11714 | PA      | $12020.08     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 735961 FN 09/35 FLOATING VAR                  | CUSIP: 31402RTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3635 | PA      | $3655.14      | 0.00%             | 2035-09-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                 | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1       | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149632 | PA      | $146162.54    | 0.15%             | 2036-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  64800000 | NC      | $262271.52    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $411.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL1572 FN 09/36 FIXED VAR                     | CUSIP: 3138EHXA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12464 | PA      | $12605.28     | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G02869 FG 11/35 FIXED 5               | CUSIP: 3128M4QW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31274 | PA      | $32074.43     | 0.03%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6400000 | PA      | $-5846285.63  | -5.85%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $646.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAM6A5 PIMCO SWAPTION 3.758 PUT USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $4446.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AB3105 FN 05/41 FIXED 4.5                     | CUSIP: 31416YNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82467 | PA      | $82417.11     | 0.08%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 11 2A1        | CUSIP: 07387AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1894 | PA      | $1950.99      | 0.00%             | 2035-12-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $856.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 704699 GN 09/39 FIXED 5                       | CUSIP: 36296X3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17674 | PA      | $18155.89     | 0.02%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $43.03        | 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      | $2738.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-42.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $18.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-10203.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL RJ2091 FR 04/54 FIXED 5.5             | CUSIP: 3142GSKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    499252 | PA      | $504417.57    | 0.50%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3              | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212440 | PA      | $186119.93    | 0.19%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 672595 GN 02/38 FIXED 5                       | CUSIP: 36295KGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       291 | PA      | $295.48       | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.88000 01/13/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1684.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17080 | PA      | $17780.32     | 0.02%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 950299 FN 08/37 FIXED 5.5                     | CUSIP: 31413NGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4938 | PA      | $5054.10      | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 838630 FN 10/35 FIXED 4.5                     | CUSIP: 31407RVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       545 | PA      | $549.34       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4207.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 761893 FN 01/34 FIXED 5.5                     | CUSIP: 31403YNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9840 | PA      | $9936.36      | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 831286 FN 02/36 FIXED 6                       | CUSIP: 31407HRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11301 | PA      | $11874.03     | 0.01%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $336.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8254.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A        | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50503 | PA      | $45343.60     | 0.05%             | 2036-12-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $80.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $279.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1354 | PA      | $1277.66      | 0.00%             | 2034-11-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL C91308 FG 06/30 FIXED 5               | CUSIP: 3128P7NZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11628 | PA      | $11801.42     | 0.01%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 701603 GN 02/39 FIXED 5                       | CUSIP: 36296UNU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98488 | PA      | $101061.77    | 0.10%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05409 FG 03/39 FIXED 5.5             | CUSIP: 3128M7KW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1708 | PA      | $1776.47      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $163.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 735896 FN 09/35 FIXED VAR                     | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7876 | PA      | $8300.44      | 0.01%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A5         | CUSIP: 16162YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128799 | PA      | $51842.54     | 0.05%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $1024.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $3789.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $21.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 686678 GN 05/38 FIXED 5                       | CUSIP: 36296B2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $689.80       | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.89000 12/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4459.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL BS9669 FN 10/28 FIXED 4.72                    | CUSIP: 3140LLW72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $714415.64    | 0.71%             | 2028-10-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        16 | NC      | $4767.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-20845.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAJDA4 PIMCO SWAPTION 3.677 PUT USD 2025122          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-5592.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7183.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $486.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 774290 GN 02/42 FIXED 5                       | CUSIP: 36176R7B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12928 | PA      | $13129.17     | 0.01%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | S+P500 EMINI FUT  DEC25 XCME 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       -39 | NC      | $-158734.61   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $17162.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 782979 GN 09/39 FIXED 5                       | CUSIP: 36241LJY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88853 | PA      | $92488.06     | 0.09%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3905 | PA      | $3775.49      | 0.00%             | 2035-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-770.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-9.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $423.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    800000 | NC      | $809.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $13.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                         | LEHMAN MORTGAGE TRUST LMT 2007 8 1A1                    | CUSIP: 52521YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311914 | PA      | $306712.53    | 0.31%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 555800 FN 10/33 FIXED VAR                     | CUSIP: 31385XNR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5159 | PA      | $5293.69      | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-84.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $17158.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $460533.17    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAM5A6 PIMCO SWAPTION 3.23 CALL USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $9408.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1291.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $302.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $48206.62     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1        | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1252024 | PA      | $1022533.50   | 1.02%             | 2037-06-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.28000 03/04/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-996.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2241.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.90000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1858.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL C02054 FG 01/35 FIXED 5.5             | CUSIP: 31292JH78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1320 | PA      | $1371.37      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1436.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $133.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10080000 | PA      | $10299178.71  | 10.30%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 890489 FN 11/41 FIXED VAR                     | CUSIP: 31410LKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3274 | PA      | $3278.64      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 819297 FN 09/35 FIXED 6                       | CUSIP: 31406TGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17424 | PA      | $18314.07     | 0.02%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-620.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-165.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $8876.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL MA0280 FN 11/29 FIXED 5.5                     | CUSIP: 31417YJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8443 | PA      | $8523.15      | 0.01%             | 2029-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SPTR TRS EQUITY SOFR+70 BOA                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-27871.33    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 966202 FN 12/37 FIXED 6                       | CUSIP: 31414G3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29280 | PA      | $30871.73     | 0.03%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2600.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                       | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94237 | PA      | $90860.24     | 0.09%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                 | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    200000 | PA      | $148056.00    | 0.15%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-339.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1         | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9921 | PA      | $9135.00      | 0.01%             | 2034-11-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256600 FN 02/27 FIXED 5.5                     | CUSIP: 31371M7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13619 | PA      | $13737.59     | 0.01%             | 2027-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 658746 FN 08/36 FIXED 6                       | CUSIP: 31390WZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       601 | PA      | $626.18       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                     | FREDDIE MAC FHR 3368 AF                                 | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188533 | PA      | $188945.74    | 0.19%             | 2037-09-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                   | FANNIE MAE FNR 2005 75 AF                               | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51887 | PA      | $51489.08     | 0.05%             | 2035-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2      | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 A 144A     | CUSIP: 52607QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23283 | PA      | $23166.36     | 0.02%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                      | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4         | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21 | PA      | $20.47        | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                            | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    480000 | PA      | $153123.60    | 0.15%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $276.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UABKA3 PIMCO SWAPTION 3.16 CALL USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $671.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $88.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-7.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2               | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106 | PA      | $104.34       | 0.00%             | 2030-06-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1565.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                              | FREDDIE MAC FHR 5580 FA                                 | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1986278 | PA      | $2014144.52   | 2.01%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $527.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 995243 FN 08/38 FIXED VAR                     | CUSIP: 31416BS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5830 | PA      | $5883.48      | 0.01%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 3.30500 11/27/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7619.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                      | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                 | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2602579 | PA      | $941887.39    | 0.94%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RJH1 PIMCO CDSOPT PUT USD 0.7 20251217             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -5600000 | NC      | $-2360.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -11 | NC      | $-10069.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    470000 | NC      | $25334.41     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   2400000 | NC      | $2412.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-154.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI1673 FN 06/41 FIXED 4.5                     | CUSIP: 3138AE2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37250 | PA      | $37130.64     | 0.04%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.99000 12/08/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-5452.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-6737.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                     | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1                | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136198 | PA      | $115274.94    | 0.12%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $774085.11    | 0.77%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-316.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1593.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 13.245 09/02/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1491.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A73952 FG 02/38 FIXED 5               | CUSIP: 3128L7L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57589 | PA      | $59148.17     | 0.06%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $17737.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-811.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256928 FN 10/27 FIXED 6                       | CUSIP: 31371NLH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2294 | PA      | $2343.50      | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | US TREASURY N/B 07/30 3.875                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $301851.56    | 0.30%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       462 | PA      | $451.36       | 0.00%             | 2035-02-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 704506 GN 05/39 FIXED 5                       | CUSIP: 36296XU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    206621 | PA      | $212021.40    | 0.21%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 745257 FN 01/36 FIXED VAR                     | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1829 | PA      | $1927.91      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $300446.06    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI3810 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHGU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4204 | PA      | $4213.39      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-2660.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5060.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A57043 FG 02/37 FIXED 5               | CUSIP: 3128KKZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39605 | PA      | $40017.73     | 0.04%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                     | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    268045 | PA      | $268233.49    | 0.27%             | 2036-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-253.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 01/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-847.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AE0508 FN 10/40 FIXED VAR                     | CUSIP: 31419AR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2655 | PA      | $2659.24      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 762752 GN 03/41 FIXED 5                       | CUSIP: 36176DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19261 | PA      | $19632.28     | 0.02%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $193.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $363.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $1050.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 705997 GN 01/39 FIXED 5                       | CUSIP: 36297AKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61621 | PA      | $63231.01     | 0.06%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $738.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1A       | CUSIP: 92922F2G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705719 | PA      | $703027.81    | 0.70%             | 2045-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 881635 FN 02/36 FIXED 5.5                     | CUSIP: 31409XPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6826 | PA      | $7084.82      | 0.01%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $12975.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 933121 FN 01/38 FIXED 5.5                     | CUSIP: 31412SD28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1808 | PA      | $1858.78      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $454.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4755.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI2430 FN 05/41 FIXED 4.5                     | CUSIP: 3138AFVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121152 | PA      | $121137.32    | 0.12%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-536.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL3480 FN 07/40 FIXED VAR                     | CUSIP: 3138EK2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63843 | PA      | $66371.45     | 0.07%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2500000 | NC      | $216393.50    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 720199 GN 07/39 FIXED 5                       | CUSIP: 3620A6DC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26911 | PA      | $27611.71     | 0.03%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-43.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-278.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12120 | PA      | $12607.91     | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AB0196 FN 02/39 FIXED 5.5                     | CUSIP: 31416VGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26512 | PA      | $27600.19     | 0.03%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-11622.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1765.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                          | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    855067 | PA      | $44724.85     | 0.04%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A          | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4788 | PA      | $4675.59      | 0.00%             | 2033-05-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 669740 GN 08/37 FIXED 6                       | CUSIP: 36295GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6957 | PA      | $7238.69      | 0.01%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                      | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385644 | PA      | $319195.92    | 0.32%             | 2035-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2112420 | PA      | $2000081.15   | 2.00%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.50000 12/20/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7102.84      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A48592 FG 03/36 FIXED 6               | CUSIP: 3128K9RM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8933 | PA      | $9319.54      | 0.01%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 981705 FN 06/38 FIXED 4.5                     | CUSIP: 31415BDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7916 | PA      | $7908.36      | 0.01%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1208000 | PA      | $1203432.53   | 1.20%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1215.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1623.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAJCA5 PIMCO SWAPTION 3.177 CALL USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1100000 | NC      | $3656.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $2640.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1379.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-9.88        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL BZ4544 FN 08/30 FIXED 4.56                    | CUSIP: 3140Q0BN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3056502.33   | 3.06%             | 2030-08-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 701354 GN 02/39 FIXED 5                       | CUSIP: 36296UE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5734 | PA      | $5858.14      | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 724275 GN 09/39 FIXED 5                       | CUSIP: 3620AAT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8775 | PA      | $8962.61      | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 707284 GN 02/39 FIXED 5                       | CUSIP: 36297BXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120445 | PA      | $123556.26    | 0.12%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-144.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                     | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1165 | PA      | $1011.93      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                         | ACE SECURITIES CORP. ACE 2006 HE4 A2A                   | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5765 | PA      | $2247.07      | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.39000 10/01/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1031.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-308.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1469.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1420000 | PA      | $1429791.47   | 1.43%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-951.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                         | BARCLAYS PLC SR UNSECURED 05/34 VAR                     | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $430452.91    | 0.43%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                          | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                 | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    100000 | PA      | $2435.06      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $148.98       | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 780365 FN 06/34 FLOATING VAR                  | CUSIP: 31404V6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3953 | PA      | $4063.65      | 0.00%             | 2034-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $111.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $194.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 965040 FN 09/38 FIXED 4.5                     | CUSIP: 31414FS51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12528 | PA      | $12642.03     | 0.01%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 711409 GN 05/39 FIXED 5                       | CUSIP: 36297GKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2591 | PA      | $2658.75      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5497.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RD46 OTC ECAL FN 4.5 OCT25 96.546875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-7084.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-106.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-63.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 697914 GN 03/39 FIXED 5                       | CUSIP: 36296QK32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72295 | PA      | $74183.81     | 0.07%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                   | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13101 | PA      | $12971.17     | 0.01%             | 2037-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 889982 FN 11/38 FIXED VAR                     | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94895 | PA      | $98521.60     | 0.10%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AK8453 FN 04/42 FIXED 4.5                     | CUSIP: 3138EDMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4779 | PA      | $4773.24      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-21.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $34.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4    | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2         | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1103227 | PA      | $1065723.41   | 1.07%             | 2036-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888129 FN 02/37 FIXED VAR                     | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    419097 | PA      | $436303.92    | 0.44%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AC6211 FN 11/39 FIXED 5.5                     | CUSIP: 31417S3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14649 | PA      | $15139.60     | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 735972 FN 10/35 FIXED VAR                     | CUSIP: 31402RT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2589 | PA      | $2695.07      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                     | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1037 | PA      | $1044.62      | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888638 FN 09/37 FIXED VAR                     | CUSIP: 31410GHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145765 | PA      | $151751.20    | 0.15%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 829708 FN 06/35 FLOATING VAR                  | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1739 | PA      | $1785.37      | 0.00%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $11195.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                        | ARGENT SECURITIES INC. ARSI 2005 W3 M1                  | CUSIP: 040104PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327275 | PA      | $320205.47    | 0.32%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $600.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $379.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $992635.14    | 0.99%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-13.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-21.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 847031 FN 12/35 FIXED 5.5                     | CUSIP: 31408CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8720 | PA      | $8799.08      | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 831819 FN 10/36 FIXED 6                       | CUSIP: 31407JDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $426.84       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-933.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $6618.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-267.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $44.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11               | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M4        | CUSIP: 76110W7G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1010542.61   | 1.01%             | 2035-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05196 FG 10/38 FIXED 5.5             | CUSIP: 3128M7C95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8541 | PA      | $8881.55      | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G08072 FG 08/35 FIXED 5               | CUSIP: 3128MJCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15197 | PA      | $15576.67     | 0.02%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-728.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1411 | PA      | $1472.41      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4      | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A     | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68012 | PA      | $67463.31     | 0.07%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4041.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 880623 FN 04/36 FIXED 5.5                     | CUSIP: 31409WLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12076 | PA      | $12572.04     | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.52000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1277.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1721.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AW1350 FN 02/44 FIXED 4.5                     | CUSIP: 3138XQQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47413 | PA      | $47202.06     | 0.05%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 995894 FN 04/39 FIXED VAR                     | CUSIP: 31416CKF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43217 | PA      | $45566.52     | 0.05%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD9398 FN 06/40 FIXED 4.5                     | CUSIP: 31418XNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6239 | PA      | $6295.61      | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1             | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A1          | CUSIP: 59023LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280103 | PA      | $554788.14    | 0.55%             | 2037-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.79250 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $867.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 A A1 144A      | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108295 | PA      | $1111871.20   | 1.11%             | 2062-09-25      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $1548.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-675.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $1256.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $67.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-513.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $94.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A27987 FG 07/34 FIXED 5               | CUSIP: 31297F2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12689 | PA      | $12900.30     | 0.01%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                 | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C         | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912271 | PA      | $213242.38    | 0.21%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2561.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A56730 FG 01/37 FIXED 5               | CUSIP: 3128KKPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6851 | PA      | $6836.39      | 0.01%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G04264 FG 04/38 FIXED 5.5             | CUSIP: 3128M6B98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       538 | PA      | $558.46       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-970.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR            | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1069526.32   | 1.07%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                          | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    781723 | PA      | $7669488.75   | 7.67%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5            | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A4         | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9014 | PA      | $8994.49      | 0.01%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2661.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                      | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8                 | CUSIP: 362669BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634891 | PA      | $402444.04    | 0.40%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-119.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 931353 FN 06/39 FIXED 5.5                     | CUSIP: 31412PWN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44499 | PA      | $46037.43     | 0.05%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A   | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581806 | PA      | $327820.52    | 0.33%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 674114 GN 06/38 FIXED 5                       | CUSIP: 36295L3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5554 | PA      | $5668.98      | 0.01%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                            | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   2200000 | PA      | $613741.74    | 0.61%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1557.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $740.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                            | FANNIE MAE FNR 2025 12 EF                               | CUSIP: 3136BVGN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1875607 | PA      | $1875358.55   | 1.88%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL0822 FN 10/41 FIXED VAR                     | CUSIP: 3138EG4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2608 | PA      | $2609.64      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.64750 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-43.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2131000 | PA      | $2107493.49   | 2.11%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FHLB)                        | FED HOME LN DISCOUNT NT DISCOUNT NOT 12/25 0.00000      | CUSIP: 313385QQ2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1090836.09   | 1.09%             | 2025-12-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 823384 FN 05/35 FIXED 5.5                     | CUSIP: 31406XXM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11433 | PA      | $11826.62     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116    | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF          | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4180565 | PA      | $4198152.39   | 4.20%             | 2055-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4558.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4180000 | PA      | $4211985.53   | 4.21%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 896141 FN 06/36 FIXED 5.5                     | CUSIP: 31410SS65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4722 | PA      | $4900.62      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 487821 GN 03/39 FIXED 5                       | CUSIP: 36210B4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30692 | PA      | $31358.18     | 0.03%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $518.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        33 | NC      | $5760.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 753095 FN 12/33 FIXED 5.5                     | CUSIP: 31403MUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8014 | PA      | $8189.46      | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL BZ1029 FN 06/29 FIXED 4.93                    | CUSIP: 3140NVEB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $308179.30    | 0.31%             | 2029-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1340.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI0726 FN 04/41 FIXED 4.5                     | CUSIP: 3138ADYY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19118 | PA      | $19160.75     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 782562 GN 02/39 FIXED 5                       | CUSIP: 36241KZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    390840 | PA      | $400418.98    | 0.40%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G03050 FG 07/37 FIXED 5               | CUSIP: 3128M4WK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22601 | PA      | $23212.25     | 0.02%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05408 FG 12/36 FIXED 5               | CUSIP: 3128M7KV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2490 | PA      | $2554.85      | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 828355 FN 07/35 FIXED 5.5                     | CUSIP: 31407EH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349 | PA      | $363.59       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                  | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    685774 | PA      | $686207.16    | 0.69%             | 2037-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 695208 FN 03/33 FIXED 5.5                     | CUSIP: 31400RKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56209 | PA      | $56723.28     | 0.06%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $35.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-288.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AA0920 FN 08/37 FIXED 5.5                     | CUSIP: 31416JAW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36735 | PA      | $38243.04     | 0.04%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL3365 FN 05/41 FIXED VAR                     | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    884690 | PA      | $932777.69    | 0.93%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI5961 FN 06/26 FIXED 4                       | CUSIP: 3138AKTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2585 | PA      | $2576.36      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256151 FN 03/36 FIXED 5.5                     | CUSIP: 31371MQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       894 | PA      | $931.09       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-664.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 889983 FN 10/38 FIXED VAR                     | CUSIP: 31410KXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4868 | PA      | $5132.21      | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5             | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5073 | PA      | $5280.65      | 0.01%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH4268 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13934 | PA      | $13770.69     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH8643 FN 04/41 FIXED 4.5                     | CUSIP: 3138AAS93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6757 | PA      | $6766.94      | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 973231 FN 10/36 FIXED 6                       | CUSIP: 31414QVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       455 | PA      | $467.63       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 09/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-65465.05    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $59468.55     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $40.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-23714.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                    | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A           | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994259.10    | 0.99%             | 2032-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 752191 FN 11/33 FIXED 5.5                     | CUSIP: 31403LUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18512 | PA      | $18777.79     | 0.02%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL3681 FN 10/40 FIXED VAR                     | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44735 | PA      | $47166.58     | 0.05%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $10.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $839.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-36.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $206.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-133.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $90.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $995342.02    | 1.00%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1695000 | PA      | $1692530.55   | 1.69%             | 2025-10-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $13353.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $4.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-44.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 06/20/24-4Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-72800.28    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    800000 | NC      | $47297.36     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                     | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L             | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273048 | PA      | $195920.97    | 0.20%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A75692 FG 04/38 FIXED 5               | CUSIP: 3128L9KD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46410 | PA      | $47665.91     | 0.05%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    400000 | NC      | $20527.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   8300000 | PA      | $472167.63    | 0.47%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PEN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $5396.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AA0836 FN 01/39 FIXED 4.5                     | CUSIP: 31416H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39597 | PA      | $39921.57     | 0.04%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1550.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AB2858 FN 01/39 FIXED 5.5                     | CUSIP: 31416YE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148766 | PA      | $153964.58    | 0.15%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5             | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1809 | PA      | $1879.82      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10533.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 972305 FN 02/38 FIXED 6                       | CUSIP: 31414PU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66608 | PA      | $70228.35     | 0.07%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                            | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   7900000 | PA      | $2412081.91   | 2.41%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UADHA3 PIMCO SWAPTION 3.103 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $49.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $233.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS ZAR 7.20500 08/26/25-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $-1372.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH0066 FN 02/41 FIXED 4.5                     | CUSIP: 3138A1CC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80052 | PA      | $79551.37     | 0.08%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                          | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    100000 | PA      | $79478.15     | 0.08%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL1319 FN 10/41 FIXED VAR                     | CUSIP: 3138EHPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25991 | PA      | $26016.68     | 0.03%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11685.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 190367 FN 01/36 FIXED VAR                     | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15170 | PA      | $15792.66     | 0.02%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1683.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                   | FANNIE MAE FNR 2005 79 NF                               | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109293 | PA      | $108675.29    | 0.11%             | 2035-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 758900 FN 12/33 FLOATING VAR                  | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       705 | PA      | $719.77       | 0.00%             | 2033-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G03072 FG 11/36 FIXED 5               | CUSIP: 3128M4W90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9006 | PA      | $9232.43      | 0.01%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -1700000 | NC      | $-1111.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 848067 FN 10/35 FIXED 5.5                     | CUSIP: 31408DFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9242 | PA      | $9591.14      | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888817 FN 08/37 FIXED VAR                     | CUSIP: 31410GPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5608 | PA      | $5825.97      | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 865115 FN 02/36 FIXED 5.5                     | CUSIP: 31409ADU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1252 | PA      | $1303.52      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AC8113 FN 01/36 FIXED 5.5                     | CUSIP: 31417VAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26830 | PA      | $27845.91     | 0.03%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 962068 FN 03/38 FIXED 6                       | CUSIP: 31414CJM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33197 | PA      | $34790.33     | 0.03%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-14.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2011.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2          | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86258 | PA      | $76137.36     | 0.08%             | 2035-07-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4              | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 4 M1          | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677084 | PA      | $614564.20    | 0.61%             | 2036-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 922041 FN 02/37 FIXED 6                       | CUSIP: 31412DLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141120 | PA      | $148783.87    | 0.15%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 744878 FN 11/33 FIXED 5.5                     | CUSIP: 31403CQ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34512 | PA      | $35714.38     | 0.04%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-417.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 902340 FN 11/36 FIXED 5.5                     | CUSIP: 31411APZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $393.15       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-2227.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.25000 06/18/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-161494.93   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $893.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                  | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750603 | PA      | $751941.74    | 0.75%             | 2039-06-17      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-5802.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RKA4 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -280000 | NC      | $-1217.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 3.28000 11/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-8225.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI8356 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANJA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    218650 | PA      | $218307.97    | 0.22%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-274.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G04468 FG 07/38 FIXED 5               | CUSIP: 3128M6JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12723 | PA      | $13067.53     | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2               | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1        | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    608160 | PA      | $335361.01    | 0.34%             | 2036-05-25      | Floating      | 4.24%                 | 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        |    529846 | PA      | $527708.18    | 0.53%             | 2054-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 922039 FN 02/37 FIXED 5.5                     | CUSIP: 31412DLU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40583 | PA      | $42249.45     | 0.04%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.86600 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1499.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1353.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 741275 GN 05/40 FIXED 5                       | CUSIP: 3620AVQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17686 | PA      | $18063.79     | 0.02%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.46000 03/13/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-496.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-33412.52    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1939 | PA      | $1975.56      | 0.00%             | 2035-06-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 840699 FN 09/35 FIXED 5.5                     | CUSIP: 31407T7L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1372 | PA      | $1424.36      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/2.75000 06/21/23-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $208472.98    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5          | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24269 | PA      | $11652.84     | 0.01%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAAEA2 PIMCO SWAPTION 4.0075 PUT USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2700000 | NC      | $534.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 669739 GN 07/37 FIXED 6                       | CUSIP: 36295GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11396 | PA      | $11856.67     | 0.01%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2021-CA                    | NELNET STUDENT LOAN TRUST NSLT 2021 CA AFL 144A         | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640620 | PA      | $639327.68    | 0.64%             | 2062-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256448 FN 10/26 FIXED 6                       | CUSIP: 31371MZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       864 | PA      | $882.23       | 0.00%             | 2026-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 929838 FN 08/38 FIXED 6                       | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       828 | PA      | $870.24       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 844703 FN 12/35 FIXED 5.5                     | CUSIP: 31407YNU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1578 | PA      | $1642.83      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | 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        |     38923 | PA      | $36932.77     | 0.04%             | 2046-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888795 FN 11/36 FIXED VAR                     | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35257 | PA      | $36703.28     | 0.04%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888794 FN 09/35 FIXED VAR                     | CUSIP: 31410GNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315 | PA      | $314.46       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1357681 | PA      | $1401735.78   | 1.40%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD0220 FN 10/38 FIXED VAR                     | CUSIP: 31418MG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       202 | PA      | $212.51       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL6924 FN 01/45 FIXED VAR                     | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155866 | PA      | $152511.47    | 0.15%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                            | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |    500000 | PA      | $507905.00    | 0.51%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    936000 | PA      | $924280.24    | 0.92%             | 2026-01-27      | None          | 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      | $-246.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AE2314 FN 08/40 FIXED 4.5                     | CUSIP: 31419CSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2341 | PA      | $2362.63      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 835751 FN 08/35 FIXED 4.5                     | CUSIP: 31407NQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $858.68       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH4226 FN 03/41 FIXED 4.5                     | CUSIP: 3138A5VU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $1810.47      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $3997.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A47673 FG 11/35 FIXED 5               | CUSIP: 3128K8Q25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064 | PA      | $1092.89      | 0.00%             | 2035-11-01      | 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        |      2320 | PA      | $2025.38      | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1228.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $353.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 06/20/24-9Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-144355.89   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1093.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 826082 FN 07/35 FLOATING VAR                  | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       738 | PA      | $747.53       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-316.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                  | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       722 | PA      | $677.25       | 0.00%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-277.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX ITRAXX XOV42 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $60069.55     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05342 FG 01/39 FIXED 5               | CUSIP: 3128M7HT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16382 | PA      | $16825.17     | 0.02%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1             | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3071 | PA      | $2975.17      | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 704480 GN 04/39 FIXED 5                       | CUSIP: 36296XUD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24704 | PA      | $25344.76     | 0.03%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2970000 | PA      | $2950770.53   | 2.95%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2              | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22452 | PA      | $9492.83      | 0.01%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RE94 OTC EPUT FN 5.5 OCT25 98.0625 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3800000 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $67010.64     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.50000 12/18/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $223545.47    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $14485.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-674.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-303.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-390.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1             | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299384 | PA      | $272494.59    | 0.27%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-60.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $614.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 917129 FN 06/37 FIXED 6                       | CUSIP: 31411W4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $268.82       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL3185 FN 02/39 FIXED VAR                     | CUSIP: 3138EKRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21217 | PA      | $22235.13     | 0.02%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 13.32 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-23.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A          | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545655 | PA      | $287964.78    | 0.29%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1564794 | PA      | $1588174.73   | 1.59%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-WF1                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 WF1 A3          | CUSIP: 65537BAC4<br>LEI: N0RUIPD25XQCBR0TK507 | Long             | ABS-MBS          | CORP              | US        |    867521 | PA      | $224500.18    | 0.22%             | 2036-06-25      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    686000 | PA      | $682355.06    | 0.68%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G30340 FG 08/27 FIXED 6               | CUSIP: 3128CULV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1716 | PA      | $1754.38      | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $259.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | INF SWAP US IT 2.52 03/27/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5363.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 698484 GN 08/39 FIXED 5                       | CUSIP: 36296Q6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21563 | PA      | $22233.12     | 0.02%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3785.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 257204 FN 05/28 FIXED 5.5                     | CUSIP: 31371NU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1457 | PA      | $1472.34      | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-87.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAB9A6 PIMCO SWAPTION 4.01 PUT USD 20251107          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2700000 | NC      | $577.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-723.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2090000 | PA      | $-1685027.20  | -1.68%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -400000 | NC      | $-261.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1             | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49102 | PA      | $49233.32     | 0.05%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A69435 FG 12/37 FIXED 6               | CUSIP: 3128L1PU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1453 | PA      | $1510.91      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TRY SOLD USD 20251110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $3075.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 688442 GN 05/38 FIXED 5                       | CUSIP: 36296DZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9163 | PA      | $9388.65      | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                              | FREDDIE MAC FHR 3376 FD                                 | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51370 | PA      | $51462.37     | 0.05%             | 2037-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $251.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                         | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000      | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    100000 | PA      | $77221.25     | 0.08%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 06/20/24-20Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $26474.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.91000 12/29/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4653.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $313.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $69.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    900000 | NC      | $904.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $185.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-18185.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 865188 FN 02/36 FIXED 6                       | CUSIP: 31409AF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       307 | PA      | $323.18       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A77292 FG 04/38 FIXED 5               | CUSIP: 3128LBC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17272 | PA      | $17730.76     | 0.02%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                     | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1              | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34149 | PA      | $18973.04     | 0.02%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                               | CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943         | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    257141 | PA      | $268748.42    | 0.27%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 698099 GN 04/39 FIXED 5                       | CUSIP: 36296QRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1597 | PA      | $1638.41      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                     | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2248 | PA      | $2168.09      | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    900000 | NC      | $77901.66     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256513 FN 12/36 FIXED 5.5                     | CUSIP: 31371M3W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109161 | PA      | $113642.03    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 697575 GN 11/38 FIXED 5                       | CUSIP: 36296P6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13701 | PA      | $14058.96     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-13630.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $241.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3               | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4995 | PA      | $4875.17      | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-41025.50    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-16165.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25        | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    900000 | PA      | $51439.66     | 0.05%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   3300000 | PA      | $191774.52    | 0.19%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.09000 01/22/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3510.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD1870 FN 08/40 FIXED 4.5                     | CUSIP: 31418PCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2322 | PA      | $2334.89      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1        | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83746 | PA      | $71458.29     | 0.07%             | 2036-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 721620 FN 07/33 FIXED 5.5                     | CUSIP: 31401XVM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1184 | PA      | $1207.23      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $76.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 677312 GN 09/38 FIXED 5                       | CUSIP: 36295QN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4165 | PA      | $4273.15      | 0.00%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY LOAN TRUST 2006-A                 | CENTEX HOME EQUITY CXHE 2006 A M3                       | CUSIP: 15231AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $477673.40    | 0.48%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-25295.81    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-462.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 888893 FN 08/37 FIXED VAR                     | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16351 | PA      | $17022.09     | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $671.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-300.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $-8258.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1713.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                           | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  70000000 | PA      | $412469.15    | 0.41%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G05255 FG 12/38 FIXED 5               | CUSIP: 3128M7E44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27289 | PA      | $28027.74     | 0.03%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL BM7579 FN 10/29 VARIABLE                      | CUSIP: 3140JCM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $603233.42    | 0.60%             | 2029-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8680000 | PA      | $8866363.85   | 8.87%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | INF SWAP US IT 2.5025 03/25/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9426.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.93300 01/06/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2137.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 903812 FN 12/36 FIXED 5.5                     | CUSIP: 31411CDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105287 | PA      | $109608.87    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.81000 01/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1322.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                | IVORY COAST SR UNSECURED REGS 03/48 6.625               | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    200000 | PA      | $201476.49    | 0.20%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G18659 FG 09/32 FIXED 3               | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    504708 | PA      | $492860.31    | 0.49%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 928382 FN 06/37 FIXED 5.5                     | CUSIP: 31412LM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15150 | PA      | $15753.38     | 0.02%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 879839 FN 01/36 FIXED 6                       | CUSIP: 31409VPY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       307 | PA      | $317.48       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1         | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859868 | PA      | $787866.35    | 0.79%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH9109 FN 04/41 FIXED 4.5                     | CUSIP: 3138ABDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3778 | PA      | $3783.34      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G02410 FG 01/36 FIXED 5               | CUSIP: 3128M4AK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4646 | PA      | $4763.66      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-21.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 969064 FN 03/38 FIXED 5.5                     | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87725 | PA      | $91005.91     | 0.09%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -900000 | NC      | $-572.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A1        | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856624 | PA      | $529464.17    | 0.53%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $179.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 602480 GN 12/35 FIXED 5                       | CUSIP: 36200JJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20373 | PA      | $20879.25     | 0.02%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $953.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                          | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   1142935 | PA      | $11131047.93  | 11.13%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -2400000 | NC      | $-1526.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1584.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 254514 FN 11/32 FIXED 5.5                     | CUSIP: 31371KVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2259 | PA      | $2340.94      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $477.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-384.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G04461 FG 07/38 FIXED 5               | CUSIP: 3128M6JE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8045 | PA      | $8263.09      | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 745281 FN 01/36 FIXED VAR                     | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9064 | PA      | $9548.43      | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $255.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 3.12800 12/04/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-6778.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A83575 FG 12/38 FIXED 5               | CUSIP: 3129296L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22586 | PA      | $23191.12     | 0.02%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $75.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $922.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 919658 FN 09/37 FIXED 6                       | CUSIP: 31412AWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7252 | PA      | $7464.47      | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459505 | PA      | $449692.22    | 0.45%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                   | BX TRUST BX 2022 FOX2 A2 144A                           | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410051 | PA      | $409543.80    | 0.41%             | 2039-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $20.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51335 | PA      | $49426.24     | 0.05%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $75.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-0.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $16754.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $116.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 13.9255 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-357.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4445 | PA      | $3737.97      | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                    | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  14470000 | PA      | $665100.52    | 0.67%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A4         | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $465774.90    | 0.47%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                              | HARVEST CLO HARVT 16A ARR 144A                          | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    200394 | PA      | $235471.73    | 0.24%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256553 FN 01/37 FIXED 6                       | CUSIP: 31371M5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11382 | PA      | $12000.27     | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1         | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5 | PA      | $5.05         | 0.00%             | 2034-01-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3502.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-6285.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                   | FANNIE MAE FNR 2007 65 KF                               | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29385 | PA      | $29118.74     | 0.03%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $189936.06    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2177.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-637.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-69.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3        | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153104 | PA      | $131758.53    | 0.13%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G04847 FG 10/38 FIXED 5.5             | CUSIP: 3128M6WG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9939 | PA      | $10314.27     | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL V85233 FG 03/49 FIXED 4               | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19192 | PA      | $18451.53     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  64800000 | NC      | $295526.88    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 889532 FN 04/38 FIXED VAR                     | CUSIP: 31410KHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $2098.25      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-568.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $2592.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 697946 GN 03/39 FIXED 5                       | CUSIP: 36296QL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25946 | PA      | $26393.51     | 0.03%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $351.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1480000 | PA      | $1434663.59   | 1.43%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                     | FREDDIE MAC FHR 3360 FC                                 | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    178213 | PA      | $178575.36    | 0.18%             | 2037-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1100000 | NC      | $69124.55     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 769481 FN 02/34 FIXED 5.5                     | CUSIP: 31404H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3100 | PA      | $3146.57      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI4142 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24248 | PA      | $24239.90     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $331.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 889301 FN 11/35 FIXED VAR                     | CUSIP: 31410KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5255 | PA      | $5469.99      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS CZK 3.76000 11/01/24-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |         1 | NC      | $-79.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL FM2971 FN 08/45 FIXED VAR                     | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86692 | PA      | $84177.92     | 0.08%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $2491.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $10775.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                         | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10127 | PA      | $10093.94     | 0.01%             | 2042-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 714055 GN 05/39 FIXED 5                       | CUSIP: 36297KH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26697 | PA      | $27394.74     | 0.03%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-906.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4772.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4456.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256601 FN 02/27 FIXED 6                       | CUSIP: 31371NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       824 | PA      | $841.96       | 0.00%             | 2027-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 895096 FN 08/36 FIXED 6                       | CUSIP: 31410RNM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $158.81       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-13341.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SPTR TRS EQUITY SOFR+64 *BULLET* MBC                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-12376792.03 | -12.38%           |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $187.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 255994 FN 11/25 FIXED 5.5                     | CUSIP: 31371MKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $119.24       | 0.00%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 929451 FN 05/38 FIXED 5.5                     | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110362 | PA      | $114593.14    | 0.11%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $43.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 542828 GN 06/35 FIXED 5                       | CUSIP: 36212TA53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8986 | PA      | $9132.77      | 0.01%             | 2035-06-15      | Fixed         | 5.00%                 | 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        |   1700000 | PA      | $546043.69    | 0.55%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $419.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256197 FN 04/36 FIXED 6                       | CUSIP: 31371MRS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       545 | PA      | $575.05       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1902.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD2336 FN 02/40 FIXED 4.5                     | CUSIP: 31418PS22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11522 | PA      | $11574.06     | 0.01%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256927 FN 10/27 FIXED 5.5                     | CUSIP: 31371NLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3316 | PA      | $3345.58      | 0.00%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 995721 FN 03/39 FIXED VAR                     | CUSIP: 31416CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18743 | PA      | $19702.07     | 0.02%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 848205 FN 12/35 FIXED 5.5                     | CUSIP: 31408DKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       519 | PA      | $538.85       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.01500 12/30/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2842.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4898 | PA      | $4854.49      | 0.00%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TRY SOLD USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $619.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $47.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 932548 FN 02/40 FIXED 5.5                     | CUSIP: 31412RBR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3220 | PA      | $3336.21      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 889692 FN 05/38 FIXED VAR                     | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64471 | PA      | $66987.33     | 0.07%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-6437.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A              | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $301847.94    | 0.30%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    800000 | NC      | $44673.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AA1265 FN 08/33 FIXED 4.5                     | CUSIP: 31416JMP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       945 | PA      | $937.47       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 914370 FN 03/37 FIXED 6                       | CUSIP: 31411S2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $283.50       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18780000 | PA      | $19409880.07  | 19.41%            | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1608.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 995113 FN 09/36 FIXED VAR                     | CUSIP: 31416BN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137 | PA      | $141.00       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                         | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $239583.82    | 0.24%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $409.68       | 0.00%             |  |  |  | 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      | $2876.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -950000 | NC      | $-24608.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-173.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58164 | PA      | $49447.23     | 0.05%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.35000 04/29/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-48.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 675179 GN 03/38 FIXED 5                       | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818 | PA      | $839.77       | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2336.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 725690 FN 08/34 FIXED VAR                     | CUSIP: 31402DF70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171 | PA      | $178.06       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1955.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    153538 | PA      | $158113.61    | 0.16%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   1700000 | NC      | $1720.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 190363 FN 11/35 FIXED VAR                     | CUSIP: 31368HML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9465 | PA      | $9853.54      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140 | PA      | $1153.53      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    380000 | PA      | $376918.78    | 0.38%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E             | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1           | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25424 | PA      | $25488.51     | 0.03%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2413.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2040000 | PA      | $2026871.42   | 2.03%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                   | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    726000 | PA      | $725919.00    | 0.73%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 899563 FN 06/37 FIXED 6                       | CUSIP: 31410WML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24079 | PA      | $25309.11     | 0.03%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                 | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2          | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830473 | PA      | $431602.21    | 0.43%             | 2037-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1         | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234704 | PA      | $184841.72    | 0.18%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AI8831 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2973 | PA      | $2975.00      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4       | CUSIP: 12667GTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1941 | PA      | $1397.49      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1565.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2208.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |   -100000 | NC      | $-764.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH2695 FN 01/41 FIXED 4.5                     | CUSIP: 3138A37H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    157068 | PA      | $157822.94    | 0.16%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 725946 FN 11/34 FIXED VAR                     | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123 | PA      | $126.67       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 3.25000 11/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7968.10     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AJ7522 FN 01/27 FIXED 3                       | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65126 | PA      | $64580.47     | 0.06%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2517.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         8 | NC      | $18246.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2002-5                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2002 5 M1          | CUSIP: 542514DB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488677 | PA      | $517405.47    | 0.52%             | 2032-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -50 | NC      | $-10711.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 689108 FN 02/33 FIXED 5.5                     | CUSIP: 31400JR50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18592 | PA      | $18850.87     | 0.02%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                            | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7       | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    300000 | PA      | $94621.33     | 0.09%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                     | FREDDIE MAC FHR 3355 BF                                 | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    344751 | PA      | $345239.34    | 0.35%             | 2037-08-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 623958 GN 12/35 FIXED 5                       | CUSIP: 36291CE76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2850 | PA      | $2908.69      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-3816.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G03355 FG 08/37 FIXED 5               | CUSIP: 3128M5BY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18105 | PA      | $18595.04     | 0.02%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 538719 GN 05/35 FIXED 5                       | CUSIP: 36212NPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356 | PA      | $364.73       | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-536.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $775667.53    | 0.78%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $797.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-404.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 970952 FN 12/38 FIXED 6                       | CUSIP: 31414NEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30004 | PA      | $31488.81     | 0.03%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $30638.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A48943 FG 05/36 FIXED 5.5             | CUSIP: 3128K95C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32330 | PA      | $33696.15     | 0.03%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 256715 FN 05/27 FIXED 6                       | CUSIP: 31371NDU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1468 | PA      | $1499.10      | 0.00%             | 2027-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL BM7581 FN 09/31 VARIABLE                      | CUSIP: 3140JCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1121626.62   | 1.12%             | 2031-09-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $83.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 310122 FN 06/28 FIXED VAR                     | CUSIP: 31374CPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5594 | PA      | $5619.05      | 0.01%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                   | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5205 | PA      | $5004.69      | 0.01%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH6339 FN 04/41 FIXED 4.5                     | CUSIP: 3138A8BH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2034 | PA      | $2036.94      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $268.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                      | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A1                 | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6919 | PA      | $4386.00      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 964677 FN 08/38 FIXED 6                       | CUSIP: 31414FFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       233 | PA      | $239.94       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UAD3A8 PIMCO SWAPTION 4.0275 PUT USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1400000 | NC      | $-2899.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5021.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3289                                     | FREDDIE MAC FHR 3289 FG                                 | CUSIP: 31397FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138762 | PA      | $137547.00    | 0.14%             | 2037-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20260209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4547.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8092 | PA      | $8403.94      | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 990517 FN 09/38 FIXED 6                       | CUSIP: 31415VK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1427 | PA      | $1492.22      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $66.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3         | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66206 | PA      | $65098.31     | 0.07%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $11.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 969776 FN 02/38 FIXED 5.5                     | CUSIP: 31414L2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14719 | PA      | $15323.82     | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX ITRAXX XOV42 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $20023.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-738.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 944526 FN 07/37 FIXED 6                       | CUSIP: 31413FYX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332 | PA      | $344.25       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | OIS MXN TIIE1/7.76000 04/09/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2454.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.86000 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1447.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9ZYA7 PIMCO SWAPTION 4.0945 PUT USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2300000 | NC      | $-3.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD PEN BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-7958.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.59400 01/09/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $377.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AB0204 FN 12/38 FIXED 5.5                     | CUSIP: 31416VGN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3235 | PA      | $3367.63      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2    | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D        | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1058196 | PA      | $417820.49    | 0.42%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3             | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A     | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362853 | PA      | $324827.57    | 0.32%             | 2042-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-2931.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3         | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532852 | PA      | $472403.88    | 0.47%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-297.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 878481 FN 02/36 FIXED 6                       | CUSIP: 31409T6S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3136 | PA      | $3233.51      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A53791 FG 11/36 FIXED 5               | CUSIP: 3128KGF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3297 | PA      | $3331.09      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 741620 FN 10/33 FIXED 5.5                     | CUSIP: 31402X4D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       608 | PA      | $625.34       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-113.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-317.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 745418 FN 04/36 FIXED VAR                     | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18086 | PA      | $18827.54     | 0.02%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1        | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987734 | PA      | $900650.06    | 0.90%             | 2036-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3320000 | PA      | $3290745.49   | 3.29%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AL0520 FN 07/41 FIXED VAR                     | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95275 | PA      | $98721.66     | 0.10%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $15029.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1423928.37   | 1.42%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | CDX ITRAXX XOV42 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $140162.31    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.00000 06/21/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $79367.08     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $70946.04     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                       | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375           | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $212150.00    | 0.21%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1086.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14009 | PA      | $14533.45     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 697698 GN 12/38 FIXED 5                       | CUSIP: 36296QDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60445 | PA      | $62024.62     | 0.06%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AE0801 FN 09/39 FIXED VAR                     | CUSIP: 31419A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    213411 | PA      | $225014.63    | 0.22%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 899170 FN 02/37 FIXED 5.5                     | CUSIP: 31410V6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1236 | PA      | $1287.16      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $189.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                          | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                 | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7100000 | PA      | $393410.60    | 0.39%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1895.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 774296 GN 03/42 FIXED 5                       | CUSIP: 36176R7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57998 | PA      | $58144.12     | 0.06%             | 2042-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-378.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-30.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-109.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 06/20/24-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18722.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 995279 FN 12/38 FIXED VAR                     | CUSIP: 31416BUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $189.69       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AB0293 FN 11/38 FIXED 6                       | CUSIP: 31416VKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56999 | PA      | $60094.30     | 0.06%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $2132.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-451.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-104.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | ZCS BRL 14.0087 05/12/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-361.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RK97 PIMCO FXVAN PUT USD BRL 5.50000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    280000 | NC      | $8585.64      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 12/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-77742.78    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $65.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 829125 FN 10/35 FIXED 5.5                     | CUSIP: 31407FD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4848 | PA      | $5046.54      | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $276.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       666 | PA      | $677.80       | 0.00%             | 2035-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $2448.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AH4246 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5WG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19773 | PA      | $19748.88     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.22000 01/08/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2874.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AC7291 FN 12/39 FIXED 4.5                     | CUSIP: 31417UC52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2805 | PA      | $2817.46      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-381.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TAURUS 2021-1 UK DAC 21-UK1A                         | TAURUS CMBS TAURS 2021 UK1A A 144A                      | CUSIP: ACI1W1MF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    198542 | PA      | $266894.79    | 0.27%             | 2031-05-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $41.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                 | GNMA POOL 690955 GN 06/38 FIXED 5                       | CUSIP: 36296GTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1569 | PA      | $1599.82      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 993265 FN 05/39 FIXED 4.5                     | CUSIP: 31415YMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1255 | PA      | $1258.65      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $20.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 257575 FN 01/29 FIXED 5                       | CUSIP: 31371PCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1268 | PA      | $1275.76      | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 779439 FN 06/34 FIXED 5.5                     | CUSIP: 31404U4Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       783 | PA      | $821.63       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 843325 FN 10/35 FIXED 5.5                     | CUSIP: 31407W4J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $815.15       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL G30377 FG 12/27 FIXED 6               | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3065 | PA      | $3133.74      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-655.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RLY1 OTC EPUT FN 5.5 DEC25 98.96875 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1900000 | NC      | $1814.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2        | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2321581 | PA      | $746843.53    | 0.75%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   4500000 | PA      | $4500000.00   | 4.50%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    400000 | NC      | $404.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD3661 FN 05/40 FIXED 4.5                     | CUSIP: 31418RB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13895 | PA      | $13962.24     | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-22115.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | RFR USD SOFR/4.01300 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2835.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                 | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $900000.00    | 0.90%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                  | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $51.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3200000 | NC      | $201089.60    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $10.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                 | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4040000 | PA      | $3919172.57   | 3.92%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2012.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL 824601 FN 12/34 FIXED 5.5                     | CUSIP: 31407ADE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $649.51       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-736.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-868.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR          | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       780 | PA      | $796.90       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                | FED HM LN PC POOL A47333 FG 10/35 FIXED 5               | CUSIP: 3128K8EE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11280 | PA      | $11572.94     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |         1 | NC      | $6676.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-163.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS EUR 2.46000 04/01/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1938.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                    | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A        | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1206494 | PA      | $394390.69    | 0.39%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                 | FNMA POOL AD9988 FN 09/40 FIXED 4.5                     | CUSIP: 31418YC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2295 | PA      | $2247.58      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer