# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004422
**Filing Date:** 2025-11
**Character Count:** 460983
**Document Hash:** 06a7485d78517ba12c681e7e63fd2a48
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004422.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004422

**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:** 251528232

**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 Moderate Duration Fund (Series ID: S000009694)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026586 | Institutional | PMDRX           |
| C000085176 | I-2           | PMOPX           |

## 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 Moderate Duration Fund

- **b. EDGAR series identifier (if any):** S000009694

- **c. LEI of Series:** B2JY4NU9RPQLDEI8V482

**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:** $2488135335.36

**Total Liabilities:** $788769234.41

**Net Assets:** $1699366100.95

**Delayed Delivery Securities:** $20771300.66

**Cash Not Reported:** $15099431.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 39068.820800 | **1-Year:** 68244.713400 | **5-Year:** 249075.792800 | **10-Year:** 42168.173600 | **30-Year:** -12504.025000

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

- **3-Month:** 7580.297900 | **1-Year:** 3287.801200 | **5-Year:** 23641.415200 | **10-Year:** 7816.277300 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000085176 | -0.05%               | 1.56%                | 0.45%                |
| Class ID C000026586 | -0.05%               | 1.57%                | 0.46%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $536231.56               | $-16079473.86                              |
| Month 2  | $3774687.30              | $14205879.14                               |
| Month 3  | $4040044.79              | $10166597.07                               |

**Designated Index Information**

- **Index Name:** Bloomberg Inter US Government/Credit Total Return Unhedged Index

- **Index Identifier:** LF97TRUU

### 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 AE0517 FN 11/35 FIXED VAR                     | CUSIP: 31419ASF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14664 | PA      | $15241.05     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 003229 G2 04/32 FIXED 7                    | CUSIP: 36202DSS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $453.10       | 0.00%             | 2032-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                 | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        718 | PA      | $746.92       | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.64300 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6791.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 081136 G2 11/34 FLOATING VAR               | CUSIP: 36225DHN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        565 | PA      | $578.77       | 0.00%             | 2034-11-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                                               | JANE STREET GROUP LLC 2024 TERM LOAN B1                 | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    1091406 | PA      | $1084928.76   | 0.06%             | 2031-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                             | REACH FINANCIAL LLC REACH 2024 1A A 144A                | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      59113 | PA      | $59199.82     | 0.00%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5811.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                  | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     604824 | PA      | $597349.25    | 0.04%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 735883 FN 03/33 FIXED VAR                     | CUSIP: 31402RRC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6932 | PA      | $7195.33      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-797.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G02781 FG 04/37 FIXED 5.5             | CUSIP: 3128M4M67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        696 | PA      | $724.52       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 763798 FN 03/34 FIXED 5.5                     | CUSIP: 31404BRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2073 | PA      | $2107.26      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60671 | PA      | $60067.53     | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                 | UNITED KINGDOM GILT BONDS REGS 07/54 4.375              | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    4000000 | PA      | $4503960.73   | 0.27%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123391 | PA      | $119009.18    | 0.01%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $915590.91    | 0.05%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                | JPMORGAN CHASE + CO SR UNSECURED 01/31 VAR              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2066034.34   | 0.12%             | 2031-01-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3         | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8232 | PA      | $7662.68      | 0.00%             | 2033-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QE8999 FR 08/52 FIXED 4               | CUSIP: 3133BJ7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     830617 | PA      | $785470.83    | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                     | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     900000 | PA      | $937260.00    | 0.06%             | 2027-01-07      | Floating      | 17.18%                | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2                              | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A3 144A     | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2635486 | PA      | $2656577.35   | 0.16%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QG9137 FR 08/53 FIXED 5.5             | CUSIP: 3133CAEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1629429 | PA      | $1648049.69   | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW8846 FN 09/52 FIXED 4                       | CUSIP: 3140N1ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76967 | PA      | $72693.30     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | 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      | $-60005.22    | -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      | $223564.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-5136.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                            | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1472485 | PA      | $1474103.74   | 0.09%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA POOL BC3794 GN 10/47 FIXED 3.5                     | CUSIP: 3617B7GB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     401430 | PA      | $369011.51    | 0.02%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-474.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                               | ROMARK CREDIT FUNDING LTD RCF 2025 4A A 144A            | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1303510.00   | 0.08%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $16768.10     | 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      | $-297545.56   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4516.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1                     | GM FINANCIAL REVOLVING RECEIVA GMREV 2023 1 A 144A      | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2665880.88   | 0.16%             | 2035-04-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5             | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14481 | PA      | $15040.25     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                        | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A    | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2892347 | PA      | $2401099.12   | 0.14%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3806.02     | -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      | $-5948.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.30000 09/25/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1029.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-25503.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.01        | 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      | $6605.07      | 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      | $-6.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/2.85000 08/29/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-84844.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                        | WP CAREY INC SR UNSECURED 07/30 4.65                    | CUSIP: 92936UAN9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     700000 | PA      | $704443.74    | 0.04%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                               | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A        | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1177863.27   | 0.07%             | 2036-08-29      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                       | TEVA PHARM FIN IV COMPANY GUAR 12/30 5.75               | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     640000 | PA      | $659759.36    | 0.04%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $133.69       | 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      | $-3077.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5             | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127854 | PA      | $129222.80    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | 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        |    8500000 | PA      | $8425101.40   | 0.50%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                  | CANADIAN NATL RESOURCES SR UNSECURED 144A 12/29 5       | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     800000 | PA      | $818173.30    | 0.05%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 953000 FN 07/37 FIXED 5.5                     | CUSIP: 31413RGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41028 | PA      | $42581.18     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CORP NACIONAL DEL COBRE DE CHILE CODELCO (CODELCO)                  | CODELCO INC SR UNSECURED 144A 01/35 6.33                | CUSIP: 21987BBL1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     500000 | PA      | $534375.00    | 0.03%             | 2035-01-13      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $31964.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2023-2A                                    | OCTANE RECEIVABLES TRUST OCTL 2023 2A A2 144A           | CUSIP: 67571QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     221712 | PA      | $221934.22    | 0.01%             | 2031-06-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOUTH AFRICA EM SP MYC                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $38425.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                             | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A    | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3143429 | PA      | $2716854.98   | 0.16%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                        | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 10/30 4.375  | CUSIP: 147918AF3<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    1900000 | PA      | $1911431.22   | 0.11%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BY0191 FN 05/53 FIXED 5                       | CUSIP: 3140NGF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2278579 | PA      | $2268584.82   | 0.13%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | AUST 10Y BOND FUT DEC25 XSFE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        298 | NC      | $-120301.96   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.28000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $79946.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A39012 FG 06/35 FIXED 5.5             | CUSIP: 31297VAM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6985 | PA      | $7265.50      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $33.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                         | MEXICAN UDIBONOS BONDS 11/31 2.75                       | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3676787 | PA      | $181947.11    | 0.01%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-2                                       | COUNTRYWIDE HOME LOANS CWHL 2004 2 3A1                  | CUSIP: 12669FKT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236381 | PA      | $236396.59    | 0.01%             | 2034-03-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                       | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     192480 | PA      | $182600.91    | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04614 FG 02/34 FIXED 6               | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $283.07       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/1.75000 12/21/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10749618.81  | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-29637.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5               | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1698473 | PA      | $1692774.72   | 0.10%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                     | XCEL ENERGY INC SR UNSECURED 04/35 5.6                  | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2178648.72   | 0.13%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4916.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                          | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1612904.59   | 0.09%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2600000 | NC      | $-703.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $8833.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                 | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375          | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     199808 | PA      | $196665.77    | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                              | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4173196.02   | 0.25%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 967211 FN 12/37 FIXED 5.5                     | CUSIP: 31414JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52656 | PA      | $54668.26     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 3A           | CUSIP: 86359BWG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34051 | PA      | $33167.34     | 0.00%             | 2034-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 545888 FN 08/32 FIXED VAR                     | CUSIP: 31385JND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        408 | PA      | $422.15       | 0.00%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $233.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                       | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3138092 | PA      | $2826793.26   | 0.17%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                   | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A         | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393130 | PA      | $394568.83    | 0.02%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $87908.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA4867 FN 01/53 FIXED 4.5                     | CUSIP: 31418EMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1752027 | PA      | $1709987.88   | 0.10%             | 2053-01-01      | 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      | $24840.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 802084 FN 11/34 FIXED 5.5                     | CUSIP: 31405XCV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5314 | PA      | $5523.57      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3015.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                            | AMERICAN HOMES 4 RENT SR UNSECURED 06/30 4.95           | CUSIP: 02666TAK3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     600000 | PA      | $611184.85    | 0.04%             | 2030-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.60933 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-30715.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 679640 G2 06/48 FIXED 4                    | CUSIP: 36295TBH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1298125 | PA      | $1227420.36   | 0.07%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3712.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2350.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.58600 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7865.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1174050.66   | 0.07%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-47290.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL0442 FN 06/40 FIXED VAR                     | CUSIP: 3138EGP40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24522 | PA      | $25527.92     | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-970.00      | -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      | $-45121.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                               | WELLS FARGO + COMPANY SR UNSECURED 04/36 VAR            | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3149519.16   | 0.19%             | 2036-04-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AD0570 FN 08/37 FIXED VAR                     | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5696 | PA      | $5853.20      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                  | VICI PROPERTIES LP SR UNSECURED 04/35 5.625             | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1127096.81   | 0.07%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-38096.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11100000 | PA      | $10690687.50  | 0.63%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                         | CENCORA INC SR UNSECURED 05/32 3.625                    | CUSIP: ACI2X73C0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     700000 | PA      | $831802.97    | 0.05%             | 2032-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1244.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                       | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.375      | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1506000 | PA      | $1476475.47   | 0.09%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                      | NRG ENERGY INC SR SECURED 144A 10/30 4.734              | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1900586.21   | 0.11%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12883.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0511 FN 09/30 FIXED 4.5                     | CUSIP: 31417YR90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13745 | PA      | $13812.56     | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES INC                                         | SYSTEM ENERGY RESOURCES 1ST REF MORT 12/34 5.3          | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1107909.36   | 0.07%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $6033219.23   | 0.36%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $4620.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $723361.20    | 0.04%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1148.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8         | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2700713.91   | 0.16%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-76056.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                           | INDYMAC ARM TRUST INARM 2001 H2 A1                      | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8819 | PA      | $8649.57      | 0.00%             | 2032-01-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2738.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-207352.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                      | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117272 | PA      | $113070.53    | 0.01%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $56051.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS8                               | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS8 A4         | CUSIP: 74924RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     895992 | PA      | $886905.49    | 0.05%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 735861 FN 09/33 FIXED VAR                     | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5734 | PA      | $5903.43      | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                | STONEPEAK SALTT 2021 1A AA 144A                         | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1196234 | PA      | $1156541.83   | 0.07%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $25763.25     | 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      | $-1158.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-497.23      | -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      | $33935.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                   | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |    2900000 | PA      | $2199831.83   | 0.13%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04624 FG 02/33 FIXED 6               | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2051 | PA      | $2130.80      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                          | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1340000000 | PA      | $8305761.91   | 0.49%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK49                                                     | BANK BANK 2025 BNK49 ASB                                | CUSIP: 05494FBM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     763000 | PA      | $807377.30    | 0.05%             | 2058-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W6                                        | FANNIEMAE WHOLE LOAN FNW 2004 W6 3A5                    | CUSIP: 31393YX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6829294 | PA      | $7201877.96   | 0.42%             | 2034-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 647903 FN 04/27 FLOATING VAR                  | CUSIP: 31390JX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.91        | 0.00%             | 2027-04-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-287852.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21266064 | PA      | $20618337.60  | 1.21%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-1                                 | MASTR SPECIALIZED LOAN TRUST MASD 2007 1 A 144A         | CUSIP: 57645KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212890 | PA      | $83194.87     | 0.00%             | 2037-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-185099.37   | -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      | $-40350.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                              | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                  | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $298076.79    | 0.02%             | 2027-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.65000 08/14/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-32939.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW9648 FN 07/53 FIXED 3.5                     | CUSIP: 3140N2WJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     390039 | PA      | $357240.27    | 0.02%             | 2053-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $115359.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $2813671.88   | 0.17%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1012.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                           | MITSUBISHI UFJ FIN GRP SR UNSECURED 01/36 VAR           | CUSIP: 606822DH4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1785863.75   | 0.11%             | 2036-01-16      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $118.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL5548 FN 05/38 FLOATING VAR                  | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     338929 | PA      | $351903.85    | 0.02%             | 2038-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4679.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                          | HPS CORPORATE LENDING FU SR UNSECURED 144A 06/27 5.3    | CUSIP: 40440VAL9<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2112280.67   | 0.12%             | 2027-06-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04618 FG 07/33 FIXED 6               | CUSIP: 3128M6PB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3342 | PA      | $3492.07      | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22971000 | PA      | $-23006337.06 | -1.35%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G03640 FG 12/37 FIXED 5.5             | CUSIP: 3128M5LV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6495 | PA      | $6758.74      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                         | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  249800000 | PA      | $43845277.11  | 2.58%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 889234 FN 03/38 FIXED VAR                     | CUSIP: 31410G4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3180 | PA      | $3302.36      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                              | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A             | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $2002250.01   | 0.12%             | 2038-01-22      | Floating      | 3.27%                 | 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        |       -100 | NC      | $-11146.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $8.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1271 | PA      | $1283.56      | 0.00%             | 2035-09-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222320 | PA      | $225187.62    | 0.01%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                  | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A         | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1605436.96   | 0.09%             | 2028-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7739 | PA      | $7553.78      | 0.00%             | 2035-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0299 FN 01/30 FIXED 4                       | CUSIP: 31417YKM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94923 | PA      | $94694.68     | 0.01%             | 2030-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                             | ENI SPA SR UNSECURED 144A 05/35 5.75                    | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     800000 | PA      | $833715.42    | 0.05%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 888256 FN 02/37 FLOATING VAR                  | CUSIP: 31410FZV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1761 | PA      | $1802.83      | 0.00%             | 2037-02-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $328.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 871251 FN 04/36 FIXED 5.5                     | CUSIP: 31409G5L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2509 | PA      | $2585.97      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                 | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5             | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906123 | PA      | $906662.41    | 0.05%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 640050 FN 04/32 FIXED 6                       | CUSIP: 31390ABT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1115 | PA      | $1138.90      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-1                                      | CARMAX AUTO OWNER TRUST CARMX 2023 1 A3                 | CUSIP: 14318DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     360659 | PA      | $361461.66    | 0.02%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1770919.33   | 0.10%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 995049 FN 02/38 FIXED VAR                     | CUSIP: 31416BL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3337 | PA      | $3506.87      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2021-DM                           | GS MORTGAGE SECURITIES TRUST GSMS 2021 DM A 144A        | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2998990.50   | 0.18%             | 2036-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3          | CUSIP: 12667AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559028 | PA      | $533877.35    | 0.03%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                   | KINDER MORGAN INC COMPANY GUAR 06/35 5.85               | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2950880.63   | 0.17%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1055.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                        | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1300000 | PA      | $1573778.52   | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-30288.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST 2023-2                          | GENERAL MOTORS GFORT 2023 2 A 144A                      | CUSIP: 361886CW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5271932.73   | 0.31%             | 2030-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-111896.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62174 | PA      | $61888.49     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                  | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7         | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     302756 | PA      | $278280.68    | 0.02%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                 | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A     | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3542634.00   | 0.21%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX6179 FN 02/53 FIXED 5                       | CUSIP: 3140NA2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2298060 | PA      | $2292064.82   | 0.13%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AC6150 FN 11/39 FIXED 5.5                     | CUSIP: 31417SZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179188 | PA      | $185675.65    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/4.06000 07/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-235263.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R9N9 PIMCO FXVAN PUT EUR USD 1.12900000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    8254000 | NC      | $290.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                      | MORGAN STANLEY SR UNSECURED 02/29 VAR                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2648000 | PA      | $2705354.73   | 0.16%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL DA6087 FN 12/53 FIXED 6.5                     | CUSIP: 3140A6XR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     327475 | PA      | $340043.99    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-60066.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 253947 FN 08/31 FIXED 8                       | CUSIP: 31371KBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $555.33       | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 764388 FN 03/34 FLOATING VAR                  | CUSIP: 31404CF54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2629 | PA      | $2647.38      | 0.00%             | 2034-03-01      | Floating      | 6.01%                 | 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        |    5700000 | PA      | $5790117.00   | 0.34%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN OWNER TRUST 1999-3                                | FREMONT HOME LOAN OWNER TRUST FREHE 1999 3 A2           | CUSIP: 35729BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17986 | PA      | $17581.26     | 0.00%             | 2029-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G01673 FG 04/34 FIXED 5.5             | CUSIP: 31283H2E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $223.17       | 0.00%             | 2034-04-01      | 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      | $-342137.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                     | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95   | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    1500000 | PA      | $1482429.56   | 0.09%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8841.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                          | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2     | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |     283500 | PA      | $332843.36    | 0.02%             | 2026-02-27      | Floating      | 4.12%                 | Yes           |                  3 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267988 | PA      | $1263512.34   | 0.07%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31700000 | PA      | $31475871.17  | 1.85%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5273 FN 02/54 FIXED 6.5                     | CUSIP: 31418E2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1671776 | PA      | $1729706.61   | 0.10%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $5958.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0908 FN 11/31 FIXED 4                       | CUSIP: 31418AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1399 | PA      | $1392.05      | 0.00%             | 2031-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9633.43     | -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      | $-10535.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.95561 02/11/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4065.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.61300 08/22/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1486.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX9985 FN 04/53 FIXED 5                       | CUSIP: 3140NFCX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1449766 | PA      | $1447069.51   | 0.09%             | 2053-04-01      | Fixed         | 5.00%                 | 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        |       6932 | PA      | $7196.97      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX9039 FN 03/53 FIXED 4                       | CUSIP: 3140NEBH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     896328 | PA      | $849295.48    | 0.05%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 888103 FN 09/36 FIXED VAR                     | CUSIP: 31410FU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6921 | PA      | $7204.97      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | 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        |       -100 | NC      | $-21423.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON 1ST MORTGAGE 06/26 4.9              | CUSIP: 842400HW6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1204028.65   | 0.07%             | 2026-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 931983 FN 09/39 FIXED 5.5                     | CUSIP: 31412QM89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78464 | PA      | $81302.56     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1401 | NC      | $943063.89    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                           | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     334203 | PA      | $334621.16    | 0.02%             | 2030-04-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-7974.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2023-3A                                  | LAD AUTO RECEIVABLES TRUST LADAR 2023 3A A3 144A        | CUSIP: 50168BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     394702 | PA      | $395125.81    | 0.02%             | 2027-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C91305 FG 06/30 FIXED 4.5             | CUSIP: 3128P7NW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     341147 | PA      | $342759.54    | 0.02%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1667.13     | -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      | $-143756.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-127847.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-14857.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/40 9           | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2600000 | PA      | $137864.74    | 0.01%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 759360 FN 01/34 FIXED 5.5                     | CUSIP: 31403VTR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10189 | PA      | $10351.87     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20260209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-81850.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                   | CAPITAL ONE FINANCIAL CO SR UNSECURED 09/31 VAR         | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4564312.88   | 0.27%             | 2031-09-11      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17185 | PA      | $14804.23     | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-8621.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G02461 FG 11/36 FIXED 6.5             | CUSIP: 3128M4B69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2984 | PA      | $3160.80      | 0.00%             | 2036-11-01      | Fixed         | 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      | $203.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                      | DATABRICKS INC DELAYED DRAW TERM LOAN                   | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     295238 | PA      | $295238.20    | 0.02%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3431000 | NC      | $1667.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | REPU STATE STREET GLOBAL MARKE USD REPU SSB T           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -79876125 | PA      | $-79885821.07 | -4.70%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8383 FR 12/53 FIXED 5.5             | CUSIP: 3132DWJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15169970 | PA      | $15341764.61  | 0.90%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 256022 FN 12/35 FIXED 5.5                     | CUSIP: 31371MLB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5021 | PA      | $5226.94      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 725425 FN 04/34 FIXED VAR                     | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3933 | PA      | $4041.60      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE NETHERLANDS BV                              | IMPERIAL BRANDS FIN NETH COMPANY GUAR REGS 02/31 5.25   | CUSIP: ACI2CX5L4<br>LEI: 724500GIEFJOBWGD0272 | Long             | DBT              | CORP              | NL        |    2400000 | PA      | $3060106.01   | 0.18%             | 2031-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 02/44 4.5                               | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5100000 | PA      | $4989433.58   | 0.29%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $30093.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR JPY MUT+5.89/0.7500 6/20/19-20Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $66899.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                            | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR         | CUSIP: 539439BB4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $804560.10    | 0.05%             | 2028-11-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $7365.32      | 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      | $235872.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2899.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.59900 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1544.66      | 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      | $8692.09      | 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      | $-1475.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                | JPMORGAN CHASE + CO SR UNSECURED 04/31 VAR              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6550000 | PA      | $6768304.88   | 0.40%             | 2031-04-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1467.84      | 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      | $4003.67      | 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      | $5.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                             | GA GLOBAL FUNDING TRUST SECURED 144A 09/28 1.95         | CUSIP: 36143L2D6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1140005.78   | 0.07%             | 2028-09-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $30902.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-231.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                          | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR           | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3466257.57   | 0.20%             | 2029-03-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $766.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                        | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11515 | PA      | $11779.99     | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.60000 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $494.75       | 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      | $-1391772.97  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF6557 FR 01/53 FIXED 4               | CUSIP: 3133BUJA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     742659 | PA      | $701597.25    | 0.04%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                       | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8362 | PA      | $7960.97      | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.61100 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-889.34      | -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      | $-3282.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2764000 | PA      | $2872428.46   | 0.17%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                             | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05   | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     300000 | PA      | $303970.52    | 0.02%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1906.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1101028.02   | 0.06%             | 2034-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-11232.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.70000 08/13/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-39623.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278601 | PA      | $256027.24    | 0.02%             | 2035-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                 | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ A 144A     | CUSIP: 05523GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1673805.00   | 0.10%             | 2034-08-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP  | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5         | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $204091.00    | 0.01%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                      | VAR ENERGI ASA SR UNSECURED 144A 05/30 5.875            | CUSIP: 92212WAF7<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    1900000 | PA      | $1977512.08   | 0.12%             | 2030-05-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-6658.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                       | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                  | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3251 | PA      | $3170.07      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/43 4.375                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22700000 | PA      | $21914810.63  | 1.29%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.90000 06/24/25-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $473339.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-83.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-197.16      | -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      | $-90367.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BMO 2025-5C11 MORTGAGE TRUST                                        | BMO MORTGAGE TRUST BMO 2025 5C11 A2                     | CUSIP: 096941AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3703469.76   | 0.22%             | 2058-07-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12466.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                               | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR          | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |     250000 | PA      | $256300.00    | 0.02%             | 2029-04-09      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS MXN TIIE1/7.77500 04/07/25-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $2949.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/30 4                                 | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9900000 | PA      | $10017562.50  | 0.59%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5928.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.55000 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8894.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                   | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A4 144A      | CUSIP: 57643QBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70186 | PA      | $48704.41     | 0.00%             | 2035-07-25      | Fixed         | 8.00%                 | 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      | $-10434.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 929187 FN 03/38 FIXED 5.5                     | CUSIP: 31412MJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39262 | PA      | $40794.51     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | 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        |     573254 | PA      | $537361.03    | 0.03%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $447243.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R8E0 PIMCO FXVAN PUT EUR USD 1.14500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    8415000 | NC      | $652.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                  | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     722702 | PA      | $715333.26    | 0.04%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $734.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24800000 | PA      | $20843625.00  | 1.23%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $268.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-6211.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                 | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/35 4.67          | CUSIP: 65339KDT4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1481901.73   | 0.09%             | 2035-06-12      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1         | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37089 | PA      | $36037.35     | 0.00%             | 2036-10-25      | Floating      | 6.17%                 | 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        |       5497 | PA      | $5722.59      | 0.00%             | 2037-08-01      | 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      | $-164809.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3122.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -43300000 | PA      | $-36486835.93 | -2.15%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9600000 | NC      | $-58551.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     415000 | PA      | $411852.98    | 0.02%             | 2025-12-11      | None          | 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      | $-2229.74     | -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      | $-431708.25   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                     | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149556 | PA      | $81776.82     | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-731.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                        | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     831000 | PA      | $719255.40    | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $18761.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                  | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9919910 | PA      | $9663714.94   | 0.57%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 190399 FN 11/39 FIXED VAR                     | CUSIP: 31368HNQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7799 | PA      | $8081.64      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2006-2                                 | MASTR SPECIALIZED LOAN TRUST MASD 2006 2 A 144A         | CUSIP: 57643AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111551 | PA      | $109784.09    | 0.01%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     423000 | NC      | $8475.87      | 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      | $19902.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 003586 G2 07/34 FIXED 6.5                  | CUSIP: 36202D6X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1585 | PA      | $1678.71      | 0.00%             | 2034-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G01644 FG 02/34 FIXED 5.5             | CUSIP: 31283HZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $390.90       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 06/30 3.75                              | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23100000 | PA      | $23113986.36  | 1.36%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 928480 FN 07/37 FIXED 6                       | CUSIP: 31412LQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1781 | PA      | $1871.64      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A25162 FG 05/34 FIXED 5.5             | CUSIP: 31297CWX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $682.85       | 0.00%             | 2034-05-01      | 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      | $12328.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-60668.86    | -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      | $-11721.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 992629 FN 11/38 FIXED 5.5                     | CUSIP: 31415XVW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10555 | PA      | $10908.21     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                 | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85    | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3665921.94   | 0.22%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6151 | PA      | $6226.96      | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12880.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                       | SIXTH STREET LENDING PAR SR UNSECURED 03/29 6.5         | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |     600000 | PA      | $623902.95    | 0.04%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 254692 FN 03/33 FIXED 5.5                     | CUSIP: 31371K2Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7431 | PA      | $7606.95      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1       | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179334 | PA      | $166796.95    | 0.01%             | 2037-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $156.52       | 0.00%             |  |  |  | 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      | $-9777.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                | JPMORGAN CHASE + CO SR UNSECURED 01/27 VAR              | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     458000 | PA      | $457499.24    | 0.03%             | 2027-01-29      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.60806 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12213.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AB0528 FN 04/39 FIXED 5                       | CUSIP: 31416VSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272652 | PA      | $279511.44    | 0.02%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/4.08000 06/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-86282.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 003151 G2 10/31 FIXED 7                    | CUSIP: 36202DQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $526.99       | 0.00%             | 2031-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 003240 G2 05/32 FIXED 7                    | CUSIP: 36202DS51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $453.46       | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $3280.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                              | MARVELL TECHNOLOGY INC SR UNSECURED 07/35 5.45          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $722008.96    | 0.04%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                               | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR            | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $3070891.75   | 0.18%             | 2027-02-23      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                | INTEGRITY RE III UNSECURED 144A 06/27 VAR               | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $280525.00    | 0.02%             | 2027-06-06      | Floating      | 29.46%                | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                         | NFL FOOTBALL CLUB TERM NOTES 2 CORPNFLB6                | CUSIP: 957HIZII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $707876.55    | 0.04%             | 2034-10-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-76385.26    | -0.00%            |  |  |  | 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      | $-283711.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-10228.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                   | AMCOR FLEXIBLES NORTH AM COMPANY GUAR 03/28 4.8         | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1618469.86   | 0.10%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $54.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4531925.77   | 0.27%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS MXN TIIE1/7.79000 04/07/25-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $43388.40     | 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      | $-3884.64     | -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      | $17762.30     | 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      | $20833.51     | 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        |   18500000 | PA      | $18500000.00  | 1.09%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.8724* 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $101739.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-A                                        | SBNA AUTO LEASE TRUST SBALT 2024 A A3 144A              | CUSIP: 78414SAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     703191 | PA      | $705353.17    | 0.04%             | 2026-11-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27227.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-552.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1025.36      | 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      | $-9739.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 04/28 1.25                              | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19200000 | PA      | $18091124.93  | 1.06%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-486.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BX24<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     900000 | PA      | $899773.92    | 0.05%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST 2023-B                                      | NISSAN AUTO LEASE TRUST NALT 2023 B A4                  | CUSIP: 65473FAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2528853 | PA      | $2531340.46   | 0.15%             | 2027-11-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2023-BA ASSET-BACKED NOTES | FORD AUTO SECURITIZATION TRUST FASTR 2023 BA A2 144A    | CUSIP: 345214AY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2246525 | PA      | $1646249.70   | 0.10%             | 2028-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 310020 FN 11/35 FIXED VAR                     | CUSIP: 31374CK96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103102 | PA      | $107001.47    | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTATE LINE COMPANY                             | TRANS ALLEGHENY INTERSTA SR UNSECURED 144A 01/31 5      | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2565752.85   | 0.15%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3308.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                             | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2455390 | PA      | $2431435.29   | 0.14%             | 2036-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $325.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                      | MORGAN STANLEY SR UNSECURED 04/36 VAR                   | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6280000 | PA      | $6628762.88   | 0.39%             | 2036-04-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                 | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $251025.00    | 0.01%             | 2030-01-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080180 G2 03/28 FLOATING VAR               | CUSIP: 36225CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7212 | PA      | $7233.03      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                          | US BANCORP SR UNSECURED 02/31 VAR                       | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3077802.27   | 0.18%             | 2031-02-12      | Floating      | 5.05%                 | 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        |   77000000 | PA      | $78653227.73  | 4.63%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080968 G2 07/34 FLOATING VAR               | CUSIP: 36225DCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5674 | PA      | $5765.52      | 0.00%             | 2034-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $444.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72479 | PA      | $76417.93     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/30 4.125                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14900000 | PA      | $15152310.49  | 0.89%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                      | DATABRICKS INC LAST OUT TERM LOAN                       | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    1333908 | PA      | $1357250.92   | 0.08%             | 2031-01-03      | Floating      | 8.72%                 | No            |                  3 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                | COLLEGE AVE STUDENT LOANS CASL 2023 B A1B 144A          | CUSIP: 19425MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3363788 | PA      | $3382113.59   | 0.20%             | 2054-06-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04595 FG 12/33 FIXED 5.5             | CUSIP: 3128M6NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17888 | PA      | $18092.16     | 0.00%             | 2033-12-01      | 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      | $3167.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 971726 FN 02/38 FIXED 5.5                     | CUSIP: 31414PA33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4282 | PA      | $4379.69      | 0.00%             | 2038-02-01      | 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      | $-5258.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED REGS 08/30 VAR                | CUSIP: H42097AZ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $382129.65    | 0.02%             | 2030-08-13      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $44811.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $929.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3003.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A   | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3273098.85   | 0.19%             | 2042-06-10      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $537.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3        | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694785 | PA      | $678140.78    | 0.04%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA POOL 781319 GN 07/31 FIXED 7                       | CUSIP: 36225BPC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1756 | PA      | $1846.07      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $702.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA3088 FN 08/47 FIXED 4                       | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18420 | PA      | $17719.54     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                  | VICI PROPERTIES LP SR UNSECURED 11/31 5.125             | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     900000 | PA      | $913679.18    | 0.05%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20251124                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $837.28       | 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      | $-8.13        | -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        |        667 | NC      | $51101.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3003673 | PA      | $3004641.79   | 0.18%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                   | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2278393 | PA      | $2230965.79   | 0.13%             | 2036-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                         | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     700000 | PA      | $710188.32    | 0.04%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA6287 G2 11/49 FIXED 5                    | CUSIP: 36179U6Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233203 | PA      | $236506.03    | 0.01%             | 2049-11-20      | 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      | $-24363.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.88500 07/12/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-65495.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 745093 FN 12/35 FIXED VAR                     | CUSIP: 31403CXW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34259 | PA      | $35664.40     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $5013.25      | 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      | $30916.71     | 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      | $210.65       | 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      | $-237.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                 | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR            | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $312825.00    | 0.02%             | 2032-06-07      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                             | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4096681.54   | 0.24%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $13.78        | 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      | $844.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 775474 FN 05/34 FIXED 5.5                     | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2893 | PA      | $2999.57      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $8581.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35450.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS BV                                               | BP CAPITAL MARKETS B.V. 09/31 3.36                      | CUSIP: ACI2R4D66<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $2379217.07   | 0.14%             | 2031-09-12      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BY4760 FN 07/53 FIXED 5.5                     | CUSIP: 3140NMJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     923666 | PA      | $936021.92    | 0.06%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 252409 FN 03/29 FIXED 6.5                     | CUSIP: 31371HKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.68        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTRALOT CAPITAL LUXEMBOURG SA                                      | INTRALOT CAPITAL LUX SR SECURED 144A 10/31 VAR          | CUSIP: ACI30MW05<br>LEI: 549300QF747C7UWZYB38 | Long             | DBT              | CORP              | LU        |    1300000 | PA      | $1530535.91   | 0.09%             | 2031-10-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINANCE BV                                      | EMBRAER NETHERLANDS FINA COMPANY GUAR 02/35 5.98        | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $1061505.00   | 0.06%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                  | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/36 6.75        | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $531401.00    | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9600000 | NC      | $-1281.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 357886 FN 07/35 FIXED 5.5                     | CUSIP: 31376KRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18011 | PA      | $18704.31     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $24764.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                           | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3598791 | PA      | $4226463.60   | 0.25%             | 2033-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3781.10     | -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      | $-378.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-104502.92   | -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      | $24348.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 823358 FN 02/35 FLOATING VAR                  | CUSIP: 31406XWT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1659 | PA      | $1690.11      | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3937.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                     | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR         | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $418739.62    | 0.02%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1          | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2370 | PA      | $2208.14      | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                    | VOYA CLO LTD VOYA 2017 3A A1RR 144A                     | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2102694.83   | 0.12%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $10004.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3314.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-64141.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/44 4.625                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23200000 | PA      | $22990656.19  | 1.35%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7566 | PA      | $7134.89      | 0.00%             | 2034-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                         | NATIONAL FOOTBALL LEAGUE 5YR J CORPNFL67                | CUSIP: 957ZEZII6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1015325.45   | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2500.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 03/30 3.625                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10400000 | PA      | $10359171.89  | 0.61%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                         | NATIONAL FOOTBALL LEAGUE 5YR O CORPNFLA8                | CUSIP: 957ZFZII5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1003299.05   | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 939419 FN 05/37 FLOATING VAR                  | CUSIP: 31413ADY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3991 | PA      | $4041.97      | 0.00%             | 2037-05-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                    | PUGET ENERGY INC SR SECURED 03/35 5.725                 | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     800000 | PA      | $826547.69    | 0.05%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                  | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A3 144A          | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1975569 | PA      | $1991350.66   | 0.12%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC COMPANY GUAR 04/31 5.45                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2495325.43   | 0.15%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 683271 FN 02/33 FIXED 5.5                     | CUSIP: 31400CCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20062 | PA      | $20787.48     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                           | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     893256 | PA      | $1049937.00   | 0.06%             | 2031-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2377.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32300000 | PA      | $29990423.71  | 1.76%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-17784.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 1A1        | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3832327 | PA      | $3144607.18   | 0.19%             | 2047-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26974 | PA      | $26527.50     | 0.00%             | 2036-06-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AE4703 FN 09/30 FIXED 4                       | CUSIP: 31419FGM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11566 | PA      | $11470.07     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6057.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-27948.53    | -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      | $1152.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815       | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $878134.86    | 0.05%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XI LTD 2019-2A                                          | ALLEGRO CLO LTD ALLEG 2019 2A A1AR 144A                 | CUSIP: 01750HAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1215765 | PA      | $1217441.47   | 0.07%             | 2033-01-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 09/30 4.625                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14700000 | PA      | $15282257.89  | 0.90%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-8102.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                 | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR            | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     850000 | PA      | $893605.00    | 0.05%             | 2032-03-13      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $13556.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-5032.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                         | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR            | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $296682.60    | 0.02%             | 2028-07-05      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | JPN 10Y BOND(OSE) DEC25 XOSE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -43 | NC      | $374604.83    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | REVERSE REPO BANK OF MONTREAL REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23287000 | PA      | $-23309355.52 | -1.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $29991.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-705559.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1282.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $61.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 615006 FN 11/31 FIXED 7.5                     | CUSIP: 31388UGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        404 | PA      | $404.36       | 0.00%             | 2031-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20251125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1370.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                      | VENTURE CDO LTD VENTR 2017 27A AR 144A                  | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     536561 | PA      | $536855.46    | 0.03%             | 2030-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14600000 | PA      | $10980796.95  | 0.65%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                            | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/33 5.35        | CUSIP: 63633DAG9<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297684.17    | 0.02%             | 2033-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW1385 FN 12/52 FIXED 4                       | CUSIP: 3140MSRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     376270 | PA      | $355533.55    | 0.02%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30500000 | PA      | $27231913.11  | 1.60%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8      | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A   | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2493038 | PA      | $2475025.29   | 0.15%             | 2035-02-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                 | NATWEST MARKETS PLC SR UNSECURED 144A 03/30 VAR         | CUSIP: 63906YAQ1<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $505150.96    | 0.03%             | 2030-03-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.70000 06/24/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-39957.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                           | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6801000 | PA      | $2169570.03   | 0.13%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0800 FN 07/41 FIXED 5.5                     | CUSIP: 31417Y3J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4964 | PA      | $5142.04      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LIMITED                                            | HEATHROW FUNDING LTD SR SECURED REGS 12/33 6.45         | CUSIP: B3CPY8II2<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     100000 | PA      | $143441.42    | 0.01%             | 2033-12-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                          | CORP0HRG0 HRDFDG 5.33 06/09/35                          | CUSIP: 957HXRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $622128.70    | 0.04%             | 2035-06-07      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 062936 FN 01/27 FLOATING VAR                  | CUSIP: 31362J4V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $165.09       | 0.00%             | 2027-01-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1100000 | PA      | $1087746.48   | 0.06%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                             | FREDDIE MAC FHR 5532 FA                                 | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2207562 | PA      | $2212337.35   | 0.13%             | 2055-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-57014.51    | -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      | $13454.02     | 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      | $-72906.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/1.78750 05/03/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-441274.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0130 FN 07/29 FIXED 5                       | CUSIP: 31417YEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5496 | PA      | $5554.27      | 0.00%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 080610 G2 06/32 FLOATING VAR               | CUSIP: 36225CVC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $394.47       | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                     | PHILIP MORRIS INTL INC SR UNSECURED 06/32 3.25          | CUSIP: ACI2XLY76<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1985557.56   | 0.12%             | 2032-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3164.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-181590.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2197.13      | 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      | $-180659.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M2        | CUSIP: 83611MDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33414 | PA      | $33275.15     | 0.00%             | 2035-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                          | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                   | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1040000000 | PA      | $5999699.77   | 0.35%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.60000 01/17/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1926.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-29026.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                               | IVORY COAST SR UNSECURED REGS 03/30 5.25                | CUSIP: BD35RTII6<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    2600000 | PA      | $3047617.15   | 0.18%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 2A1       | CUSIP: 12668ASY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1761455 | PA      | $898776.78    | 0.05%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6353.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 1L0113 FH 05/35 FLOATING VAR          | CUSIP: 3128Q2DS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2990 | PA      | $3093.90      | 0.00%             | 2035-05-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 03/29 2.375                             | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37200000 | PA      | $35650242.05  | 2.10%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 759477 FN 02/34 FIXED 5.5                     | CUSIP: 31403VXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7294 | PA      | $7409.04      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | 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      | $-6311.22     | -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      | $-2651.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3446.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $15299.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/28 1.5                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31400000 | PA      | $29406222.77  | 1.73%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $223.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-195723.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 310104 FN 08/37 FIXED VAR                     | CUSIP: 31374CNV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22831 | PA      | $23492.25     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                        | HUNGARY SR UNSECURED REGS 06/34 4.5                     | CUSIP: ACI2T1RX6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    2200000 | PA      | $2647174.29   | 0.16%             | 2034-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.79500 08/06/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11476.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.23100 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5739.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9166.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 947005 FN 10/37 FIXED 6                       | CUSIP: 31413JR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12021 | PA      | $12636.13     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-41280.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                               | IVORY COAST SR UNSECURED REGS 01/32 4.875               | CUSIP: ACI1T3QV9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    4800000 | PA      | $5386638.36   | 0.32%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                          | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    1100000 | PA      | $335824.66    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399480.18    | 0.02%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $620.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 357906 FN 08/35 FIXED 5.5                     | CUSIP: 31376KR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4283 | PA      | $4453.68      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $36291.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5      | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 A 144A   | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3997836.40   | 0.24%             | 2038-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-7549.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1251.45      | 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      | $-126.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G02366 FG 10/36 FIXED 6.5             | CUSIP: 3128LXTX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4195 | PA      | $4431.97      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $863.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                   | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $196529.92    | 0.01%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                          | PACIFICORP JR SUBORDINA 09/55 VAR                       | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     900000 | PA      | $948885.91    | 0.06%             | 2055-09-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-23475.14    | -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      | $12482.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2019-BN19                                                      | BANK BANK 2019 BN19 ASB                                 | CUSIP: 06540WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2351990 | PA      | $2309226.70   | 0.14%             | 2061-08-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                              | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13298 | PA      | $13208.30     | 0.00%             | 2032-08-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                      | WINSTON RE LTD UNSECURED 144A 02/31 VAR                 | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     700000 | PA      | $756105.00    | 0.04%             | 2031-02-26      | Floating      | 15.62%                | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25            | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4785534.88   | 0.28%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2997.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         69 | NC      | $125936.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NFL FOOTBALL CLUB TERM NOTES 2025-XIX TRUST                         | NATIONAL FOOTBALL LEAGUE 9YR J CORPNFL75                | CUSIP: 957HAAII5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1025315.83   | 0.06%             | 2034-10-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                    | MORGAN STANLEY PVT BANK SR UNSECURED 07/31 VAR          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2030835.22   | 0.12%             | 2031-07-18      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                            | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3075027 | PA      | $2660919.83   | 0.16%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                    | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27556 | PA      | $27517.84     | 0.00%             | 2037-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                     | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A    | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3229082.85   | 0.19%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                        | SYNOPSYS INC SR UNSECURED 04/32 5                       | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1022230.31   | 0.06%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2023-2                           | HONDA AUTO RECEIVABLES OWNER T HAROT 2023 2 A3          | CUSIP: 437927AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2080283 | PA      | $2090027.83   | 0.12%             | 2027-11-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-567.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.67000 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7517.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX5713 FN 02/53 FIXED 4                       | CUSIP: 3140NAK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143733 | PA      | $135686.53    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 676661 FN 01/33 FIXED 5.5                     | CUSIP: 31391TWW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1286.13      | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 06/28 4                                 | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14000000 | PA      | $14139179.74  | 0.83%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2006-3                                 | MASTR SPECIALIZED LOAN TRUST MASD 2006 3 A 144A         | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179590 | PA      | $177113.30    | 0.01%             | 2046-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2650.27      | 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      | $-10476.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 2023-B                                       | TESLA AUTO LEASE TRUST TESLA 2023 B A4 144A             | CUSIP: 88167QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5018546.00   | 0.30%             | 2027-03-22      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-FM2                                                | GSAMP TRUST GSAMP 2004 FM2 M1                           | CUSIP: 36228FN28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1214316 | PA      | $1240497.50   | 0.07%             | 2034-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-110.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                            | CONSTELLATION BRANDS INC SR UNSECURED 05/30 4.8         | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1014620.61   | 0.06%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16131 | PA      | $15517.54     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A10695 FG 07/33 FIXED 4.5             | CUSIP: 31296JXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4614 | PA      | $4582.68      | 0.00%             | 2033-07-01      | 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      | $26570.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-5A LLC                    | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 5A A 144A     | CUSIP: 05377RHC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2656342.00   | 0.16%             | 2028-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 255984 FN 11/25 FIXED 4.5                     | CUSIP: 31371MJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.35         | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-42541.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   10803000 | NC      | $3411.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | LONG GILT FUTURE  DEC25 IFLL 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         39 | NC      | $22417.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3981.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL FS4377 FN 04/52 FIXED VAR                     | CUSIP: 3140XK2K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58240 | PA      | $51215.83     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $20779.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-15413.40    | -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      | $-61.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.70000 06/24/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $462110.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                            | AMERICAN EXPRESS CO SR UNSECURED 05/32 VAR              | CUSIP: ACI2X3ZW0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1420614.70   | 0.08%             | 2032-05-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                     | PHILIP MORRIS INTL INC SR UNSECURED 04/35 4.875         | CUSIP: 718172DU0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1701851.33   | 0.10%             | 2035-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3709.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST 2023-A                                  | VOLKSWAGEN AUTO LEASE TRUST VWALT 2023 A A4             | CUSIP: 92867UAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3417131.24   | 0.20%             | 2028-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $540.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $71.96        | 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      | $15430.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-18227.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW5055 FN 12/52 FIXED 4                       | CUSIP: 3140MWTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2507505 | PA      | $2366334.06   | 0.14%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $9625.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                                       | MEDTRONIC INC COMPANY GUAR 10/45 4.2                    | CUSIP: ACI30CN23<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |     300000 | PA      | $351070.58    | 0.02%             | 2045-10-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.61882 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16760.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BD3604 FN 05/48 FIXED 4                       | CUSIP: 3140FBAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     490368 | PA      | $467435.06    | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -129 | NC      | $-17755.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                   | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2020076 | PA      | $2015149.19   | 0.12%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G03436 FG 11/37 FIXED 6               | CUSIP: 3128M5EH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8568 | PA      | $9044.49      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M4           | CUSIP: 86358ESN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     782700 | PA      | $772291.72    | 0.05%             | 2035-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $4723.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $954.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         86 | NC      | $76711.77     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 09/28 1.25                              | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19200000 | PA      | $17911875.07  | 1.05%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                     | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208482 | PA      | $199896.57    | 0.01%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                             | GA GLOBAL FUNDING TRUST SECURED 144A 09/30 4.5          | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148889.69    | 0.01%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $753.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                               | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 09/30 5       | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     800000 | PA      | $806399.35    | 0.05%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R8V2 PIMCO FXVAN PUT AUD USD 0.61750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4569028 | NC      | $6.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $149.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                  | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2953380.60   | 0.17%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-12599.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 10/30 4.875                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14700000 | PA      | $15454810.60  | 0.91%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/2.61740 09/30/22-25Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2891591.85   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15          | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1395647.55   | 0.08%             | 2026-01-01      | Fixed         | 3.15%                 | 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      | $-868.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW1462 FN 06/52 FIXED 4                       | CUSIP: 3140MSTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     579275 | PA      | $548069.21    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 985615 FN 04/34 FIXED 5.5                     | CUSIP: 31415P3Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5142 | PA      | $5265.34      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | 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        |    4300000 | PA      | $4272159.35   | 0.25%             | 2054-11-15      | 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      | $2748.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBAMR 2019-9A                                                       | CBAMR LTD CBAMR 2019 9A AR 144A                         | CUSIP: 14987VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4019715.44   | 0.24%             | 2037-07-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7549.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AA7356 FN 02/38 FIXED 4.5                     | CUSIP: 31416RE66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7339 | PA      | $7396.59      | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                            | AMERICAN EXPRESS CO SR UNSECURED 04/36 VAR              | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2114047.42   | 0.12%             | 2036-04-25      | Floating      | 5.67%                 | 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        |      34821 | PA      | $36251.20     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                   | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2045914 | PA      | $2049787.36   | 0.12%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                             | DUKE ENERGY CORP SR UNSECURED 09/35 4.95                | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     800000 | PA      | $795294.05    | 0.05%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $36652.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                  | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5         | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130119 | PA      | $125063.99    | 0.01%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3          | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     811132 | PA      | $531218.73    | 0.03%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2023-3A                    | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 3A A 144A     | CUSIP: 05377RGU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2740803.48   | 0.16%             | 2028-02-22      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 750548 FN 02/34 FIXED 5.5                     | CUSIP: 31403JZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5796 | PA      | $5997.63      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                          | SANTANDER HOLDINGS USA SANTANDER HOLDINGS USA           | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     300000 | PA      | $306088.57    | 0.02%             | 2030-09-06      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FB          | CUSIP: 38376R4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     507592 | PA      | $514080.65    | 0.03%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 888023 FN 06/36 FIXED VAR                     | CUSIP: 31410FSL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13320 | PA      | $13653.97     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB          | CUSIP: 38376RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820963 | PA      | $821210.38    | 0.05%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4            | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2302259 | PA      | $2307860.76   | 0.14%             | 2036-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                            | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20277533 | PA      | $1181314.35   | 0.07%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 889977 FN 10/38 FIXED VAR                     | CUSIP: 31410KXE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9460 | PA      | $9847.79      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $18235.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.81358 03/10/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $71089.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 254637 FN 02/33 FIXED 5.5                     | CUSIP: 31371KZA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1340 | PA      | $1371.22      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A     | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4784 | PA      | $4619.26      | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-12822.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 888352 FN 05/37 FIXED VAR                     | CUSIP: 31410F5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3179 | PA      | $3309.24      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2024-P016                | FREDDIE MAC MULTICLASS CERTIFI FHMR 2024 P016 A2        | CUSIP: 3137HDJU5<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    2600000 | PA      | $2627180.66   | 0.15%             | 2033-09-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5             | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425040 | PA      | $430078.84    | 0.03%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 725943 FN 10/34 FIXED VAR                     | CUSIP: 31402DP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4119 | PA      | $4222.57      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 04/28 3.5                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32700000 | PA      | $32609947.14  | 1.92%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $40607.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                    | EQUITABLE AMERICA GLOBAL SECURED 144A 09/32 4.7         | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1792166.42   | 0.11%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1642 | PA      | $1656.52      | 0.00%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     500000 | PA      | $502043.40    | 0.03%             | 2028-01-14      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                             | DUKE ENERGY FLORIDA LLC 1ST MORTGAGE 12/31 2.4          | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     530000 | PA      | $476749.04    | 0.03%             | 2031-12-15      | Fixed         | 2.40%                 | 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        |   -5100000 | PA      | $-4111788.86  | -0.24%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QE4039 FR 06/52 FIXED 4               | CUSIP: 3133BDPY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150077 | PA      | $141992.28    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15848488 | PA      | $14598085.56  | 0.86%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST           | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 11/30 4.375       | CUSIP: 00774MBR5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3000000 | PA      | $2986584.57   | 0.18%             | 2030-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1692.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                      | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     118943 | PA      | $159567.61    | 0.01%             | 2044-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BMW CANADA AUTO TRUST 2024-1A                                       | BMW CANADA AUTO TRUST BMWC 2024 1A A2 144A              | CUSIP: 05570XCL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     666061 | PA      | $482466.90    | 0.03%             | 2027-07-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/42 3.375                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78200000 | PA      | $66657862.99  | 3.92%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2453.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 745428 FN 01/36 FIXED VAR                     | CUSIP: 31403DD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26872 | PA      | $27974.32     | 0.00%             | 2036-01-01      | 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      | $2722.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                   | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR              | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00    | 0.01%             | 2031-09-14      | Floating      | 15.19%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1256.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1600000 | PA      | $1586768.85   | 0.09%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $383.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9470 | PA      | $9037.15      | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -129 | NC      | $-26203.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $2661.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                   | PINNACLE WEST CAPITAL SR UNSECURED 05/28 4.9            | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1016435.42   | 0.06%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF7482 FR 02/53 FIXED 5               | CUSIP: 3133BVJ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9145874 | PA      | $9116131.77   | 0.54%             | 2053-02-01      | 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      | $342.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/30 3.75                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10400000 | PA      | $10409140.66  | 0.61%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-17178.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | GENERAL MOTORS COMPANY SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $31618.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX3263 FN 02/53 FIXED 4                       | CUSIP: 3140N7TV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2064791 | PA      | $1951957.83   | 0.11%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-11697.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0538 FN 10/30 FIXED 4.5                     | CUSIP: 31417YS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24228 | PA      | $24369.10     | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 889037 FN 08/37 FIXED VAR                     | CUSIP: 31410GV67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11640 | PA      | $11952.79     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                    | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                 | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1655 | PA      | $1690.72      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $224.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                             | GA GLOBAL FUNDING TRUST SR SECURED 144A 04/32 5.5       | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     550000 | PA      | $565303.04    | 0.03%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                     | AES CORP/THE SR UNSECURED 06/28 5.45                    | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1280568.26   | 0.08%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $723.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 835168 FN 08/35 FIXED 5.5                     | CUSIP: 31407MZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11714 | PA      | $12194.86     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2779.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                  | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A         | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1001010.40   | 0.06%             | 2029-08-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                          | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                   | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  326000000 | PA      | $2147431.45   | 0.13%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A45796 FG 01/33 FIXED 7               | CUSIP: 3128K6NM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1169 | PA      | $1221.80      | 0.00%             | 2033-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-196523.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   56800000 | PA      | $58738349.42  | 3.46%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $204932.45    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4534.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                          | CAPITAL FOUR CLO CFOUR 10A A 144A                       | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $470377.29    | 0.03%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2156.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                 | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $250450.00    | 0.01%             | 2030-01-08      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                         | STATE OF ISRAEL SR UNSECURED 07/30 2.75                 | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    4100000 | PA      | $3786091.25   | 0.22%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2503.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-120733.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC 2022-3                               | ENTERPRISE FLEET FINANCING LLC EFF 2022 3 A2 144A       | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     357298 | PA      | $357364.12    | 0.02%             | 2029-07-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF2443 FR 11/52 FIXED 4               | CUSIP: 3133BPWC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148636 | PA      | $140444.63    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32517 | PA      | $31112.70     | 0.00%             | 2036-02-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-226265.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2783.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  450300000 | PA      | $25616516.21  | 1.51%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1835.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                    | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16432 | PA      | $16556.85     | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                    | BERRY GLOBAL INC SR SECURED 01/26 1.57                  | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3569331.53   | 0.21%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31462250 | PA      | $-31466042.95 | -1.85%            |  |  |  | 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        |      37640 | PA      | $39089.92     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-14946.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                         | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1961543.17   | 0.12%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $403.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX3687 FN 12/52 FIXED 4                       | CUSIP: 3140N8CZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     925246 | PA      | $873656.66    | 0.05%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                               | PROJECT HUDSON II FIXED TERM LOAN                       | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $708840.10    | 0.04%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $189.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 889992 FN 06/38 FIXED VAR                     | CUSIP: 31410KXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21979 | PA      | $22855.13     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                          | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1 | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    4900000 | PA      | $1520643.42   | 0.09%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20907.26    | -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      | $-5869.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5             | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1083 | PA      | $1112.77      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0920 FN 12/31 FIXED 4                       | CUSIP: 31418AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1610 | PA      | $1601.97      | 0.00%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 06/29 3.25                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31400000 | PA      | $30935745.98  | 1.82%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-766.32      | -0.00%            |  |  |  | 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        |     141240 | PA      | $145015.83    | 0.01%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC HCA INC                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     800000 | PA      | $820918.15    | 0.05%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $181751.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 805516 FN 03/35 FIXED 5.5                     | CUSIP: 31406B3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33953 | PA      | $35186.38     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                    | OCCIDENTAL PETROLEUM COR SR UNSECURED 03/40 6.2         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1729037.70   | 0.10%             | 2040-03-15      | Fixed         | 6.20%                 | 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        |       4561 | PA      | $4735.98      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R9K5 PIMCO FXVAN PUT AUD USD 0.62250000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1251000 | NC      | $9.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/30 4.375                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29600000 | PA      | $30440593.82  | 1.79%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORPORATION                                        | FREEDOM MORTGAGE CORP SR UNSECURED 144A 10/28 12        | CUSIP: 35640YAK3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1484000.00   | 0.09%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 995615 FN 10/37 FLOATING VAR                  | CUSIP: 31416CAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        908 | PA      | $921.08       | 0.00%             | 2037-10-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                 | INTESA SANPAOLO SPA 144A 11/33 7.2                      | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     400000 | PA      | $456012.36    | 0.03%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34449.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R8D2 PIMCO FXVAN PUT AUD USD 0.62500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4262000 | NC      | $8.46         | 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      | $221.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2008-27                                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2008 27 JD           | CUSIP: 38374DTL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11261 | PA      | $11233.63     | 0.00%             | 2037-08-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                 | NATWEST MARKETS PLC SR UNSECURED 144A 03/28 4.789       | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1832831.87   | 0.11%             | 2028-03-21      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                         | PIMCO MORTGAGE BACKED SECURITI PIMCO MBS ACTIVE ETF     | CUSIP: 72201R569<br>LEI: 2549001WTPP9QU7A6W04 | Long             | EC               | RF                | US        |    1362700 | NS      | $67667730.17  | 3.98%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QG0749 FR 04/53 FIXED 5               | CUSIP: 3133C0ZN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     690583 | PA      | $686557.20    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $22515.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                          | ONTARIO (PROVINCE OF) SR UNSECURED 12/34 3.8            | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    7000000 | PA      | $5098432.62   | 0.30%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 810851 FN 01/35 FIXED 5.5                     | CUSIP: 31406HZQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5784 | PA      | $5998.40      | 0.00%             | 2035-01-01      | 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        |     276803 | PA      | $155965.76    | 0.01%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-7007.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                            | WOODSIDE FINANCE LTD WOODSIDE FINANCE LTD               | CUSIP: 980236AR4<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    1000000 | PA      | $992824.00    | 0.06%             | 2034-09-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8325.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 02/34 4                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   77700000 | PA      | $77513338.18  | 4.56%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                         | MEXICAN UDIBONOS BONDS 11/28 4                          | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6070974 | PA      | $330587.73    | 0.02%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS AUD 4.75000 12/20/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $465263.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1496.34     | -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      | $-2205.92     | -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      | $-2184.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS MXN TIIE1/7.91000 04/07/25-7Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $5555.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3769.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.55100 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35188.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                  | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875             | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1039987.72   | 0.06%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                        | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44997 | PA      | $45213.84     | 0.00%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21       | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127807 | PA      | $80183.34     | 0.00%             | 2035-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.50000 06/24/25-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $738289.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                  | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 4.65         | CUSIP: 05565ECU7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2017448.28   | 0.12%             | 2027-03-19      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                   | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/48 8.75        | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3000000 | PA      | $150161.55    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                    | TENN VALLEY AUTHORITY SR UNSECURED 08/34 4.375          | CUSIP: 880591FB3<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    5400000 | PA      | $5462883.76   | 0.32%             | 2034-08-01      | Fixed         | 4.38%                 | 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        |   52100000 | PA      | $15907527.54  | 0.94%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AD0649 FN 08/38 FIXED VAR                     | CUSIP: 31418MWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129742 | PA      | $135062.57    | 0.01%             | 2038-08-01      | 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      | $-122924.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-307.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4           | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $6344925.43   | 0.37%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2         | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9576 | PA      | $9454.69      | 0.00%             | 2034-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1052.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $28289.67     | 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      | $3031.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $39300.29     | 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      | $2781.34      | 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      |
| CONAGRA BRANDS INC                                                  | CONAGRA BRANDS INC SR UNSECURED 08/30 5                 | CUSIP: 205887CK6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1212367.64   | 0.07%             | 2030-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                        | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                 | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1400000.00   | 0.08%             | 2034-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 008744 G2 11/25 FLOATING VAR               | CUSIP: 36202KWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.01         | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04621 FG 05/35 FIXED 6               | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2581.86      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                 | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 3.83          | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1460497.61   | 0.09%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $64697.13     | 0.00%             |  |  |  | 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        |       7903 | PA      | $8332.40      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                    | OCCIDENTAL PETROLEUM COR SR UNSECURED 09/30 6.625       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $214436.60    | 0.01%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M6         | CUSIP: 863576DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238511 | PA      | $238218.02    | 0.01%             | 2035-11-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 735036 FN 12/34 FIXED VAR                     | CUSIP: 31402QSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4462 | PA      | $4627.84      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                 | NOMURA HOLDINGS INC SR UNSECURED 07/30 4.904            | CUSIP: 65535HBZ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $405904.85    | 0.02%             | 2030-07-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                             | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/27 4.45   | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     700000 | PA      | $701939.74    | 0.04%             | 2027-09-11      | Fixed         | 4.45%                 | 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      | $-25052.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                              | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A     | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2816214 | PA      | $2835862.83   | 0.17%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-946.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                  | SANDERS RE III LTD UNSECURED 144A 04/29 VAR             | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2600000 | PA      | $1625000.00   | 0.10%             | 2029-04-09      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G03243 FG 07/37 FIXED 5.5             | CUSIP: 3128M45C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $694.57       | 0.00%             | 2037-07-01      | 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      | $5087.70      | 0.00%             |  |  |  | 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        |   25900000 | PA      | $1381863.23   | 0.08%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX6752 FN 03/53 FIXED 5                       | CUSIP: 3140NBQE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177289 | PA      | $176595.45    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR JPY MUT+5.89/0.7850 11/12/18-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $181423.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21500000 | PA      | $20856982.73  | 1.23%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL RA8790 FR 04/53 FIXED 5               | CUSIP: 3133KQXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84370 | PA      | $84264.99     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | 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        |   39000000 | PA      | $36668428.29  | 2.16%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.52500 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24263.42     | 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      | $12249.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                     | ANGEL OAK MORTGAGE TRUST AOMT 2021 8 A1 144A            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2129835 | PA      | $1912402.55   | 0.11%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                          | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9    | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199009.68    | 0.01%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R9L3 PIMCO FXVAN CALL USD SEK 10.12500000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     807000 | NC      | $6.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                      | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     941000 | PA      | $942179.68    | 0.06%             | 2028-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BN8902 FN 05/49 FIXED 3.5                     | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     326749 | PA      | $302575.87    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8403 FR 02/54 FIXED 6.5             | CUSIP: 3132DWKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1358157 | PA      | $1405125.71   | 0.08%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0563 FN 11/30 FIXED 4                       | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186593 | PA      | $185821.27    | 0.01%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4168.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 765387 FN 08/34 FIXED 6                       | CUSIP: 31404DJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12746 | PA      | $13145.71     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 761558 FN 12/33 FIXED 5.5                     | CUSIP: 31403YB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7656 | PA      | $7727.72      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C                      | HYUNDAI AUTO LEASE SECURITIZAT HALST 2023 C A3 144A     | CUSIP: 44935VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1070020 | PA      | $1072880.39   | 0.06%             | 2026-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 762626 FN 01/34 FIXED 5.5                     | CUSIP: 31404AHB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36516 | PA      | $37349.98     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                    | LAZARD GROUP LLC SR UNSECURED 03/31 6                   | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |     800000 | PA      | $845919.14    | 0.05%             | 2031-03-15      | 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      | $1070.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2905.30      | 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      | $-190946.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-5.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB3914 FN 06/52 FIXED 4                       | CUSIP: 3140QPK48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67486 | PA      | $63829.96     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1843.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2                         | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA2 1A1       | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1344746 | PA      | $1231400.99   | 0.07%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A        | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7788 | PA      | $7261.69      | 0.00%             | 2034-03-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 252292 FN 12/28 FIXED 6                       | CUSIP: 31371HF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        326 | PA      | $335.83       | 0.00%             | 2028-12-01      | 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        |     567030 | PA      | $469328.22    | 0.03%             | 2035-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $8143.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF0330 FR 09/52 FIXED 4               | CUSIP: 3133BMLK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     354527 | PA      | $336683.60    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-42374.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11731.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R8W0 PIMCO FXVAN PUT EUR USD 1.13150000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    8674000 | NC      | $224.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                  | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4491706.43   | 0.26%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                     | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1995133.82   | 0.12%             | 2029-09-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 09/29 3.875                             | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   81000000 | PA      | $81567949.32  | 4.80%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $38227.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3974.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $18963.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-203.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                         | STATE OF ISRAEL SR UNSECURED 02/30 5.375                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1400000 | PA      | $1445806.64   | 0.09%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                     | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     400000 | PA      | $414800.00    | 0.02%             | 2028-01-07      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1314906 | PA      | $1542105.39   | 0.09%             | 2033-08-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                | INTEGRITY RE III UNSECURED 144A 06/27 VAR               | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $263300.00    | 0.02%             | 2027-06-06      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-335309.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-206305.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0493 FN 08/30 FIXED 4                       | CUSIP: 31417YRP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4710 | PA      | $4692.02      | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C91302 FG 05/30 FIXED 4.5             | CUSIP: 3128P7NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16620 | PA      | $16698.71     | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX MPC II SARL                                   | CHILE ELECTRICITY LUX GOVT GUARANT 144A 10/35 5.672     | CUSIP: 16882LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1100000 | PA      | $1135747.47   | 0.07%             | 2035-10-20      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-464.95      | -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      | $3629.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A31       | CUSIP: 76111XYF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205606 | PA      | $164563.20    | 0.01%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7                            | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A7 1A9         | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     772712 | PA      | $634482.62    | 0.04%             | 2036-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                | NORINCHUKIN BANK SR UNSECURED 144A 09/30 4.674          | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $502771.65    | 0.03%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                         | URSA RE LTD UNSECURED 144A 12/26 VAR                    | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    1100000 | PA      | $1134210.00   | 0.07%             | 2026-12-07      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-327.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20251110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $129540.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX9758 FN 04/53 FIXED 5                       | CUSIP: 3140NEZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9880927 | PA      | $9850321.80   | 0.58%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 819030 FN 04/35 FIXED 5.5                     | CUSIP: 31406S4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4392 | PA      | $4544.46      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                           | CAESARS ENTERTAINMENT INC. 2024 TERM LOAN B1            | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    1280500 | PA      | $1279168.28   | 0.08%             | 2031-02-06      | Floating      | 6.41%                 | 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      | $-56682.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                 | CENTENE CORP SR UNSECURED 08/31 2.625                   | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85970.52     | 0.01%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 930768 FN 03/29 FIXED 4                       | CUSIP: 31412PCD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $601.21       | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AE0233 FN 07/39 FIXED VAR                     | CUSIP: 31419AHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124706 | PA      | $129822.63    | 0.01%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-19076.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A3       | CUSIP: 92925GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519703 | PA      | $464038.95    | 0.03%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 003599 G2 08/34 FIXED 6.5                  | CUSIP: 36202D7L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1218 | PA      | $1309.10      | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/27 4.271       | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     600000 | PA      | $595306.66    | 0.04%             | 2027-01-09      | Fixed         | 4.27%                 | 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      | $28769.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD PLN BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1748.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31700000 | PA      | $31170015.63  | 1.83%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                     | PFP III PFP 2024 11 A 144A                              | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     610139 | PA      | $611524.80    | 0.04%             | 2039-09-17      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | REVERSE REPO BANK OF AMERICA REVERSE REPO               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -600250 | PA      | $-600321.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-10179.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                       | AEP TEXAS INC SR UNSECURED 06/28 3.95                   | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1786518.65   | 0.11%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                 | GSAMP TRUST GSAMP 2004 WF M2                            | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14606 | PA      | $14848.31     | 0.00%             | 2034-10-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 797491 FN 03/35 FIXED 5.5                     | CUSIP: 31405R7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     323459 | PA      | $336453.19    | 0.02%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $98582.51     | 0.01%             |  |  |  | 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      | $-69667.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                             | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3075222 | PA      | $2550995.40   | 0.15%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS MXN TIIE1/7.75000 04/07/25-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $31074.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.80000 06/03/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-319729.76   | -0.02%            |  |  |  | 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        |     137446 | PA      | $142587.30    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS2                               | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS2 M3         | CUSIP: 75406BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3838649.88   | 0.23%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $12014.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $51.16        | 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      | $27407.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 743579 FN 11/33 FIXED 5.5                     | CUSIP: 31403BCQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4530 | PA      | $4657.89      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                         | BANK OF AMERICA CORP SR UNSECURED 09/29 VAR             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2510263.27   | 0.15%             | 2029-09-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 47 LTD                           | NEUBERGER BERMAN CLO LTD NEUB 2022 47A A 144A           | CUSIP: 64135DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4800000.00   | 0.28%             | 2035-04-14      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                    | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6             | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $523683.18    | 0.03%             | 2035-08-15      | 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      | $-8074.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A    | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3281546 | PA      | $2827260.32   | 0.17%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB6395 FN 02/53 FIXED 5                       | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     721420 | PA      | $719239.48    | 0.04%             | 2053-02-01      | Fixed         | 5.00%                 | 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        |       2535 | PA      | $2639.25      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                  | ROYALTY PHARMA PLC COMPANY GUAR 03/31 4.45              | CUSIP: 78081BAT0<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $991956.57    | 0.06%             | 2031-03-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 07/28 4.125                             | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13900000 | PA      | $14085966.85  | 0.83%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C91295 FG 04/30 FIXED 4.5             | CUSIP: 3128P7NL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7549 | PA      | $7584.39      | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034   | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3166233 | PA      | $3012865.79   | 0.18%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1994.86      | 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      | $158666.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-182.00      | -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      | $-14704.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIAA CLO III LTD 2017-2A                                            | TEACHERS INSURANCE AND ANNUITY TIA 2017 2A A 144A       | CUSIP: 87272HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     535500 | PA      | $535864.29    | 0.03%             | 2031-01-16      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0072 FN 05/29 FIXED 4                       | CUSIP: 31417YCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $263.53       | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $741.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TRY SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13850.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 1B3413 FH 05/37 FLOATING VAR          | CUSIP: 3128JNVF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3415 | PA      | $3514.82      | 0.00%             | 2037-05-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW1299 FN 11/52 FIXED 4                       | CUSIP: 3140MSNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148370 | PA      | $140193.63    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $6170.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8313 FR 04/53 FIXED 4               | CUSIP: 3132DWGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     856588 | PA      | $808405.64    | 0.05%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-7901.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.36000 10/07/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-40845.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST 2024-SFR1                                    | INVITATION HOMES TRUST IHSFR 2024 SFR1 A 144A           | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3993160 | PA      | $3925305.94   | 0.23%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOVOLEX (CLYDESDALE ACQUISITION HOLDINGS INC)                       | CLYDESDALE ACQUISITION SR SECURED 144A 04/32 6.75       | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     550000 | PA      | $564627.25    | 0.03%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 783798 FN 07/34 FIXED 5.5                     | CUSIP: 31405AX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27740 | PA      | $28477.28     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5             | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     281620 | PA      | $260287.60    | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $179.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C                      | HYUNDAI AUTO LEASE SECURITIZAT HALST 2023 C A4 144A     | CUSIP: 44935VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1006662.00   | 0.06%             | 2027-09-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                  | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45              | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   11900000 | PA      | $9113256.69   | 0.54%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 10/28 4.875                             | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18600000 | PA      | $19265894.51  | 1.13%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $57011.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                            | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                   | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001176.12   | 0.06%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73700000 | PA      | $59224859.38  | 3.49%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C91275 FG 11/29 FIXED 4.5             | CUSIP: 3128P7MY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10389 | PA      | $10466.50     | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 983496 FN 07/35 FIXED 5.5                     | CUSIP: 31415LRR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8190 | PA      | $8515.87      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                                            | MET TOWER GLOBAL FUNDING SR SECURED 144A 09/30 4.2      | CUSIP: 58989V2L7<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1192934.52   | 0.07%             | 2030-09-16      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.25000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $512917.87    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                            | WOODSIDE FINANCE LTD COMPANY GUAR 05/32 5.7             | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     900000 | PA      | $934989.97    | 0.06%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 09/28 4.625                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32600000 | PA      | $33520058.72  | 1.97%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1852.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-12488.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                            | WOODSIDE FINANCE LTD COMPANY GUAR 05/28 4.9             | CUSIP: 980236AX1<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    2700000 | PA      | $2735022.59   | 0.16%             | 2028-05-19      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.84598 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37006.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19234140 | PA      | $18211265.16  | 1.07%             | 2032-07-15      | Fixed         | 0.62%                 | 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      | $-15601.37    | -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      | $-3428.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $380349.99    | 0.02%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56700000 | PA      | $36203835.65  | 2.13%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AA2374 FN 03/39 FIXED 5.5                     | CUSIP: 31416KT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11386 | PA      | $11767.26     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CGI INC                                                             | CGI INC SR UNSECURED 09/26 1.45                         | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    3800000 | PA      | $3708736.69   | 0.22%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $7271.11      | 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      | $41536.27     | 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      | $2395.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                               | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M2             | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22266 | PA      | $22015.35     | 0.00%             | 2034-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 6 LP 2025-1                                   | PK ALIFT LOAN FUNDING PKAIR 2025 1 A 144A               | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1739797 | PA      | $1753176.35   | 0.10%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $27.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                              | MARVELL TECHNOLOGY INC COMPANY GUAR 07/30 4.75          | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $304011.16    | 0.02%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL ZM5960 FR 03/48 FIXED 4               | CUSIP: 3131Y0TR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170807 | PA      | $164256.85    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2882.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 545191 FN 09/31 FIXED VAR                     | CUSIP: 31385HUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        826 | PA      | $849.79       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                          | COPT DEFENSE PROP LP COMPANY GUAR 10/30 4.5             | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     400000 | PA      | $397556.32    | 0.02%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                               | QUIKRETE HOLDINGS INC 2025 TERM LOAN B                  | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |     995000 | PA      | $995507.45    | 0.06%             | 2032-02-10      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3          | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     927119 | PA      | $237627.74    | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM          | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     279827 | PA      | $279778.83    | 0.02%             | 2065-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 835178 FN 09/35 FIXED 5.5                     | CUSIP: 31407M2K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     164454 | PA      | $171127.68    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AE4704 FN 09/30 FIXED 4.5                     | CUSIP: 31419FGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1338 | PA      | $1340.32      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-635559.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA POOL 596796 GN 12/32 FIXED 7                       | CUSIP: 36200B7H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        200 | PA      | $200.99       | 0.00%             | 2032-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-210802.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6439.70     | -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      | $-21272.15    | -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      | $-4783.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA4993 FN 04/53 FIXED 4                       | CUSIP: 31418ERP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425167 | PA      | $401559.76    | 0.02%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-275759.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL SR UNSECURED 03/32 5.25            | CUSIP: 281020BB2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297370.69    | 0.02%             | 2032-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A      | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     184795 | PA      | $185076.61    | 0.01%             | 2036-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14069.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                        | BROADCOM INC SR UNSECURED 144A 04/33 3.419              | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3759000 | PA      | $3480242.07   | 0.20%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1427 | NC      | $199834.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CFE FIBRA E                                                         | CFE FIBRA E SR UNSECURED 144A 09/40 5.875               | CUSIP: 125276AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     900000 | PA      | $910440.00    | 0.05%             | 2040-09-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2804.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2021-A                               | MARINER FINANCE ISSUANCE TRUST MFIT 2021 AA A 144A      | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3917954.40   | 0.23%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16867.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G61239 FG 10/47 FIXED 4               | CUSIP: 31335BLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91547 | PA      | $88167.68     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | 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        |    4500000 | PA      | $1255380.83   | 0.07%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                      | LCM LTD PARTNERSHIP LCM 35A A1R 144A                    | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001166.17   | 0.06%             | 2034-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR           | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $1017300.00   | 0.06%             | 2026-03-31      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A1                                    | JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 1A1              | CUSIP: 466247BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6726 | PA      | $6188.80      | 0.00%             | 2034-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $6928.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                               | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR            | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3469214.98   | 0.20%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-161963.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        209 | PA      | $220.91       | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2813.33      | 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        |        112 | PA      | $1089.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                               | RESLOC UK PLC RLOC 2007 1X A3B REGS                     | CUSIP: B1XCHCII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     527960 | PA      | $698117.97    | 0.04%             | 2043-12-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -899 | NC      | $-2269692.77  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12476.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-9517.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $438877.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                  | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51267 | PA      | $50371.18     | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A           | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55671 | PA      | $54754.79     | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A2       | CUSIP: 05494NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5017819.00   | 0.30%             | 2058-09-15      | Fixed         | 4.53%                 | 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      | $1366.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 895606 FN 06/36 FLOATING VAR                  | CUSIP: 31410SAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3183 | PA      | $3248.44      | 0.00%             | 2036-06-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04604 FG 12/34 FIXED 5.5             | CUSIP: 3128M6NV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1865 | PA      | $1917.33      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                      | FREMONT HOME LOAN TRUST FHLT 2006 2 2A4                 | CUSIP: 35729PPY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $923379.60    | 0.05%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                                 | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15           | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    2500000 | PA      | $1875591.49   | 0.11%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA3894 FN 09/31 FIXED 4                       | CUSIP: 31418DKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3072 | PA      | $3056.75      | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-8932.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR JPY MUT+5.89/0.3800 06/18/18-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-326214.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3                             | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A5        | CUSIP: 25150VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2531875 | PA      | $2241298.48   | 0.13%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1        | CUSIP: 92925VAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543876 | PA      | $507607.10    | 0.03%             | 2037-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 09/30 VAR                | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1100000 | PA      | $1149158.13   | 0.07%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $59099.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 256059 FN 01/36 FIXED 5.5                     | CUSIP: 31371MMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2517 | PA      | $2619.89      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-34556.25    | -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      | $311.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219399 | PA      | $201195.41    | 0.01%             | 2035-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 08/28 2.875                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19700000 | PA      | $19300613.23  | 1.14%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $12517.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                         | MEXICAN UDIBONOS BONDS 12/26 3                          | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     427533 | PA      | $23162.70     | 0.00%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-300.51      | -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      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R9M1 PIMCO FXVAN PUT EUR USD 1.12200000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     190000 | NC      | $364.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17211.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                               | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                  | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    2202536 | PA      | $2205005.82   | 0.13%             | 2041-08-17      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                        | BROADCOM INC COMPANY GUAR 144A 02/31 2.45               | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1368000 | PA      | $1244631.43   | 0.07%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $56534.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                     | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A    | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1097250.00   | 0.06%             | 2042-10-15      | Floating      | 5.69%                 | No            |                  3 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A6         | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $4808975.46   | 0.28%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $41200.95     | 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      | $246.69       | 0.00%             |  |  |  | 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      | $25173.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-15720.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                           | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1017345.00   | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AE5151 FN 11/30 FIXED 4                       | CUSIP: 31419FWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124627 | PA      | $124074.32    | 0.01%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2947.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | TURKEY EM SP BRC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-138338.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                  | RWE FINANCE US LLC COMPANY GUAR 144A 09/35 5.125        | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |     300000 | PA      | $296101.51    | 0.02%             | 2035-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3200.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS CAD CAONREPO/2.9000 03/31/25-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-2788.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                          | ARES STRATEGIC INCOME FU SR UNSECURED 144A 01/29 4.85   | CUSIP: 04020EAP2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     900000 | PA      | $890903.41    | 0.05%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3088.89      | 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      | $96628.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25             | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1224035.38   | 0.07%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                   | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125  | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4800000 | PA      | $4905607.15   | 0.29%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                    | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A     | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5572446.50   | 0.33%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5165 FN 10/53 FIXED 5.5                     | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280763 | PA      | $284091.27    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3        | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4246465 | PA      | $2856233.13   | 0.17%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $53856.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                        | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75   | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    1600000 | PA      | $1613348.90   | 0.09%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-13170.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.56900 08/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22339.16     | 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      | $-573.91      | -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      | $354.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                  | PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/35 5.15         | CUSIP: 744448DC2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3749175.04   | 0.22%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $7495.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C            | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26778 | PA      | $22546.78     | 0.00%             | 2036-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $223.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                 | ONCOR ELECTRIC DELIVERY SR SECURED 144A 04/35 5.35      | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1759380.80   | 0.10%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1         | CUSIP: 75156TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     757816 | PA      | $738885.06    | 0.04%             | 2036-02-25      | Floating      | 4.81%                 | 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      | $5035.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                   | BROWN + BROWN INC SR UNSECURED 06/30 4.9                | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     700000 | PA      | $709962.77    | 0.04%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $11307.72     | 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      | $-219.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                | INTEGRITY RE III UNSECURED 144A 06/28 VAR               | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $265987.50    | 0.02%             | 2028-06-06      | Floating      | 16.19%                | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-60140.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MILLER HOMES (CASTLE UK FINCO PLC)                                  | MILLER HOMES GROUP FIN SR SECURED 144A 10/30 VAR        | CUSIP: ACI2W4YJ9<br>LEI: 98450057058CDE2E9650 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1195641.61   | 0.07%             | 2030-10-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | ORACLE CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $72676.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL1953 FN 01/27 FIXED VAR                     | CUSIP: 3138EJE38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $214.68       | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1015055.13   | 0.06%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-100013.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 909597 FN 02/37 FIXED 5.5                     | CUSIP: 31411JRS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7018 | PA      | $7284.16      | 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      | $2165.05      | 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      | $4555.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                             | GOLDMAN SACHS GROUP INC SR UNSECURED 04/31 VAR          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2792649.20   | 0.16%             | 2031-04-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)              | CBRE SERVICES INC COMPANY GUAR 06/30 4.8                | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     750000 | PA      | $762252.74    | 0.04%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $17921.90     | 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      | $-579.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX9420 FN 03/53 FIXED 5                       | CUSIP: 3140NEPE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     554589 | PA      | $553498.81    | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-32262.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30475520 | PA      | $30630511.79  | 1.80%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32000000 | PA      | $20890624.96  | 1.23%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.71500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24420.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                 | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1003755.16   | 0.06%             | 2035-01-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $197.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                        | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4000000 | PA      | $3896955.92   | 0.23%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1520.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                      | LENDMARK FUNDING TRUST LFT 2021 1A A 144A               | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3800000 | PA      | $3680890.14   | 0.22%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                       | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR       | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $295919.47    | 0.02%             | 2029-01-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        206 | NC      | $202511.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                          | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                   | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  520000000 | PA      | $3332451.57   | 0.20%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-8543.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A68781 FG 10/37 FIXED 5.5             | CUSIP: 3128L0XJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2045 | PA      | $2124.52      | 0.00%             | 2037-10-01      | 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      | $5771.53      | 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      | $2896.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3740                                             | FREDDIE MAC FHR 3740 FC                                 | CUSIP: 3137GAPS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     689557 | PA      | $683418.86    | 0.04%             | 2040-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4731.24      | 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      | $198.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL C03094 FG 11/37 FIXED 6               | CUSIP: 31292KNK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1273 | PA      | $1343.34      | 0.00%             | 2037-11-01      | 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      | $76153.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $875.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                    | TENN VALLEY AUTHORITY SR UNSECURED 05/35 4.875          | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    9900000 | PA      | $10269012.80  | 0.60%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 535661 FN 01/31 FIXED VAR                     | CUSIP: 31384WB66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $113.09       | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW8859 FN 09/52 FIXED 4                       | CUSIP: 3140N1ZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350628 | PA      | $331110.59    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3373104 | PA      | $3375726.64   | 0.20%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NBN CO LIMITED                                                      | NBN CO LTD SR UNSECURED 144A 09/30 4.15                 | CUSIP: 62878U2K7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     600000 | PA      | $597027.30    | 0.04%             | 2030-09-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2600000 | NC      | $-807.30      | -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      | $-12491.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A72749 FG 02/38 FIXED 5.5             | CUSIP: 3128L6BS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2981 | PA      | $3098.49      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-825.62      | -0.00%            |  |  |  | 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        |    1273214 | PA      | $1274109.08   | 0.07%             | 2036-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22309.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G04625 FG 06/36 FIXED 6               | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15416 | PA      | $16149.52     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $624.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS MXN TIIE1/8.10000 04/07/25-10Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $5038.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 930140 FN 11/38 FIXED 6                       | CUSIP: 31412NLV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1743 | PA      | $1826.32      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-4283.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB3909 FN 06/52 FIXED 4                       | CUSIP: 3140QPKX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102057 | PA      | $96463.88     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-35305.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL 003502 G2 01/34 FIXED 6.5                  | CUSIP: 36202D3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1384 | PA      | $1461.52      | 0.00%             | 2034-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 821707 FN 06/35 FIXED 5.5                     | CUSIP: 31406V3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15848 | PA      | $16219.50     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                          | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  204000000 | PA      | $1202052.95   | 0.07%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL A14613 FG 10/33 FIXED 5               | CUSIP: 31296PDS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14803 | PA      | $14861.77     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | 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      | $-171641.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      38000 | PA      | $37737.02     | 0.00%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5200000 | NC      | $-1907.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-17902.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 5A1        | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40745 | PA      | $39825.87     | 0.00%             | 2037-02-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 995112 FN 07/36 FIXED VAR                     | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25159 | PA      | $26128.38     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-43874.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                 | DOMINION RESOURCES                                      | CUSIP: 2574P0X33<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     600000 | PA      | $599789.64    | 0.04%             | 2025-10-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $926.51       | 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      | $-119.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | OIS MXN TIIE1/7.58240 04/08/25-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $21551.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 704101 FN 05/33 FIXED 5.5                     | CUSIP: 31401CGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2411 | PA      | $2444.43      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-4                                             | MORTGAGEIT TRUST MHL 2005 4 A1                          | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58906 | PA      | $58932.19     | 0.00%             | 2035-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $5215.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251432 | PA      | $260454.35    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BX6175 FN 02/53 FIXED 5                       | CUSIP: 3140NA2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     439802 | PA      | $438575.36    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3463.47      | 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      | $7188.62      | 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      | $869.62       | 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        |      -1722 | NC      | $-6060261.94  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| THE DAI-ICHI LIFE INSURANCE COMPANY LIMITED                         | DAI ICHI LIFE INSURANCE SUBORDINATED 144A 12/99 VAR     | CUSIP: 23381LAA2<br>LEI: 3538001235ACEIORUV72 | Long             | DBT              | CORP              | JP        |    1800000 | PA      | $1872408.60   | 0.11%             | 2035-01-16      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     423000 | NC      | $8688.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PANTHEON SENIOR DEBT SECONDARIES III                                | PANTHEON SNR DBT SCNDRS IIIUSD TERM LOAN                | CUSIP: BA000HYC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     500000 | PA      | $500059.55    | 0.03%             | 2026-03-26      | Floating      | 6.38%                 | Yes           |                  3 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                            | BROADSTONE NET LEASE LLC COMPANY GUAR 11/32 5           | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298340.23    | 0.02%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                             | ARTHUR J GALLAGHER + CO SR UNSECURED 02/35 5.15         | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     900000 | PA      | $911282.92    | 0.05%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $10500.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF8523 FR 02/53 FIXED 4               | CUSIP: 3133BWPG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1213680 | PA      | $1146290.25   | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4475.67     | -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      | $2583.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 824598 FN 12/34 FIXED 5.5                     | CUSIP: 31407ADB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48768 | PA      | $50485.04     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                          | FISERV INC SR UNSECURED 02/31 4.55                      | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     700000 | PA      | $702906.34    | 0.04%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 254548 FN 12/32 FIXED 5.5                     | CUSIP: 31371KWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2747 | PA      | $2847.22      | 0.00%             | 2032-12-01      | 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      | $-1089.76     | -0.00%            |  |  |  | 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        |   18000000 | PA      | $17854047.54  | 1.05%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA0534 FN 10/30 FIXED 4                       | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76425 | PA      | $76109.43     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.80283 03/10/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $288310.31    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEDTRONIC INC                                                       | MEDTRONIC INC COMPANY GUAR 10/30 2.95                   | CUSIP: ACI30CMY4<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |     200000 | PA      | $235180.55    | 0.01%             | 2030-10-15      | Fixed         | 2.95%                 | 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