# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007180
**Filing Date:** 2026-5
**Character Count:** 133644
**Document Hash:** 37ff350b5db9119d55f5c213b8796b19
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007180.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007180

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043334

**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 Low Duration Fund II (Series ID: S000009692)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026582 | Institutional  | PLDTX           |
| C000026583 | Administrative | PDFAX           |

## 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 Low Duration Fund II

- **b. EDGAR series identifier (if any):** S000009692

- **c. LEI of Series:** K2P23FCTK76TNWYHPM24

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $468106460.47

**Total Liabilities:** $193965104.26

**Net Assets:** $274141356.21

**Cash Not Reported:** $3747411.71

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 14314.754100 | **1-Year:** 14124.232300 | **5-Year:** 20281.234800 | **10-Year:** 1590.127000 | **30-Year:** 29.814000

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

- **3-Month:** 213.568700 | **1-Year:** 74.709000 | **5-Year:** 91.857700 | **10-Year:** 4.463800 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026583 | 0.28%                | 0.37%                | -0.68%               |
| Class ID C000026582 | 0.30%                | 0.39%                | -0.66%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $95076.77                | $104524.02                                 |
| Month 2  | $-61363.33               | $482008.30                                 |
| Month 3  | $-639750.61              | $-472693.66                                |

**Designated Index Information**

- **Index Name:** 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index

- **Index Identifier:** G1O2, LUICTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2         | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3807 | PA      | $3851.18      | 0.00%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $-1116.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13600000 | PA      | $13843204.45  | 5.05%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A      | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76996 | PA      | $15980.89     | 0.01%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-9                                          | FANNIE MAE FNR 2019 9 FA                              | CUSIP: 3136B33L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    376487 | PA      | $373382.79    | 0.14%             | 2049-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ8540 FN 01/27 FIXED 3                     | CUSIP: 3138E1P27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8338 | PA      | $8281.17      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A    | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    412438 | PA      | $400027.61    | 0.15%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A        | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4820 | PA      | $4580.57      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $467147.35    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17884 FG 01/27 FIXED 3             | CUSIP: 3128PXXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2499 | PA      | $2485.98      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6             | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    719995 | PA      | $747966.61    | 0.27%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4040                                           | FREDDIE MAC FHR 4040 PO                               | CUSIP: 3137AQ7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26761 | PA      | $24534.93     | 0.01%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FC                               | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86797 | PA      | $87008.21     | 0.03%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                               | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    361056 | PA      | $363425.72    | 0.13%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A     | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349156 | PA      | $345823.41    | 0.13%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-8                                               | IMPAC CMB TRUST IMM 2005 8 2A                         | CUSIP: 45254NRT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155906 | PA      | $150993.00    | 0.06%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 065583 FN 09/28 FLOATING VAR                | CUSIP: 31362M2Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1835 | PA      | $1822.30      | 0.00%             | 2028-09-01      | Floating      | 4.45%                 | 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      | $-503.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/27 5.3   | CUSIP: 44891ACX3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007905.55   | 0.37%             | 2027-03-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559824 FN 08/30 FLOATING VAR                | CUSIP: 31386C4H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19772 | PA      | $19830.00     | 0.01%             | 2030-08-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  10200000 | NC      | $22642.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6246710.31   | 2.28%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $186.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9244 FN 08/28 FIXED 4.43                  | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $502989.29    | 0.18%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                              | VNO MORTGAGE TRUST VNDO 2016 350P A 144A              | CUSIP: 91831UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299516.94    | 0.11%             | 2035-01-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 310125 FN 05/28 FIXED VAR                   | CUSIP: 31374CPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143753 | PA      | $141594.37    | 0.05%             | 2028-05-01      | Fixed         | 2.50%                 | 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        |     65736 | PA      | $63416.61     | 0.02%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-742.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                                | FANNIE MAE FNR 2000 34 F                              | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4803 | PA      | $4798.68      | 0.00%             | 2030-10-25      | Floating      | 4.23%                 | 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      | $-910.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H21 FA        | CUSIP: 38384LXQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    757759 | PA      | $761693.32    | 0.28%             | 2075-10-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A  | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $867139.92    | 0.32%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 02/28 VAR         | CUSIP: 65339KDH0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200301.14    | 0.07%             | 2028-02-04      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR        | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    600000 | PA      | $594473.16    | 0.22%             | 2029-10-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                        | PACIFICORP 1ST MORTGAGE 04/29 4.65                    | CUSIP: 695114DM7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100028.73    | 0.04%             | 2029-04-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL        | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29846 | PA      | $29835.71     | 0.01%             | 2065-06-20      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725419 FN 10/33 FIXED VAR                   | CUSIP: 31402C4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    393434 | PA      | $390501.80    | 0.14%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                            | FREDDIEMAC STRIP FHS 332 V1                           | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    183298 | PA      | $187935.82    | 0.07%             | 2044-08-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/26 VAR          | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    700000 | PA      | $700436.73    | 0.26%             | 2026-07-16      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H20 FA        | CUSIP: 38384LB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1737827 | PA      | $1754203.39   | 0.64%             | 2075-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-2089.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR        | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497050.72    | 0.18%             | 2029-01-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FD        | CUSIP: 38375UVD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    352027 | PA      | $352326.46    | 0.13%             | 2065-03-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                         | FANNIE MAE FNR 2025 69 FB                             | CUSIP: 3136BWC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2577984 | PA      | $2604056.18   | 0.95%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 679708 FN 09/41 FLOATING VAR                | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42444 | PA      | $42711.84     | 0.02%             | 2041-09-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3656.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3029 FN 06/32 FIXED 3                     | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    410987 | PA      | $400056.80    | 0.15%             | 2032-06-01      | Fixed         | 3.00%                 | 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        |   1567034 | PA      | $1479013.36   | 0.54%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.77500 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1442.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                              | GLENCORE FUNDING LLC COMPANY GUAR REGS 03/27 4        | CUSIP: U37818AR9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298752.10    | 0.11%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/26 0.8                           | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   2600000 | PA      | $2555555.99   | 0.93%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                | PUBLIC SERVICE COLORADO 1ST MORTGAGE 03/29 4.15       | CUSIP: 744448DD0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199464.77    | 0.07%             | 2029-03-13      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5568                                           | FREDDIE MAC FHR 5568 FE                               | CUSIP: 3137HMN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    685184 | PA      | $691513.64    | 0.25%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888078 FN 05/34 FIXED VAR                   | CUSIP: 31410FUB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68999 | PA      | $68481.65     | 0.02%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR            | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601308.30    | 0.22%             | 2028-07-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                  | ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A          | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314806 | PA      | $1267247.60   | 0.46%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797UB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99176.80     | 0.04%             | 2026-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE        | CUSIP: 38375UWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    181195 | PA      | $181979.60    | 0.07%             | 2066-04-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1            | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67878 | PA      | $19098.58     | 0.01%             | 2036-12-25      | Floating      | 3.91%                 | 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        |     19777 | PA      | $19142.14     | 0.01%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99312.47     | 0.04%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF        | CUSIP: 38382YV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    492462 | PA      | $494679.04    | 0.18%             | 2072-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5           | CUSIP: 3132CXLV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    325015 | PA      | $314351.78    | 0.11%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                           | FREDDIE MAC FHR 5563 FV                               | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1643639 | PA      | $1657770.93   | 0.60%             | 2055-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8791 FR 08/53 FIXED 5             | CUSIP: 3133C9XU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    868580 | PA      | $858082.76    | 0.31%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/27 4.875 | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301295.33    | 0.11%             | 2027-06-23      | Fixed         | 4.88%                 | 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        |    768036 | PA      | $756380.61    | 0.28%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1     | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1117 | PA      | $997.49       | 0.00%             | 2036-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST              | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575     | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    822300 | PA      | $811430.65    | 0.30%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA        | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    901691 | PA      | $917780.19    | 0.33%             | 2073-05-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A     | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21080 | PA      | $20615.96     | 0.01%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                  | FREDDIE MAC FHR 3891 BF                               | CUSIP: 3137ADTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203405 | PA      | $202464.56    | 0.07%             | 2041-07-15      | Floating      | 4.34%                 | 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        |   1900000 | PA      | $1898049.27   | 0.69%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2146.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 ED                             | CUSIP: 3136BTYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    383702 | PA      | $359145.89    | 0.13%             | 2046-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6476356.25   | 2.36%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7       | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108097 | PA      | $107827.42    | 0.04%             | 2034-11-21      | Floating      | 5.60%                 | 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        |     12619 | PA      | $12298.37     | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5505                                           | FREDDIE MAC FHR 5505 AF                               | CUSIP: 3137HJ6H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    372539 | PA      | $368267.99    | 0.13%             | 2050-03-15      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 749040 FN 10/33 FIXED 4.5                   | CUSIP: 31403HEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9855 | PA      | $9782.03      | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FA                               | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    435407 | PA      | $438741.32    | 0.16%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74800 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5678.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FB                               | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    301347 | PA      | $303867.06    | 0.11%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75       | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502912.00    | 0.18%             | 2028-03-21      | Fixed         | 4.75%                 | 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        |    400000 | PA      | $402662.78    | 0.15%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5376 FN 04/52 FIXED 3                     | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5351657 | PA      | $4709616.81   | 1.72%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-115                                        | FANNIE MAE FNR 2009 115 SB                            | CUSIP: 31398GMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    482837 | PA      | $43886.22     | 0.02%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                          | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1      | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7428 | PA      | $8566.60      | 0.00%             | 2032-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR        | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8342 | PA      | $8588.02      | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080426 G2 07/30 FLOATING VAR             | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7764 | PA      | $7776.98      | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1447 FN 07/47 FIXED VAR                   | CUSIP: 3140J5TD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1756691 | PA      | $1645043.81   | 0.60%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1295561.30   | 0.47%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $399194.88    | 0.15%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q58083 FG 08/48 FIXED 4             | CUSIP: 3132Y16V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    443394 | PA      | $425424.56    | 0.16%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 08/05/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-330.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $997280.87    | 0.36%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB        | CUSIP: 38376RTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    171716 | PA      | $172410.30    | 0.06%             | 2066-04-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH        | CUSIP: 38380QGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1119343 | PA      | $1140468.88   | 0.42%             | 2070-08-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2006633.70   | 0.73%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2019-1               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2019 1 A1 144A   | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468358 | PA      | $444183.48    | 0.16%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1200 | NC      | $-1794279.08  | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-125                                        | FANNIE MAE FNR 2012 125 GC                            | CUSIP: 3136A9E79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    703027 | PA      | $666154.83    | 0.24%             | 2042-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7216 FR 07/53 FIXED 5             | CUSIP: 3133C8AR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2505450 | PA      | $2484376.30   | 0.91%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR         | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599557.36    | 0.22%             | 2027-08-13      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4733 FN 06/53 FIXED 5                     | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    377741 | PA      | $373827.62    | 0.14%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                               | WELLS FARGO BANK NA SR UNSECURED 12/26 5.254          | CUSIP: 94988J6F9<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    800000 | PA      | $805905.05    | 0.29%             | 2026-12-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD        | CUSIP: 38382Y5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    744620 | PA      | $757697.34    | 0.28%             | 2073-05-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581      | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $463018.70    | 0.17%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A    | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    412438 | PA      | $416572.65    | 0.15%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835058 FN 06/35 FLOATING VAR                | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44440 | PA      | $45430.46     | 0.02%             | 2035-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                  | CUSIP: 26882SDH6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299421.36    | 0.11%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1449 FN 05/28 FIXED 3                     | CUSIP: 31418ATF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13003 | PA      | $12869.37     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3255.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                            | FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A    | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505503.55    | 0.18%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-33881.67    | -0.01%            |  |  |  | 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        |      3758 | PA      | $3565.05      | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL3670 FN 10/26 FIXED 2.08                  | CUSIP: 3140HVCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $197704.15    | 0.07%             | 2026-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                           | FREDDIE MAC FHR 4779 WF                               | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168948 | PA      | $165564.46    | 0.06%             | 2044-07-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1      | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93838 | PA      | $36716.73     | 0.01%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0694 FN 11/47 FIXED 3.5                   | CUSIP: 3140Q7XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1340973 | PA      | $1240517.55   | 0.45%             | 2047-11-01      | Fixed         | 3.50%                 | 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        |     21792 | PA      | $21721.24     | 0.01%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A2B      | CUSIP: 86359LGG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204934 | PA      | $203331.92    | 0.07%             | 2035-05-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN        | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    181704 | PA      | $181739.01    | 0.07%             | 2067-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        47 | NC      | $-78748.65    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC SR UNSECURED 04/28 4.125       | CUSIP: 718172DR7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599092.06    | 0.22%             | 2028-04-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A     | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $88834.50     | 0.03%             | 2038-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                   | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A           | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555629 | PA      | $487184.80    | 0.18%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR             | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1396 | PA      | $1396.95      | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                        | ABBVIE INC SR UNSECURED 03/27 4.8                     | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1005308.44   | 0.37%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $397515.41    | 0.15%             | 2026-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2022-C15                                              | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2022 C15 A5      | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1569257.25   | 0.57%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A   | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1097387.50   | 0.40%             | 2043-10-15      | Floating      | 4.94%                 | 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      | $1872.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA        | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60535 | PA      | $60752.28     | 0.02%             | 2066-07-20      | Floating      | 4.58%                 | 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      | $2508.74      | 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      | $-591.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB        | CUSIP: 38375UUZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    158635 | PA      | $158823.43    | 0.06%             | 2065-03-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A            | CUSIP: 3137HHH38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89577 | PA      | $89536.49     | 0.03%             | 2027-08-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-563.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 736222 FN 08/33 FIXED 4.5                   | CUSIP: 31402R4F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32857 | PA      | $32858.24     | 0.01%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1045 FN 04/27 FIXED 3                     | CUSIP: 31418AET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2969 | PA      | $2947.78      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3       | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14061 | PA      | $13592.93     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2797 G2 05/30 FIXED 3                  | CUSIP: 36179RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21771 | PA      | $21354.25     | 0.01%             | 2030-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                           | CUSIP: 912797TP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $98874.19     | 0.04%             | 2026-07-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797QX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $4269539.53   | 1.56%             | 2026-06-11      | None          | 0.00%                 | 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      | $-3611.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2226.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-24                                         | FANNIE MAE FNR 2025 24 FB                             | CUSIP: 3136BVSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    397469 | PA      | $399367.77    | 0.15%             | 2055-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                   | S+P GLOBAL INC                                        | CUSIP: 78513LD63<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1349109.68   | 0.49%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                     | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV4 A9 144A    | CUSIP: 918307AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749476 | PA      | $699625.54    | 0.26%             | 2051-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                           | FREDDIE MAC FHR 5426 CF                               | CUSIP: 3137HCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    260168 | PA      | $258981.77    | 0.09%             | 2050-12-15      | Floating      | 4.58%                 | 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      | $-1710.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                          | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A   | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $895726.26    | 0.33%             | 2034-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1           | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146669 | PA      | $143330.65    | 0.05%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                            | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A    | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743163 | PA      | $734151.92    | 0.27%             | 2036-12-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.51400 09/04/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2263.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                              | GLENCORE FUNDING LLC COMPANY GUAR 144A 03/27 4        | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298752.10    | 0.11%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                 | CHESAPEAKE FUNDING II LLC CFII 2024 1A A2 144A        | CUSIP: 165183DJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359277 | PA      | $359699.11    | 0.13%             | 2036-05-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  16100000 | NC      | $35740.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q58074 FG 08/48 FIXED 4             | CUSIP: 3132Y16L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    392184 | PA      | $376616.98    | 0.14%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1      | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10315 | PA      | $4778.72      | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD        | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    483175 | PA      | $494138.08    | 0.18%             | 2072-11-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                        | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                | CUSIP: 48130PE44<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1345211.96   | 0.49%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735813 FN 07/35 FLOATING VAR                | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1638 | PA      | $1680.23      | 0.00%             | 2035-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F         | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99702 | PA      | $100076.12    | 0.04%             | 2066-05-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2        | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35368 | PA      | $34044.99     | 0.01%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3968 FN 12/26 FIXED 3                     | CUSIP: 31417AMS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47096 | PA      | $46845.52     | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $396408.50    | 0.14%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       395 | NC      | $-628721.31   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841068 FN 11/34 FLOATING VAR                | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40327 | PA      | $42206.69     | 0.02%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256143 FN 01/36 FIXED 4.5                   | CUSIP: 31371MP43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114746 | PA      | $113584.29    | 0.04%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                         | COREBRIDGE GLOB FUNDING SR SECURED 144A 01/31 4.55    | CUSIP: 00138CBM9<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493908.08    | 0.18%             | 2031-01-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1       | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3839 | PA      | $3641.56      | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-20Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10103.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                      | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 01/29 4      | CUSIP: 57629TCB1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395983.51    | 0.14%             | 2029-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-713.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080060 G2 04/27 FLOATING VAR             | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2145 | PA      | $2145.46      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75     | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    450000 | PA      | $453178.69    | 0.17%             | 2028-03-31      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8237 FR 08/52 FIXED 4             | CUSIP: 3132DWEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7406139 | PA      | $7007152.42   | 2.56%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                           | CUSIP: 912797TQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $296408.78    | 0.11%             | 2026-07-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $199416.02    | 0.07%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                  | NIAGARA MOHAWK POWER SR UNSECURED 144A 12/28 4.278    | CUSIP: 65364UAL0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1094145.59   | 0.40%             | 2028-12-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                 | CHESAPEAKE FUNDING II LLC CFII 2024 1A A1 144A        | CUSIP: 165183DE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359277 | PA      | $362965.48    | 0.13%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8838 FN 08/48 FIXED 4                     | CUSIP: 3140HNZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    268445 | PA      | $257974.88    | 0.09%             | 2048-08-01      | Fixed         | 4.00%                 | 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      | $-205674.47   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REPO REPO                     5807          | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   6200000 | PA      | $6200000.00   | 2.26%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE        | CUSIP: 38383KDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    758440 | PA      | $769418.36    | 0.28%             | 2073-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                  | MORGAN STANLEY PVT BANK SR UNSECURED 11/28 VAR        | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    700000 | PA      | $697807.72    | 0.25%             | 2028-11-17      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT7754 FN 06/28 FIXED 3                     | CUSIP: 3138WVTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16004 | PA      | $15781.80     | 0.01%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05       | CUSIP: 05565ECE3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    400000 | PA      | $405405.79    | 0.15%             | 2028-08-11      | Fixed         | 5.05%                 | 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      | $4384.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FC                               | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2556358 | PA      | $2582222.70   | 0.94%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                      | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A  | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    709007 | PA      | $591212.96    | 0.22%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2871 FN 01/32 FIXED 3                     | CUSIP: 31418CFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    274269 | PA      | $267193.48    | 0.10%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1414.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                         | FANNIE MAE FNR 2025 19 FC                             | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    397158 | PA      | $400514.43    | 0.15%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $-399.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 FA                             | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    534413 | PA      | $538135.45    | 0.20%             | 2054-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A      | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188374 | PA      | $188669.65    | 0.07%             | 2040-07-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1190662.75   | 0.43%             | 2026-06-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FE                               | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    372618 | PA      | $377024.16    | 0.14%             | 2055-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST 2026-1A                                | GLS AUTO RECEIVABLES TRUST GCAR 2026 1A A2 144A       | CUSIP: 36274AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $599557.50    | 0.22%             | 2028-11-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                           | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2867854.72   | 1.05%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4146.84     | -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        |    790771 | PA      | $686698.46    | 0.25%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/33 1.125                           | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2729425 | PA      | $2629732.34   | 0.96%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95 | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502139.15    | 0.18%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654952 FN 07/42 FLOATING VAR                | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13658 | PA      | $13588.15     | 0.00%             | 2042-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-357.04      | -0.00%            |  |  |  | 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        |    216255 | PA      | $223208.98    | 0.08%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H18 FB        | CUSIP: 38376R6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    615747 | PA      | $624895.50    | 0.23%             | 2067-09-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 2A1A     | CUSIP: 92925CCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110457 | PA      | $107546.03    | 0.04%             | 2046-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $414000.00    | 0.15%             | 2036-12-15      | Floating      | 5.14%                 | 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        |      8792 | PA      | $8555.95      | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | 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      | $1950.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5200000 | PA      | $-4756798.90  | -1.74%            | 2056-06-11      | Fixed         | 3.50%                 | 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        |    273721 | PA      | $268046.77    | 0.10%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2864 G2 06/30 FIXED 3                  | CUSIP: 36179RFD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40109 | PA      | $39341.96     | 0.01%             | 2030-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1569.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA2264 FR 05/32 FIXED 3.5           | CUSIP: 31329KQR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170062 | PA      | $166792.28    | 0.06%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-424.56      | -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        |     66034 | PA      | $68667.15     | 0.03%             | 2038-05-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                        | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102326 | PA      | $99430.20     | 0.04%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                     | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1203380 | PA      | $1059600.30   | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797SW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6959742.02   | 2.54%             | 2026-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89900 03/11/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1274.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5025.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5442                                           | FREDDIE MAC FHR 5442 FB                               | CUSIP: 3137HF4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    442796 | PA      | $445824.12    | 0.16%             | 2054-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE               | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -9100000 | PA      | $-7980768.98  | -2.91%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2645 G2 03/30 FIXED 3                  | CUSIP: 36179Q5E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32497 | PA      | $31890.47     | 0.01%             | 2030-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-21                                                | FANNIE MAE FNR 2003 21 OG                             | CUSIP: 31392JW96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $299.51       | 0.00%             | 2033-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA        | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    286333 | PA      | $290417.25    | 0.11%             | 2073-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A    | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428842 | PA      | $437728.05    | 0.16%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND              | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    970212 | PA      | $9448894.91   | 3.45%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804850 FN 01/35 FLOATING VAR                | CUSIP: 31406BEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11382 | PA      | $11600.10     | 0.00%             | 2035-01-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA SR UNSECURED 07/28 VAR         | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301840.34    | 0.11%             | 2028-07-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/29 VAR          | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201755.70    | 0.07%             | 2029-04-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0384 FN 09/47 FIXED 3.5                   | CUSIP: 3140Q7NA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1129187 | PA      | $1044598.76   | 0.38%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                  | CUSIP: 26882SDP8<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    600000 | PA      | $598417.32    | 0.22%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC        | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    263752 | PA      | $264092.30    | 0.10%             | 2074-02-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A  | CUSIP: 14686TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156163 | PA      | $156411.82    | 0.06%             | 2028-04-10      | Fixed         | 5.42%                 | 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        |    665508 | PA      | $577123.62    | 0.21%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL SECURED 144A 07/26 VAR         | CUSIP: 743672AG2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400102.55    | 0.15%             | 2026-07-22      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $756457.04    | 0.28%             | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $262025.61    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5601                                           | FREDDIE MAC FHR 5601 F                                | CUSIP: 3137HNQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    480547 | PA      | $483221.33    | 0.18%             | 2055-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA        | CUSIP: 38382YN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    481651 | PA      | $488042.66    | 0.18%             | 2073-01-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7637 FN 09/35 FIXED VAR                   | CUSIP: 3140XPPX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270693 | PA      | $267069.83    | 0.10%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                           | FREDDIE MAC FHR 5557 FM                               | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    434558 | PA      | $437096.03    | 0.16%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                           | FREDDIE MAC FHR 4678 AF                               | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    220833 | PA      | $218132.06    | 0.08%             | 2042-12-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1               | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5866 | PA      | $2688.13      | 0.00%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAI6A4 PIMCO SWAPTION 3.757 PUT USD 2026091        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $221.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC        | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1007245 | PA      | $1031035.05   | 0.38%             | 2073-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2038.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                 | MARS INC SR UNSECURED 144A 03/27 4.45                 | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200668.37    | 0.07%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3309                                                  | FREDDIE MAC FHR 3309 SC                               | CUSIP: 31397GEP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    411879 | PA      | $41382.86     | 0.02%             | 2037-04-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24800 09/18/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4314.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4092.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2019 521F A 144A             | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $867150.00    | 0.32%             | 2034-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     42000 | PA      | $41945.02     | 0.02%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND               | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   3945253 | PA      | $38722662.34  | 14.13%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 DF        | CUSIP: 38380LA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    478681 | PA      | $482008.41    | 0.18%             | 2069-09-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-249.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A     | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128007 | PA      | $128074.47    | 0.05%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                   | TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/26 4.55      | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300404.40    | 0.11%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1       | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16365 | PA      | $15713.98     | 0.01%             | 2034-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 05/29 VAR           | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $602673.20    | 0.22%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735733 FN 10/33 FIXED VAR                   | CUSIP: 31402RLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115947 | PA      | $114957.17    | 0.04%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF        | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    480696 | PA      | $493982.36    | 0.18%             | 2071-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3071.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1132.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FG                               | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    295576 | PA      | $297708.04    | 0.11%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/27 4.9      | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151484.20    | 0.06%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                | AMERICAN HONDA FINANCE SR UNSECURED 12/26 VAR         | CUSIP: 02665WGA3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299562.02    | 0.11%             | 2026-12-11      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)            | CBRE SVCS INC DISC COML PAPER 06/26 ZCP               | CUSIP: 12610CFC9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1338791.76   | 0.49%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                         | FANNIE MAE FNR 2024 38 FA                             | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    328831 | PA      | $330192.82    | 0.12%             | 2051-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5345                                           | FREDDIE MAC FHR 5345 A                                | CUSIP: 3137HAQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    158548 | PA      | $158640.03    | 0.06%             | 2047-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/28 1.8   | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95270.54     | 0.03%             | 2028-01-10      | Fixed         | 1.80%                 | 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        |      1991 | PA      | $1989.97      | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5569                                           | FREDDIE MAC FHR 5569 FB                               | CUSIP: 3137HMMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2075310 | PA      | $2095168.42   | 0.76%             | 2055-08-25      | Floating      | 4.86%                 | 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      | $8894.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890541 FN 06/28 FIXED VAR                   | CUSIP: 31410LLW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50614 | PA      | $49910.04     | 0.02%             | 2028-06-01      | Fixed         | 2.50%                 | 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        |    544527 | PA      | $544703.47    | 0.20%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/5.00000 07/10/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $196676.66    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  61100000 | PA      | $61100000.00  | 22.29%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J32373 FG 05/29 FIXED 3             | CUSIP: 31307NT61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18617 | PA      | $18438.17     | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | 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      | $-1365.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/28 VAR          | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    800000 | PA      | $810442.73    | 0.30%             | 2028-04-22      | Floating      | 5.71%                 | 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        |      8146 | PA      | $8313.25      | 0.00%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -220 | NC      | $589426.20    | 0.22%             |  |  |  | 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        |        84 | PA      | $85.11        | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 04/26 4.875                           | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1901680.08   | 0.69%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A2                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A         | CUSIP: 87166PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1008914.70   | 0.37%             | 2029-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1    | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19572 | PA      | $19793.21     | 0.01%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19900000 | PA      | $19602932.00  | 7.15%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4798.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                        | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38564 | PA      | $19063.74     | 0.01%             | 2036-12-25      | Floating      | 3.93%                 | 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      | $1497.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 11/27 VAR                    | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301004.76    | 0.11%             | 2027-11-19      | Floating      | 4.88%                 | 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        |     54055 | PA      | $52292.69     | 0.02%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB6965 FN 11/27 FIXED 2.5                   | CUSIP: 31417DW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74387 | PA      | $73500.20     | 0.03%             | 2027-11-01      | Fixed         | 2.50%                 | 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      | $98.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ              | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA        | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143207 | PA      | $143680.80    | 0.05%             | 2066-10-20      | Floating      | 4.55%                 | 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        |    188323 | PA      | $188445.59    | 0.07%             | 2032-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF        | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    591555 | PA      | $605515.86    | 0.22%             | 2072-11-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                | RGA GLOBAL FUNDING SECURED 144A 11/30 4.6             | CUSIP: 76209PAK9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197957.83    | 0.07%             | 2030-11-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1999-1                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A         | CUSIP: 86358HGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19050 | PA      | $18676.59     | 0.01%             | 2029-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 A 144A             | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739870 | PA      | $733248.90    | 0.27%             | 2038-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                              | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A  | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $876225.96    | 0.32%             | 2037-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A11 144A       | CUSIP: 67114KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748711 | PA      | $701033.83    | 0.26%             | 2051-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                 | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A         | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $891246.51    | 0.33%             | 2032-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $4279216.68   | 1.56%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                  | CUSIP: 26882SDL7<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    450000 | PA      | $448972.79    | 0.16%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR            | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000588.90   | 0.36%             | 2027-09-22      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1097563.42   | 0.40%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3300000 | PA      | $3281664.97   | 1.20%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1         | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71833 | PA      | $69194.78     | 0.03%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1             | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143083 | PA      | $135434.64    | 0.05%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040669<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3900000 | PA      | $-3672582.03  | -1.34%            | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer