# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001450011-25-000509
**Filing Date:** 2025-8
**Character Count:** 655578
**Document Hash:** 0418d6a9f3675a1f2a12ef0316631426
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001450011-25-000509.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001450011-25-000509

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20250630

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 251277492

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949.720.6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO ETF Trust

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 400-4383

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $10258587275.15

**Total Liabilities:** $4588146662.79

**Net Assets:** $5670440612.36

**Cash Not Reported:** $19000867.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 78314.192100 | **1-Year:** 227762.342400 | **5-Year:** 1660016.449500 | **10-Year:** 530706.472600 | **30-Year:** 23184.978400

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

- **3-Month:** 28328.368200 | **1-Year:** 22917.067200 | **5-Year:** 77193.230300 | **10-Year:** 16284.668000 | **30-Year:** 320.085000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000102215 | 0.04%                | -0.70%               | 1.78%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5199742.56             | $-10603936.43                              |
| Month 2  | $-5481716.36             | $-47177834.97                              |
| Month 3  | $-7100654.89             | $78292012.27                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA PASS THRU POOLS                                                          | GNMA POOL 778776 GN 01/27 FIXED 3                           | CUSIP: 36176W6M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     311367 | PA      | $308375.26     | 0.01%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-12A                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A           | CUSIP: 04942UAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1486229 | PA      | $1488408.21    | 0.03%             | 2031-10-24      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $61.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1240.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3 JUMBOS                                  | CUSIP: 21H030674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39000000 | PA      | $34502199.81   | 0.61%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                       | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A              | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $5607813.29    | 0.10%             | 2034-08-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                                            | SLM STUDENT LOAN TRUST SLMA 2006 B A5                       | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1572594 | PA      | $1534903.38    | 0.03%             | 2039-12-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31490 FG 01/38 FIXED 5                   | CUSIP: 31281BUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28936 | PA      | $29381.62      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WISE CLO 2025-2 LTD                                                           | WISE CLO LTD WYZE 2025 2A B 144A                            | CUSIP: 97720BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5013845.35    | 0.09%             | 2038-04-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004462 G2 06/39 FIXED 5                        | CUSIP: 36202E5X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25171 | PA      | $24924.09      | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL J39776 FG 10/33 FIXED 3.5                 | CUSIP: 31307W2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43811 | PA      | $43364.92      | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL BA5051 GN 06/47 FIXED 4                           | CUSIP: 3617AHTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4137433 | PA      | $3902214.55    | 0.07%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A8                  | CUSIP: 46631NAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     767868 | PA      | $333809.75     | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3            | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2196083 | PA      | $1666981.02    | 0.03%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                    | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A        | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1199810 | PA      | $1200914.92    | 0.02%             | 2030-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5                 | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   73235234 | PA      | $73355052.46   | 1.29%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.28013 12/02/24-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $702296.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                      | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                       | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2803360.00    | 0.05%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                                               | NGPL PIPECO LLC SR UNSECURED 144A 07/31 3.25                | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1338153.48    | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G30463 FG 12/28 FIXED 5.5                 | CUSIP: 3128CUQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $156.87        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA SR UNSECURED 144A 03/30 VAR                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    4800000 | PA      | $4965570.10    | 0.09%             | 2030-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CAPITAL AUTOMOTIVE REIT 2023-1A                                               | CAPITAL AUTOMOTIVE REIT CAUTO 2023 1A A1 144A               | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4693750 | PA      | $4728841.41    | 0.08%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                                    | AIR CANADA SR SECURED 144A 08/26 3.875                      | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    1000000 | PA      | $990594.11     | 0.02%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 1A2 144A        | CUSIP: 05990TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5493787 | PA      | $5283963.98    | 0.09%             | 2036-08-27      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PREFERRED AND CAPITAL SE PIMCO PREF AND CAP SEC ACT   | CUSIP: 72201R619<br>LEI: 549300XBG0GWIQBZLV45 | Long             | EC               | RF                | US        |     843737 | NS      | $43004853.02   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| MKT 2020-525M MORTGAGE TRUST                                                  | MKT 2020 525M MORTGAGE TRUST MKT 2020 525M A 144A           | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4423143.50    | 0.08%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-26383.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                                | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  102800000 | PA      | $93472738.06   | 1.65%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                                 | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A                   | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5706996.75    | 0.10%             | 2034-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                          | EDISON INTERNATIONAL SR UNSECURED 06/27 5.75                | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1762624.99    | 0.03%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 881858 FN 04/36 FLOATING VAR                      | CUSIP: 31409XWT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3361 | PA      | $3459.15       | 0.00%             | 2036-04-01      | Floating      | 6.95%                 | 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      | $189421.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-275453.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A1             | CUSIP: 32027NWK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172448 | PA      | $168847.85     | 0.00%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3                  | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9272 | PA      | $8892.28       | 0.00%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING ATHENE GLOBAL FUNDING                 | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $7854957.16    | 0.14%             | 2026-02-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $57211.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 08/25 0.00000                                 | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      73000 | PA      | $72681.46      | 0.00%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                           | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A               | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $616565.52     | 0.01%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255958 FN 10/35 FIXED 5                           | CUSIP: 31371MJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2368 | PA      | $2366.00       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0928 G2 04/43 FIXED 4                        | CUSIP: 36179NA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61436 | PA      | $58077.66      | 0.00%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A         | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7440000 | PA      | $7458069.23    | 0.13%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP EXTRA SPACE STORAGE LP               | CUSIP: 30225VAR8<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2219803.30    | 0.04%             | 2031-01-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3A                                               | BAIN CAPITAL CREDIT CLO LIMITE BCC 2019 3A ARR 144A         | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6550000 | PA      | $6518656.74    | 0.11%             | 2034-10-21      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A           | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129108 | PA      | $118877.52     | 0.00%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                              | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A         | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7852506.75    | 0.14%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D                | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12462683 | PA      | $6214266.25    | 0.11%             | 2036-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                               | VERAISON RE LTD UNSECURED 144A 03/33 VAR                    | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250000.00     | 0.00%             | 2033-03-08      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORPORATION                                                   | ARES MANAGEMENT CORP ARES MANAGEMENT CORP                   | CUSIP: 03990BAA9<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6362401.86    | 0.11%             | 2028-11-10      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE I LTD 2019-1                                         | HORIZON AIRCRAFT FINANCE HORZN 2019 1 A 144A                | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1454225 | PA      | $1405588.21    | 0.02%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                                | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                      | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312351 | PA      | $294326.47     | 0.01%             | 2034-11-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC SR UNSECURED 08/34 5.25                 | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3139934.48    | 0.06%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-72                                                     | FANNIE MAE FNR 2007 72 B                                    | CUSIP: 31396WQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23521 | PA      | $24557.38      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APL FINANCE 2023-1 DESIGNATED ACTIVITY COMPANY                                | APL FINANCE LLC ASHPL 2023 1A A 144A                        | CUSIP: 03790CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2343998 | PA      | $2366233.86    | 0.04%             | 2031-07-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II             | CUSIP: 361841AU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1953962.00    | 0.03%             | 2054-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                     | VOYA CLO LTD INGIM 2012 4A A1R3 144A                        | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     695324 | PA      | $695602.27     | 0.01%             | 2030-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7             | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     302756 | PA      | $271251.56     | 0.00%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2002-HE2                  | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE2 B             | CUSIP: 045413CW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245008 | PA      | $232247.22     | 0.00%             | 2032-08-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9               | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1532097.51    | 0.03%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AV8867 FN 11/44 FIXED 4.5                         | CUSIP: 3138XLZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193354 | PA      | $188961.11     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256009 FN 08/35 FIXED 4                           | CUSIP: 31371MKW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149557 | PA      | $147657.70     | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A        | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    8000000 | PA      | $7975992.00    | 0.14%             | 2035-04-23      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A           | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $902477.70     | 0.02%             | 2038-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A        | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     963772 | PA      | $946153.26     | 0.02%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 1A3          | CUSIP: 12667GPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349430 | PA      | $279282.81     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5               | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2084583.65    | 0.04%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                    | VMWARE LLC SR UNSECURED 08/31 2.2                           | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1736604.90    | 0.03%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR             | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $3024781.59    | 0.05%             | 2026-11-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES           | FORD AUTO SECURITIZATION TRUST FASTR 2024 AA A2 144A        | CUSIP: 345214BJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    3011641 | PA      | $2244676.76    | 0.04%             | 2028-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31019 FG 09/33 FIXED 4                   | CUSIP: 31281BDY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58098 | PA      | $57267.59      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA                                   | BENEFIT STREET PARTNERS CLO LT BSP 2014 IVA AR4 144A        | CUSIP: 08180FBU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6400000 | PA      | $6409944.64    | 0.11%             | 2034-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A         | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4400000 | PA      | $4394367.52    | 0.08%             | 2040-02-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-FM2                                                          | GSAMP TRUST GSAMP 2004 FM2 M1                               | CUSIP: 36228FN28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     715064 | PA      | $721223.06     | 0.01%             | 2034-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91128 FG 12/27 FIXED 5.5                 | CUSIP: 3128P7HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4918 | PA      | $4967.01       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/33 6.15              | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2267256.66    | 0.04%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-WF4                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M5             | CUSIP: 86359DLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2915423 | PA      | $2973343.74    | 0.05%             | 2035-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $5125.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1             | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     845958 | PA      | $809447.85     | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA AERCAP IRELAND CAP/GLOBA           | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2700000 | PA      | $2749244.11    | 0.05%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 06/34 VAR                  | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $18010160.70   | 0.32%             | 2034-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A            | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425086 | PA      | $406478.60     | 0.01%             | 2037-12-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                       | FREDDIE MAC FHR 5051 SX                                     | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15851308 | PA      | $526987.85     | 0.01%             | 2048-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94251 FG 10/40 FIXED 4                   | CUSIP: 312942WL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1026.38       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM5485 FN 02/49 FIXED VAR                         | CUSIP: 3140JACX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     777076 | PA      | $706425.08     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2279876.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91176 FG 05/28 FIXED 5.5                 | CUSIP: 3128P7JV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7941 | PA      | $8036.37       | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004532 G2 09/39 FIXED 4.5                      | CUSIP: 36202FA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7164 | PA      | $7012.16       | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005146 G2 08/26 FIXED 3                        | CUSIP: 36202FWF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16262 | PA      | $16100.80      | 0.00%             | 2026-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                             | EXPEDIA GROUP INC COMPANY GUAR 02/30 3.25                   | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2076161.34    | 0.04%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A55007 FG 11/36 FIXED 6                   | CUSIP: 3128KHR40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19351 | PA      | $20085.22      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                             | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                  | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $400080.00     | 0.01%             | 2032-04-08      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784067 G2 10/45 FIXED 4                        | CUSIP: 3622A2QU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4788957 | PA      | $4534602.57    | 0.08%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                           | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5            | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2983334 | PA      | $2894118.60    | 0.05%             | 2035-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 C 144A           | CUSIP: 69544NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6899411 | PA      | $6939326.73    | 0.12%             | 2032-07-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE7182 FN 03/47 FIXED 3.5                         | CUSIP: 3140FS6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1671691 | PA      | $1544997.28    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $216000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A            | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     695487 | PA      | $706425.54     | 0.01%             | 2035-03-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AJ0740 GN 07/29 FIXED 3                           | CUSIP: 36182UZD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     299738 | PA      | $293644.84     | 0.01%             | 2029-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS RETAIL TRUST 2022-1                                            | DAIMLER TRUCKS RETAIL TRUST DTRT 2022 1 A4                  | CUSIP: 233869AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2504342.50    | 0.04%             | 2030-01-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4            | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     881763 | PA      | $737766.34     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1           | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     882589 | PA      | $875385.10     | 0.02%             | 2035-05-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-918.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                                 | SELECTIVE INSURANCE GROU SR UNSECURED 04/35 5.9             | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2557869.25    | 0.05%             | 2035-04-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8347 FR 08/53 FIXED 4.5                 | CUSIP: 3132DWHY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28463067 | PA      | $27278082.98   | 0.48%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/34 1.75                                  | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  157777200 | PA      | $156482331.99  | 2.76%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q29869 FG 11/44 FIXED 4.5                 | CUSIP: 3132MAT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     252661 | PA      | $246826.29     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2            | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     972275 | PA      | $896092.41     | 0.02%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 02/28 5.55                  | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2573081.25    | 0.05%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SEC 2001-28                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 28 1A1             | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24326 | PA      | $14074.05      | 0.00%             | 2031-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $77699.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31130 FG 02/45 FIXED 4                   | CUSIP: 3132QMHG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     795955 | PA      | $749075.51     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779081 GN 04/27 FIXED 3                           | CUSIP: 36176XJ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105591 | PA      | $104471.54     | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SL0874 FR 03/55 FIXED 6                   | CUSIP: 31427M6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9422965 | PA      | $9720795.62    | 0.17%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 922855 FN 11/36 FIXED 5.5                         | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25188 | PA      | $25925.12      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C                | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1617390 | PA      | $744859.72     | 0.01%             | 2037-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST 2020-B                                               | AJAX MORTGAGE LOAN TRUST AJAXM 2020 B A1 144A               | CUSIP: 00969YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750842 | PA      | $705921.38     | 0.01%             | 2059-05-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A          | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1609625 | PA      | $1598739.32    | 0.03%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                              | PUGET ENERGY INC SR SECURED 144A 03/35 5.725                | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1509669.84    | 0.03%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     305000 | PA      | $301020.12     | 0.01%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                              | OCCIDENTAL PETROLEUM COR OCCIDENTAL PETROLEUM COR           | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1204741.20    | 0.02%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6              | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |    1257921 | PA      | $1260247.97    | 0.02%             | 2030-06-24      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| DIAMETER CREDIT FUNDING II LTD 2019-2A                                        | DIAMETER CREDIT FUNDING II DCF 2019 2A A 144A               | CUSIP: 25253YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $885549.60     | 0.02%             | 2038-01-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR                  | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $6247431.63    | 0.11%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F070682<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -9900000 | PA      | $-10385397.69  | -0.18%            | 2054-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 3A9                | CUSIP: 126384AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     668800 | PA      | $298738.32     | 0.01%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 1A1              | CUSIP: 576433KM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139661 | PA      | $122038.62     | 0.00%             | 2034-04-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $13441.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 04/35 5.7                   | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1120939.09    | 0.02%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $160.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                           | CHENIERE ENERGY INC SR UNSECURED 04/34 5.65                 | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3073985.25    | 0.05%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256260 FN 04/36 FIXED 5.5                         | CUSIP: 31371MTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11686 | PA      | $11784.58      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT 2022-8 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2022 8 A1 144A                        | CUSIP: 19688MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1377524 | PA      | $1384139.00    | 0.02%             | 2067-08-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                | SMRT SMRT 2022 MINI A 144A                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2350000 | PA      | $2342268.27    | 0.04%             | 2039-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC BAYER US FINANCE LLC                   | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2628050.44    | 0.05%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1             | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1851569 | PA      | $1784189.80    | 0.03%             | 2037-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/42 2.375                                 | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150000000 | PA      | $109171875.00  | 1.93%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR               | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1772919.66    | 0.03%             | 2029-03-09      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A3          | CUSIP: 12668AZ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     612055 | PA      | $421076.95     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST 2023-6                                                   | VERIZON MASTER TRUST VZMT 2023 6 A 144A                     | CUSIP: 92348VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $7258953.80    | 0.13%             | 2031-09-22      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $24000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 LTD 5A                                                            | CBAM CLO MANAGEMENT CBAM 2018 5A A 144A                     | CUSIP: 12481QAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1057171 | PA      | $1059263.84    | 0.02%             | 2031-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/28 4.75            | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3366531.78    | 0.06%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 04/34 6.25                | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1132460.29    | 0.02%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                      | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                    | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1974594 | PA      | $1975847.32    | 0.03%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.64300 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $36760.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16221710 | PA      | $15085560.74   | 0.27%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/64 7.008                      | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1099413.14    | 0.02%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-D                                                | FREMONT HOME LOAN TRUST FHLT 2004 D M1                      | CUSIP: 35729PGC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4908244 | PA      | $4421201.33    | 0.08%             | 2034-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                               | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                     | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1895886 | PA      | $1812511.66    | 0.03%             | 2037-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08882 FG 06/49 FIXED 4                   | CUSIP: 3128MJ6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     805605 | PA      | $761865.47     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A2 144A                           | CUSIP: 552751AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     574733 | PA      | $556881.40     | 0.01%             | 2065-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $664.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1643.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/32 3.625                            | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2768360.10    | 0.05%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT SEP25 XCBT 20250919                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1036 | NC      | $4370264.84    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/33 5.766           | CUSIP: 86562MCS7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    3000000 | PA      | $3156995.49    | 0.06%             | 2033-01-13      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 735329 FN 11/33 FIXED VAR                         | CUSIP: 31402Q4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13281 | PA      | $13301.37      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HOLDINGS LIMITED                                              | ASPEN INSURANCE HLDG LTD SR UNSECURED 07/30 5.75            | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |    3300000 | PA      | $3356079.21    | 0.06%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                                   | OCEAN TRAILS CLO OCTR 2020 10A AR2 144A                     | CUSIP: 67516CAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2001265.66    | 0.04%             | 2034-10-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                              | NMLT TRUST NLT 2023 1 A1 144A                               | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2775493 | PA      | $2534619.97    | 0.04%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     600000 | PA      | $619710.00     | 0.01%             | 2032-06-07      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.00000 02/12/25-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6458647.52    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31079 FG 02/34 FIXED 4.5                 | CUSIP: 31281BFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9202 | PA      | $9129.91       | 0.00%             | 2034-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                           | SVB FINL TR                                                 | CUSIP: 000000000<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |     112000 | NS      | $2240.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                     | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A        | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1574104 | PA      | $1563766.83    | 0.03%             | 2054-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A3             | CUSIP: 61749LAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1865177 | PA      | $1826667.13    | 0.03%             | 2036-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0853 FN 09/41 FIXED 4.5                         | CUSIP: 31417Y5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98103 | PA      | $93524.34      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2374.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-131                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 131 PZ              | CUSIP: 38377XL59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55868 | PA      | $55712.05      | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/36 VAR                       | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15549544.80   | 0.27%             | 2036-04-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1             | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2568334 | PA      | $2427173.53    | 0.04%             | 2035-12-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                    | ARES CLO LTD ARES 2013 2A AR3 144A                          | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4200000 | PA      | $4204767.84    | 0.07%             | 2034-10-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 06/48 6                     | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4806439.20    | 0.08%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1458.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $62813.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                              | FREDDIE MAC FHR 2614 SJ                                     | CUSIP: 31393QNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17145 | PA      | $19253.47      | 0.00%             | 2033-05-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                                         | GOLUB CAPITAL BDC SR UNSECURED 07/29 6                      | CUSIP: 38173MAE2<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6083738.46    | 0.11%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/30 6                  | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1600000 | PA      | $1657600.00    | 0.03%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3443 FN 08/48 FIXED 4                           | CUSIP: 31418CZH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1222389 | PA      | $1157558.63    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91206 FG 08/28 FIXED 5.5                 | CUSIP: 3128P7KT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7196 | PA      | $7286.53       | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUE CROSS AND BLUE SHIELD OF MINNESOTA                                       | BCBSM                                                       | CUSIP: 956TXP000<br>LEI: XHK82HP57BJNZ0CZTH48 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4011428.04    | 0.07%             | 2032-05-01      | Fixed         | 5.96%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.56900 08/14/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $154624.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $563.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 462402 FN 12/28 FLOATING VAR                      | CUSIP: 31381JU34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91880 | PA      | $91644.82      | 0.00%             | 2028-12-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250811                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $31948.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                             | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                      | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1075393 | PA      | $1077380.09    | 0.02%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $23173.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                       | REACH FINANCIAL LLC REACH 2024 2A A 144A                    | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     644240 | PA      | $645928.83     | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 06/30 VAR                  | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12055031.04   | 0.21%             | 2030-06-14      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                | WINSTON RE LTD UNSECURED 144A 02/31 VAR                     | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    4000000 | PA      | $4206000.00    | 0.07%             | 2031-02-26      | Floating      | 16.05%                | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1            | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2091392 | PA      | $2129206.37    | 0.04%             | 2034-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                         | VALE OVERSEAS LIMITED COMPANY GUAR 06/54 6.4                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    4000000 | PA      | $3935075.60    | 0.07%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11110.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                     | STELLANTIS FIN US INC COMPANY GUAR 144A 03/35 6.45          | CUSIP: 85855CAL4<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8042491.28    | 0.14%             | 2035-03-18      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY DEUTSCHE BANK NY                           | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1500000 | PA      | $1525156.67    | 0.03%             | 2028-02-08      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                             | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A          | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2300000 | PA      | $2213514.66    | 0.04%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $69.06         | 0.00%             |  |  |  | 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      | $83661.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                        | EQUITABLE HOLDINGS INC SR UNSECURED 01/33 5.594             | CUSIP: 29452EAC5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1041055.61    | 0.02%             | 2033-01-11      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                        | PIKES PEAK CLO PIPK 2018 2A ARR 144A                        | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6500000 | PA      | $6506202.37    | 0.11%             | 2034-10-11      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 2A3             | CUSIP: 68402CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840787 | PA      | $1058165.24    | 0.02%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 07/35 FIXED 7.35                            | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    5342857 | PA      | $5716164.19    | 0.10%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-22                                                            | FANNIE MAE FNR 2006 22 AO                                   | CUSIP: 31395BA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11359 | PA      | $10091.60      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 03/32 VAR             | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2053909.25    | 0.04%             | 2032-03-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A3                | CUSIP: 655378AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4671503 | PA      | $3899436.22    | 0.07%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C8 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2024 5C8 A3                          | CUSIP: 09661XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3531331.80    | 0.06%             | 2057-12-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6439.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                  | NISOURCE INC SR UNSECURED 02/31 1.7                         | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $5226228.50    | 0.09%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A        | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2276772.65    | 0.04%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M1             | CUSIP: 76112B4P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     997582 | PA      | $981563.39     | 0.02%             | 2036-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $19416.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4046894.52    | 0.07%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                     | BANCO BILBAO VIZCAYA ARG BANCO BILBAO VIZCAYA ARG           | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    6000000 | PA      | $6182571.18    | 0.11%             | 2029-03-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-7425.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP SR UNSECURED 04/35 5.125                 | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1302182.08    | 0.02%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-120                                                           | FANNIE MAE FNR 2005 120 WS                                  | CUSIP: 31394VKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59003 | PA      | $59156.58      | 0.00%             | 2036-01-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 879922 FN 11/35 FIXED 5                           | CUSIP: 31409VSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1909 | PA      | $1915.41       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02904 FG 08/41 FIXED 4.5                 | CUSIP: 3132GGGM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58187 | PA      | $57625.17      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-5654.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                      | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4               | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1429308 | PA      | $1482868.32    | 0.03%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4                                 | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN4 A1 144A        | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     802701 | PA      | $802658.23     | 0.01%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZA6388 FR 02/49 FIXED 4.5                 | CUSIP: 31329QCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     758661 | PA      | $737914.57     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-55                                                     | FANNIE MAE FNR 2012 55 GS                                   | CUSIP: 3136A53W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133672 | PA      | $100093.29     | 0.00%             | 2042-05-25      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3879.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                 | VISTRA OPERATIONS CO LLC SR SECURED 144A 10/33 6.95         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5494875.00    | 0.10%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 01/28 VAR                                  | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6500000 | PA      | $6315264.61    | 0.11%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889388 FN 03/38 FIXED VAR                         | CUSIP: 31410KCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18299 | PA      | $19109.40      | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $21743.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004673 G2 04/40 FIXED 4.5                      | CUSIP: 36202FFN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216037 | PA      | $209838.58     | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS2 AI4            | CUSIP: 74924WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3552603 | PA      | $3469928.49    | 0.06%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $16894.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-A                                                 | SLM STUDENT LOAN TRUST SLMA 2005 A A4                       | CUSIP: 78443CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     221354 | PA      | $218405.41     | 0.00%             | 2038-12-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                  | ENBRIDGE INC ENBRIDGE INC                                   | CUSIP: 29250NBY0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2150000 | PA      | $2301109.42    | 0.04%             | 2030-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A         | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4647842 | PA      | $4633695.93    | 0.08%             | 2038-04-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65                 | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2964363.51    | 0.05%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                      | HOST HOTELS + RESORTS LP SR UNSECURED 12/31 2.9             | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1753694.48    | 0.03%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 09/34 VAR                    | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   15500000 | PA      | $16652284.42   | 0.29%             | 2034-09-22      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $249846.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 A11             | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2074838 | PA      | $2272865.39    | 0.04%             | 2034-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD8319 FN 07/40 FIXED 4.5                         | CUSIP: 31418WG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201718 | PA      | $201369.13     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                          | LXP INDUSTRIAL TRUST COMPANY GUAR 10/31 2.375               | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $4900726.88    | 0.09%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                           | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $301380.00     | 0.01%             | 2033-04-10      | Floating      | 14.04%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                              | FREDDIE MAC FHR 3117 EO                                     | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4831 | PA      | $4283.07       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A4              | CUSIP: 12667HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6126304 | PA      | $5521560.29    | 0.10%             | 2047-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q00387 FG 04/41 FIXED 4.5                 | CUSIP: 3132GDNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45200 | PA      | $45135.58      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97897 FG 12/27 FIXED 5.5                 | CUSIP: 3128E4X23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3345 | PA      | $3357.02       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5560                                                       | FREDDIE MAC FHR 5560 FB                                     | CUSIP: 3137HLZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $13016250.00   | 0.23%             | 2055-06-25      | Floating      | 5.31%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 746364 FN 09/33 FIXED 4                           | CUSIP: 31403EFD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12428 | PA      | $12200.02      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5614 FN 02/55 FIXED 5.5                         | CUSIP: 31418FGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  103234667 | PA      | $103286334.21  | 1.82%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A          | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2897999.93    | 0.05%             | 2035-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                | OFSI FUND LTD OFSBS 2021 10A AR 144A                        | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3003557.01    | 0.05%             | 2034-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA4732 FN 09/52 FIXED 4                           | CUSIP: 31418EHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66906582 | PA      | $62377851.89   | 1.10%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U60610 FG 05/41 FIXED 5                   | CUSIP: 3132GBDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108765 | PA      | $109920.93     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM1 A2B            | CUSIP: 59020U5D3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11898593 | PA      | $1351060.30    | 0.02%             | 2037-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-711.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-55864.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV ING GROEP NV                                   | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   10000000 | PA      | $10256814.00   | 0.18%             | 2030-03-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-6115.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                 | BGC GROUP INC SR UNSECURED 144A 04/30 6.15                  | CUSIP: 05555LAC5<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    5987000 | PA      | $6072171.36    | 0.11%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004364 G2 02/39 FIXED 6                        | CUSIP: 36202EZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30282 | PA      | $30511.47      | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                               | SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B                  | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | US        |    1502464 | PA      | $1514017.99    | 0.03%             | 2027-10-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BD6487 FN 09/46 FIXED 4                           | CUSIP: 3140FEF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     557448 | PA      | $529470.95     | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250709                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4768.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                       | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR         | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |    3300000 | NS      | $3315906.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                           | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1                 | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177649 | PA      | $157534.11     | 0.00%             | 2035-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q30148 FG 12/44 FIXED 4                   | CUSIP: 3132QLEW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     609692 | PA      | $586201.66     | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2024 5C5 A3                          | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2087268.80    | 0.04%             | 2057-02-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 929863 FN 08/38 FIXED 5.5                         | CUSIP: 31412NB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12265 | PA      | $12187.93      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEXAS ELECTRIC MARKET STABILIZATION FUNDING N LLC                             | TEXAS ELECTRIC MKT STABL SR SECURED 144A 08/48 5.057        | CUSIP: 88240TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15500000 | PA      | $14463992.40   | 0.26%             | 2048-08-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0250 FN 11/39 FIXED 5                           | CUSIP: 31417YH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26972 | PA      | $26971.23      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q14520 FG 01/43 FIXED 3                   | CUSIP: 3132HRAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $331.34        | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P00061 FG 08/34 FIXED 4.5                 | CUSIP: 31283NB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2806 | PA      | $2798.05       | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256849 FN 08/37 FIXED 6                           | CUSIP: 31371NH24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4058 | PA      | $4180.36       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250708                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1915.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                              | LAZARD GROUP LLC 03/31 6                                    | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1575869.21    | 0.03%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $585.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                   | MASS MUTUAL LIFE INS CO SUBORDINATED 144A 02/69 VAR         | CUSIP: 575767AM0<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    3250000 | PA      | $2891713.83    | 0.05%             | 2069-02-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 07/35 VAR              | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4742907.71    | 0.08%             | 2035-07-23      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $987.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3              | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     661992 | PA      | $214147.61     | 0.00%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1                | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     526456 | PA      | $534266.01     | 0.01%             | 2034-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $49933.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-9                                                      | FANNIE MAE FNR 2010 9 GO                                    | CUSIP: 31398MBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26185 | PA      | $22255.06      | 0.00%             | 2040-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4600000 | PA      | $4277874.88    | 0.08%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                    | ARES STRATEGIC INCOME FU SR UNSECURED 02/30 5.6             | CUSIP: 04020EAD9<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4987151.30    | 0.09%             | 2030-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-B                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 B A3                  | CUSIP: 59020UBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6865 | PA      | $6311.96       | 0.00%             | 2029-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  183000000 | PA      | $158335014.78  | 2.79%             | 2055-08-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94185 FG 10/40 FIXED 4                   | CUSIP: 312942UJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1646 | PA      | $1563.65       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                   | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8900000 | PA      | $6326914.77    | 0.11%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                    | NETAPP INC SR UNSECURED 03/32 5.5                           | CUSIP: 64110DAM6<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1030387.30    | 0.02%             | 2032-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL FUNDING LLC                                                        | GE CAPITAL FUNDING LLC COMPANY GUAR 05/32 4.55              | CUSIP: 36166NAK9<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1491450.12    | 0.03%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A           | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6899411 | PA      | $6939443.33    | 0.12%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                          | BOSTON PROPERTIES LP SR UNSECURED 10/33 2.45                | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $3758170.01    | 0.07%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                        | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                      | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $302365.21     | 0.01%             | 2027-07-08      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 07/26 VAR                    | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1600000 | PA      | $1601507.01    | 0.03%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                                 | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                     | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    4000000 | NS      | $3885000.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A              | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4519660 | PA      | $4516422.54    | 0.08%             | 2064-10-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                        | SAMMONS FINANCIAL GLOBAL SECURED 144A 12/29 5.1             | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1533085.01    | 0.03%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3545                                                              | FREDDIE MAC FHR 3545 AO                                     | CUSIP: 31398E3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8244 | PA      | $7504.48       | 0.00%             | 2039-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $3412.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                               | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A                 | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     938600 | PA      | $945059.66     | 0.02%             | 2040-08-25      | Floating      | 5.53%                 | 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      | $66456.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                   | COBANK ACB JR SUBORDINA 12/99 VAR                           | CUSIP: 19075QAD4<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |    1700000 | NS      | $1642523.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 01/29 VAR                                  | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2500000 | PA      | $2626779.38    | 0.05%             | 2029-01-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| NMI HOLDINGS INC                                                              | NMI HOLDINGS NMI HOLDINGS                                   | CUSIP: 629209AC1<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4623075.00    | 0.08%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 07/26 3.95               | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $983993.03     | 0.02%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA2217 G2 09/44 FIXED 4.5                      | CUSIP: 36179QPA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99452 | PA      | $95983.54      | 0.00%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE10                                                | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE10 M1           | CUSIP: 073879MR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1407134 | PA      | $1437679.23    | 0.03%             | 2034-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AJ0738 GN 07/29 FIXED 3                           | CUSIP: 36182UZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34964 | PA      | $34247.50      | 0.00%             | 2029-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                             | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/31 4.125        | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $5650534.31    | 0.10%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M3               | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     763138 | PA      | $759238.07     | 0.01%             | 2035-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-5N                                                       | LEHMAN XS TRUST LXS 2005 5N 3A1B                            | CUSIP: 86359DUS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3066 | PA      | $3044.98       | 0.00%             | 2035-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3            | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B            | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5626944 | PA      | $3863728.95    | 0.07%             | 2037-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                            | ESSEX PORTFOLIO LP ESSEX PORTFOLIO LP                       | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1533067.11    | 0.03%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-523.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                              | KILROY REALTY LP COMPANY GUAR 02/30 3.05                    | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1810779.96    | 0.03%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $5406906.43    | 0.10%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE COMPANY                                                | PACIFIC LIFE INSURANCE C SUBORDINATED 144A 06/39 9.25       | CUSIP: 694475AA2<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $6820160.00    | 0.12%             | 2039-06-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-14702.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING ATHENE GLOBAL FUNDING                 | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2034170.28    | 0.04%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91168 FG 04/28 FIXED 5.5                 | CUSIP: 3128P7JM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        696 | PA      | $704.40        | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/32 4.15                   | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1928336.18    | 0.03%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 930897 FN 04/39 FIXED 5.5                         | CUSIP: 31412PGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240884 | PA      | $243942.92     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                                     | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A                    | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $8333351.06    | 0.15%             | 2037-07-17      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR                    | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   10000000 | PA      | $10703287.40   | 0.19%             | 2034-03-09      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                          | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                    | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2900000 | PA      | $2901552.37    | 0.05%             | 2033-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST 2021-MHC                                        | MHC COMMERCIAL MORTGAGE TRUST MHC 2021 MHC A 144A           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     724934 | PA      | $725222.58     | 0.01%             | 2038-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-16693.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AW9120 FN 10/44 FIXED 4.5                         | CUSIP: 3138XZD24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94788 | PA      | $92388.27      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 10/29 5.3              | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4529560.73    | 0.08%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL 2022-1A                                              | VB S1 ISSUER LLC VBTEL 2022 1A C2II 144A                    | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2136640.08    | 0.04%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD WOODSIDE FINANCE LTD                   | CUSIP: 980236AR4<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   13550000 | PA      | $13127884.57   | 0.23%             | 2034-09-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2684000 | PA      | $2557812.79    | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/35 VAR                    | CUSIP: 404280EE5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    7100000 | PA      | $7366340.38    | 0.13%             | 2035-03-04      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                      | CREDIT SUISSE NEW YORK SR UNSECURED 07/27 5                 | CUSIP: 22550L2K6<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    3500000 | PA      | $3554744.27    | 0.06%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MINNESOTA HOUSING FINANCE AGENCY                                              | MINNESOTA ST HSG FIN AGY MNSHSG 01/29 FIXED 5.301           | CUSIP: 60416T8D3<br>LEI: 549300R89XDTQBK4GE22 | Long             | DBT              | MUN               | US        |    6250000 | PA      | $6361441.88    | 0.11%             | 2029-01-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                            | CNO GLOBAL FUNDING CNO GLOBAL FUNDING                       | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3740354.94    | 0.07%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375           | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2508814.56    | 0.04%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A2            | CUSIP: 17309RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360134 | PA      | $340583.39     | 0.01%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                                   | SAMMONS FINANCIAL GROUP SAMMONS FINANCIAL GROUP             | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |    7590000 | PA      | $8144923.72    | 0.14%             | 2034-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 1A1                   | CUSIP: 126694WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425753 | PA      | $396725.79     | 0.01%             | 2036-03-20      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                              | SOCIETE GENERALE SR UNSECURED 144A 01/29 VAR                | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    3300000 | PA      | $3434473.85    | 0.06%             | 2029-01-10      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875            | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1112988 | PA      | $1136676.95    | 0.02%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/27 6.259                      | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1337995.01    | 0.02%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B A 144A         | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3260000 | PA      | $2860254.24    | 0.05%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $52.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZN2806 FR 01/49 FIXED 4.5                 | CUSIP: 3131Y9DK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     967119 | PA      | $940720.92     | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                         | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 3.75         | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $98503.95      | 0.00%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q04911 FG 12/41 FIXED 3.5                 | CUSIP: 3132GLDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1183 | PA      | $1113.25       | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1A            | CUSIP: 251510MD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105785 | PA      | $96879.04      | 0.00%             | 2036-02-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| KDAC AIRCRAFT FINANCE LTD 2017-1A                                             | KDAC AVIATION FINANCE LIMITED KDAC 2017 1A A 144A           | CUSIP: 48244XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1286879 | PA      | $1253398.84    | 0.02%             | 2042-12-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC           | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4410759.98    | 0.08%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0388 G2 09/42 FIXED 4                        | CUSIP: 36179MND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128498 | PA      | $121488.02     | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                      | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2740978 | PA      | $2737846.50    | 0.05%             | 2031-08-13      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                  | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A                 | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2263310 | PA      | $2264939.97    | 0.04%             | 2030-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4304                                                       | FREDDIE MAC FHR 4304 TI                                     | CUSIP: 3137B7SE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24564 | PA      | $42.44         | 0.00%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                                  | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                    | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1793212.13    | 0.03%             | 2035-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $579.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 2A7          | CUSIP: 12667GQD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610177 | PA      | $399238.03     | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6348 FN 05/53 FIXED 4.5                         | CUSIP: 3140QSBS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54070565 | PA      | $51849571.41   | 0.91%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AJ2513 G2 01/45 FIXED 4                        | CUSIP: 36182WYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400941 | PA      | $379648.85     | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                              | OCCIDENTAL PETROLEUM COR SR UNSECURED 01/31 6.125           | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5179641.50    | 0.09%             | 2031-01-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745632 FN 03/36 FIXED VAR                         | CUSIP: 31403DLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3215 | PA      | $3125.01       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3085 FN 06/51 FIXED 4.5                         | CUSIP: 31416YNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157853 | PA      | $152311.15     | 0.00%             | 2051-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 02/33 4.9                          | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1003022.03    | 0.02%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                        | BROOKFIELD FINANCE INC BROOKFIELD FINANCE INC               | CUSIP: 11271LAK8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    5500000 | PA      | $5903524.44    | 0.10%             | 2034-01-05      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                           | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A           | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681934 | PA      | $688286.72     | 0.01%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5338.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                             | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                     | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4995521.10    | 0.09%             | 2034-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-3                                          | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 3 AV3              | CUSIP: 75970NBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732337 | PA      | $667385.20     | 0.01%             | 2035-11-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FIBRA UNO (TRUST F/1401)                                                      | TRUST FIBRAUNO SR UNSECURED 144A 01/30 4.869                | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    4900000 | PA      | $4656734.11    | 0.08%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $25004.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                           | ONCOR ELECTRIC SERIES H 5.15                                | CUSIP: 955TTGII8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $12194659.56   | 0.22%             | 2029-05-01      | Fixed         | 5.15%                 | Yes           |                  3 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                               | CHOICE HOTELS INTL INC SR UNSECURED 01/31 3.7               | CUSIP: 169905AG1<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1855723.44    | 0.03%             | 2031-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 515985 GN 12/26 FIXED 3                           | CUSIP: 36211LF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63953 | PA      | $63265.61      | 0.00%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-74523.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256370 FN 06/36 FIXED 5.5                         | CUSIP: 31371MW78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22220 | PA      | $22235.73      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A2             | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7351567 | PA      | $2911787.52    | 0.05%             | 2037-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4768.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $22585.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-8674.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95            | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4969078.75    | 0.09%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                           | SAXON ASSET SECURITIES TRUST SAST 2005 1 M3                 | CUSIP: 805564RP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594588 | PA      | $486391.52     | 0.01%             | 2035-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                            | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A              | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2610000 | PA      | $2605173.80    | 0.05%             | 2036-10-14      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC SR SECURED 144A 03/32 6.375           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1234733.90    | 0.02%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/31 3.625                          | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2827699.62    | 0.05%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C                | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265285 | PA      | $137441.80     | 0.00%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 918828 FN 04/37 FIXED 5.5                         | CUSIP: 31411YYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49037 | PA      | $49360.88      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/33 VAR                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   21000000 | PA      | $21010729.74   | 0.37%             | 2033-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2665                                                              | FREDDIE MAC FHR 2665 LL                                     | CUSIP: 31394GYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16000 | PA      | $16577.52      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9              | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6191409.96    | 0.11%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A4             | CUSIP: 16162WRA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3455823 | PA      | $1417718.00    | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-9                                                      | FANNIE MAE FNR 2010 9 KD                                    | CUSIP: 31398MCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3357 | PA      | $3358.95       | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783423 GN 09/26 FIXED 3                           | CUSIP: 36241LYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97773 | PA      | $96909.40      | 0.00%             | 2026-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP SR UNSECURED 01/31 3.25                  | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1969209.04    | 0.03%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5498 FN 10/54 FIXED 6                           | CUSIP: 31418FDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24122021 | PA      | $24532442.21   | 0.43%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.24800 09/18/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $182963.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A1 144A                           | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1071352 | PA      | $1009226.39    | 0.02%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO CAPITAL ONE FINANCIAL CO           | CUSIP: 14040HDB8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2067001.90    | 0.04%             | 2027-10-29      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| MINNESOTA HOUSING FINANCE AGENCY                                              | MINNESOTA ST HSG FIN AGY MNSHSG 01/34 FIXED 5.532           | CUSIP: 60416T8E1<br>LEI: 549300R89XDTQBK4GE22 | Long             | DBT              | MUN               | US        |    5000000 | PA      | $5110883.00    | 0.09%             | 2034-01-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                                       | BOOZ ALLEN HAMILTON INC COMPANY GUAR 04/35 5.95             | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1729561.30    | 0.03%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                          | CANTOR FITZGERALD LP CANTOR FITZGERALD LP                   | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6902408.63    | 0.12%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR            | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $5606458.03    | 0.10%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3                | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67654 | PA      | $68201.52      | 0.00%             | 2035-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A          | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1087330 | PA      | $1089353.92    | 0.02%             | 2035-12-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SANTANDER HOLDINGS USA               | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2850926.68    | 0.05%             | 2030-09-06      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP COMPANY GUAR 02/33 5.75             | CUSIP: 24703DBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1576654.31    | 0.03%             | 2033-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-217.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H10235 FG 10/37 FIXED 4.5                 | CUSIP: 3128N0HL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122633 | PA      | $122530.78     | 0.00%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PRIVATE CREDIT FUND                                             | GOLUB CAPITAL CAP FND SR UNSECURED 05/30 5.875              | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1998314.32    | 0.04%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE INCORPORATED                                               | JONES LANG LASALLE INC JONES LANG LASALLE INC               | CUSIP: 48020QAB3<br>LEI: 6SYKCME112RT8TQUO411 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3866379.37    | 0.07%             | 2028-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AA8372 GN 03/29 FIXED 3                           | CUSIP: 36178GJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123194 | PA      | $120855.82     | 0.00%             | 2029-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                                      | FERGUSON ENTERPRISES INC COMPANY GUAR 10/34 5               | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $993063.17     | 0.02%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745410 FN 01/36 FIXED VAR                         | CUSIP: 31403DDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5285 | PA      | $5246.15       | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $218.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/34 VAR                 | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9600000 | PA      | $9795844.61    | 0.17%             | 2034-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WESLEYAN UNIVERSITY                                                           | WESLEYAN UNIVERSITY UNSECURED 07/16 4.781                   | CUSIP: 95101VAA7<br>LEI: MR0KVN5WYB7MX4TE2T37 | Long             | DBT              | CORP              | US        |    3248000 | PA      | $2537430.85    | 0.04%             | 2116-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $219517.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/33 VAR                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $5676592.55    | 0.10%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| PPL CAPITAL FUNDING                                                           | PPL CAPITAL FUNDING INC PPL CAPITAL FUNDING INC             | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2017477.06    | 0.04%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM3 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM3 A1 144A              | CUSIP: 67118KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5066751 | PA      | $5110281.15    | 0.09%             | 2063-12-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1199.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-102                                                    | FANNIE MAE FNR 2012 102 HS                                  | CUSIP: 3136A8RK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17772814 | PA      | $2566383.66    | 0.05%             | 2042-09-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QF0220 FR 09/52 FIXED 5                   | CUSIP: 3133BMG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20594795 | PA      | $20344214.22   | 0.36%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A               | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148191 | PA      | $126559.07     | 0.00%             | 2037-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 929080 FN 01/38 FIXED 5                           | CUSIP: 31412MFV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48622 | PA      | $47356.59      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                        | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A              | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4294302.84    | 0.08%             | 2034-10-19      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                           | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1390472 | PA      | $1349991.00    | 0.02%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783424 GN 09/26 FIXED 3                           | CUSIP: 36241LYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96627 | PA      | $95723.64      | 0.00%             | 2026-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-282305.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A                              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2024 1A A 144A           | CUSIP: 76088YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     291695 | PA      | $294264.95     | 0.01%             | 2032-06-25      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0594 FN 10/40 FIXED 4.5                         | CUSIP: 31417YUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81389 | PA      | $80983.41      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                 | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3         | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     600480 | PA      | $562653.11     | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II             | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1495570.35    | 0.03%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                               | MAREX GROUP PLC SR UNSECURED 05/28 5.829                    | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4052567.24    | 0.07%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $73.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/36 VAR                  | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14514278.10   | 0.26%             | 2036-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP FS KKR CAPITAL CORP                     | CUSIP: 302635AM9<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1583633.30    | 0.03%             | 2029-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CITADEL LIMITED PARTNERSHIP                                                   | CITADEL LP SR UNSECURED 144A 01/32 6.375                    | CUSIP: 17288XAC8<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4179116.08    | 0.07%             | 2032-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                       | COMM MORTGAGE TRUST COMM 2016 667M A 144A                   | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2340000 | PA      | $2176264.82    | 0.04%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8463 FR 09/54 FIXED 6                   | CUSIP: 3132DWML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25864726 | PA      | $26304107.00   | 0.46%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A               | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2284289 | PA      | $2175080.79    | 0.04%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 06/33 5.5                              | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2253330.62    | 0.04%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                | SYMPHONY CLO LTD SYMP 2020 24A AR 144A                      | CUSIP: 87167QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     797877 | PA      | $798485.68     | 0.01%             | 2032-01-23      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/28 VAR               | CUSIP: 606822CN2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2500000 | PA      | $2554423.65    | 0.05%             | 2028-09-13      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR9                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR9 A1            | CUSIP: 94986GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1107044 | PA      | $999417.16     | 0.02%             | 2037-12-28      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/26 1.653                | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    3000000 | PA      | $2914399.92    | 0.05%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-34                                                     | FANNIE MAE FNR 2006 34 SK                                   | CUSIP: 31395DPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     531988 | PA      | $55600.09      | 0.00%             | 2036-05-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-8                                             | VERUS SECURITIZATION TRUST VERUS 2021 8 A1 144A             | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2294627 | PA      | $2099482.70    | 0.04%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                                       | BCAP LLC TRUST BCAP 2007 AA3 2A1B                           | CUSIP: 05530VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1338590 | PA      | $1216717.38    | 0.02%             | 2047-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                               | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                     | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88281 | PA      | $89371.74      | 0.00%             | 2034-09-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A                | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6713039 | PA      | $5934961.56    | 0.10%             | 2047-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 04/29 VAR                        | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2970713.76    | 0.05%             | 2029-04-23      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A2R 144A         | CUSIP: 05684RAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1003388.60    | 0.02%             | 2034-07-16      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1625.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5                 | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1412705 | PA      | $1352516.67    | 0.02%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/35 5.75                             | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1028916.96    | 0.02%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                   | URSA RE LTD UNSECURED 144A 02/28 VAR                        | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1005900.00    | 0.02%             | 2028-02-22      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 928692 FN 08/37 FIXED 5.5                         | CUSIP: 31412LXV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14884 | PA      | $14790.27      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                                     | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A                    | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1244382 | PA      | $1247981.89    | 0.02%             | 2039-07-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 06/29 VAR               | CUSIP: 80282KBG0<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3146012.01    | 0.06%             | 2029-06-12      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A        | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1952559 | PA      | $1931824.13    | 0.03%             | 2037-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QN88 PIMCO CDSOPT PUT USD 0.85 20250716                | CUSIP: OP00442S4<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -20900000 | NC      | $-1498.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                    | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4929 | PA      | $4315.17       | 0.00%             | 2035-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G30399 FG 06/28 FIXED 5.5                 | CUSIP: 3128CUNQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        682 | PA      | $688.01        | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A         | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1903836.44    | 0.03%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-101187.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                         | VICI PROPERTIES / NOTE COMPANY GUAR 144A 08/30 4.125        | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $480122.22     | 0.01%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                              | TENN VALLEY AUTHORITY SR UNSECURED 02/55 5.25               | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   10000000 | PA      | $9775746.70    | 0.17%             | 2055-02-01      | Fixed         | 5.25%                 | 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        |     519419 | PA      | $522031.77     | 0.01%             | 2040-07-16      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8340 FR 07/53 FIXED 4.5                 | CUSIP: 3132DWHR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   55443692 | PA      | $53121166.00   | 0.94%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257280 FN 05/48 FIXED 4.5                         | CUSIP: 31371NXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134409 | PA      | $129695.41     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1              | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2721990 | PA      | $703206.50     | 0.01%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A           | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2468891 | PA      | $2167999.85    | 0.04%             | 2038-01-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2D               | CUSIP: 61749KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1406287 | PA      | $513797.28     | 0.01%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $65812.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $606.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AX3123 FN 10/44 FIXED 4                           | CUSIP: 3138Y4PH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     198027 | PA      | $188565.97     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                             | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A                | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     266731 | PA      | $269008.98     | 0.00%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $20159.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-42544.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1                             | SECURITIZED ASSET BACKED RECEI SABR 2004 NC1 M1             | CUSIP: 81375WAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1702487 | PA      | $1757398.91    | 0.03%             | 2034-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                                  | KBC GROUP NV SR UNSECURED 144A 09/34 VAR                    | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    5000000 | PA      | $5359849.50    | 0.09%             | 2034-09-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02208 FG 07/41 FIXED 4.5                 | CUSIP: 3132GFNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51685 | PA      | $50945.30      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG           | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $744000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08877 FG 05/49 FIXED 4                   | CUSIP: 3128MJ6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285127 | PA      | $269764.57     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004512 G2 08/39 FIXED 4.5                      | CUSIP: 36202FAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64785 | PA      | $62926.98      | 0.00%             | 2039-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5038 FN 06/53 FIXED 5                           | CUSIP: 31418ES43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72157088 | PA      | $70910673.16   | 1.25%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10157 FG 01/35 FIXED 5.5                 | CUSIP: 3128DHE67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423099 | PA      | $427668.97     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 02/29 6.5                | CUSIP: 03666HAG6<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1013500.53    | 0.02%             | 2029-02-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A          | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $501078.28     | 0.01%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A           | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2009117 | PA      | $1577251.74    | 0.03%             | 2036-12-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 09/25 0.00000                                 | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     756000 | PA      | $749143.92     | 0.01%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION INSURANCE INC                                                   | CONSTELLATION INSURC INC SR UNSECURED 144A 01/30 6.8        | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3283209.11    | 0.06%             | 2030-01-24      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                     | INVITATION HOMES OP COMPANY GUAR 02/35 4.875                | CUSIP: 46188BAG7<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $969291.13     | 0.02%             | 2035-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250708                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $16.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                 | BGC GROUP INC SR UNSECURED 06/29 6.6                        | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2903084.77    | 0.05%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1K0030 FH 07/36 FLOATING VAR              | CUSIP: 3128NUA79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2010 | PA      | $2060.70       | 0.00%             | 2036-07-01      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP SR UNSECURED 144A 10/28 6.75         | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5316908.15    | 0.09%             | 2028-10-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                           | CENTENE CORP SR UNSECURED 10/30 3                           | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1341249.05    | 0.02%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A             | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439118 | PA      | $425079.55     | 0.01%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                           | CITADEL FINANCE LLC COMPANY GUAR 144A 02/30 5.9             | CUSIP: 17287HAD2<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5554533.49    | 0.10%             | 2030-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91115 FG 11/27 FIXED 5.5                 | CUSIP: 3128P7GY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $861.29        | 0.00%             | 2027-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                 | COMM MORTGAGE TRUST COMM 2021 2400 A 144A                   | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5261298 | PA      | $5196816.32    | 0.09%             | 2038-12-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF5              | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1165959 | PA      | $413441.99     | 0.01%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-304132.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1               | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4353449 | PA      | $2499326.95    | 0.04%             | 2036-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/28 VAR                    | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2510446.55    | 0.04%             | 2028-06-09      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91020 FG 03/27 FIXED 5.5                 | CUSIP: 3128P7DZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $586.28        | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A3           | CUSIP: 07389MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3104038.40    | 0.05%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C                | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6420000 | PA      | $5710363.37    | 0.10%             | 2037-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| RAPTOR AIRCRAFT FINANCE LLC 2019-1                                            | RAPTOR AIRCRAFT FINANCE LLC RPTOR 2019 1 A 144A             | CUSIP: 75383HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1762175 | PA      | $1596954.82    | 0.03%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2016 1 A PTT PASS THRU CE 01/30 3.45             | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2537885 | PA      | $2428240.59    | 0.04%             | 2030-01-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779942 GN 11/26 FIXED 3                           | CUSIP: 36177HBK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67360 | PA      | $66699.40      | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2005-RP1                             | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 RP1 1F 144A       | CUSIP: 74927UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1096356 | PA      | $1002266.27    | 0.02%             | 2034-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC NATWEST GROUP PLC                         | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8700000 | PA      | $9038729.45    | 0.16%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                 | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                       | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     592810 | PA      | $595226.05     | 0.01%             | 2026-01-27      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HLDGS PLC SR GLBL 03/30 1                              | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4119896.96    | 0.07%             | 2030-03-04      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 03/54 6.35              | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $2027874.44    | 0.04%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV JR SUBORDINA 12/99 VAR                         | CUSIP: 456837AY9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $558946.92     | 0.01%             | 2027-05-16      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                             | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A             | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2692997 | PA      | $2789259.33    | 0.05%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $292940.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC1904 FN 02/46 FIXED 4                           | CUSIP: 3140EWDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17512 | PA      | $16594.59      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/43 3.875                                 | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  318300000 | PA      | $285027703.13  | 5.03%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 08/32 5.4                  | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5208668.61    | 0.09%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                            | TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2        | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |    1489322 | PA      | $1442762.08    | 0.03%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                             | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A             | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4651918 | PA      | $4708773.52    | 0.08%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A      | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $90025.95      | 0.00%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51310 FG 08/37 FIXED 6                   | CUSIP: 3128C6N39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9783 | PA      | $9963.05       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A      | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3622444 | PA      | $3263515.00    | 0.06%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-991.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 792400 FN 09/34 FLOATING VAR                      | CUSIP: 31405LKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17338 | PA      | $17799.71      | 0.00%             | 2034-09-01      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL3453 FN 09/37 FIXED VAR                         | CUSIP: 3138EKZT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337427 | PA      | $345312.14     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A           | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     421240 | PA      | $424501.25     | 0.01%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS SEC INC 2004-HE2                                             | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE2 M1            | CUSIP: 07384YQY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1613138 | PA      | $1690161.18    | 0.03%             | 2034-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 03/29 5.75       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $3083022.00    | 0.05%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6515 FN 06/53 FIXED 5                           | CUSIP: 3140QSGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16779269 | PA      | $16645193.41   | 0.29%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-14093.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                                       | SOUTH BOW USA INFRA HLDS COMPANY GUAR 144A 10/34 5.584      | CUSIP: 83007CAE2<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3662909.31    | 0.06%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-120                                                           | FANNIE MAE FNR 2005 120 PB                                  | CUSIP: 31394VJR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10938 | PA      | $11555.70      | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/49 FIXED 4.875     | CUSIP: 88880LAW3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3355000 | PA      | $3079371.32    | 0.05%             | 2049-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3272 FN 07/41 FIXED 4.5                         | CUSIP: 31416YT65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500106 | PA      | $1491963.55    | 0.03%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2052829.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                              | ESSENT GROUP LTD ESSENT GROUP LTD                           | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |    2200000 | PA      | $2279760.41    | 0.04%             | 2029-07-01      | Fixed         | 6.25%                 | 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      | $185059.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-4588.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1573 G2 01/29 FIXED 3                        | CUSIP: 36179NXA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134160 | PA      | $131948.99     | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-97                                                            | FANNIE MAE FNR 2005 97 DZ                                   | CUSIP: 31394UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22775 | PA      | $22527.23      | 0.00%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAVE TRUST 2019-1                                                             | WAVE USA WAAV 2019 1 A 144A                                 | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2566742 | PA      | $2463392.29    | 0.04%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1427910 | PA      | $1403194.06    | 0.02%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 3F 3A1                     | CUSIP: 362334HG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4029718 | PA      | $1335720.82    | 0.02%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QN05 PIMCO CDSOPT PUT USD 0.85 20250716                | CUSIP: OP0043Z50<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -20900000 | NC      | $-1498.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59500 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $56852.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A BR 144A          | CUSIP: 05684RAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1503330.68    | 0.03%             | 2034-07-16      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB9151 FN 09/54 FIXED 6                           | CUSIP: 3140QVEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18645488 | PA      | $19239163.27   | 0.34%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 07/25 0.00000                                 | CUSIP: 912797PG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      19000 | PA      | $18934.34      | 0.00%             | 2025-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4653.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                    | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A                   | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6303950.10    | 0.11%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB8026 FN 02/54 FIXED 6.5                         | CUSIP: 3140QT4L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8322092 | PA      | $8627267.27    | 0.15%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6                   | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7536339 | PA      | $7672458.01    | 0.14%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AK6081 FN 02/42 FIXED 4                           | CUSIP: 3138EAXK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33739 | PA      | $33502.21      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11509375 | PA      | $-11510839.25  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A3 144A        | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378859 | PA      | $359861.16     | 0.01%             | 2055-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                                                                 | LINEAGE OP LP COMPANY GUAR 144A 07/30 5.25                  | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2214199.79    | 0.04%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-37587.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-267072.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 09/41 2.85              | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2126482.05    | 0.04%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $390.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                            | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                   | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     801701 | PA      | $799963.78     | 0.01%             | 2036-10-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-286236.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-94550.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10219 FG 01/34 FIXED 5                   | CUSIP: 3128DHG40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12337 | PA      | $12353.25      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1              | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2757845 | PA      | $2319589.11    | 0.04%             | 2046-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 03/32 2.7                     | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2204153.85    | 0.04%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004216 G2 08/38 FIXED 6                        | CUSIP: 36202EVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10345 | PA      | $10438.96      | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-5                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M2              | CUSIP: 542514HE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     705182 | PA      | $711345.38     | 0.01%             | 2034-09-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5367.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91030 FG 05/27 FIXED 5.5                 | CUSIP: 3128P7EB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1088 | PA      | $1093.85       | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                         | HOLCIM FINANCE US LLC COMPANY GUAR 144A 04/30 4.95          | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2027794.46    | 0.04%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                    | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A                | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3576479 | PA      | $3614043.97    | 0.06%             | 2037-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/29 VAR                       | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2039554.40    | 0.04%             | 2029-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.52500 09/04/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $79475.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                         | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A               | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002308.02    | 0.04%             | 2034-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004308 G2 12/38 FIXED 5                        | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11784 | PA      | $11668.59      | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A        | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $870322.05     | 0.02%             | 2038-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6441.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/29 6.298                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1797708.88    | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ENERGY TRANSFER LP  SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4535.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR                 | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2571488.03    | 0.05%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS LLC                                                    | KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4          | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5780485.50    | 0.10%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB3804 FN 10/26 FIXED 4                           | CUSIP: 31417AGN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13375 | PA      | $13270.53      | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                                       | FREDDIE MAC FHR 4165 KZ                                     | CUSIP: 3137AYRT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $143.91        | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256937 FN 10/37 FIXED 6.5                         | CUSIP: 31371NLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $822.26        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                     | INVITATION HOMES OP COMPANY GUAR 08/30 5.45                 | CUSIP: 46188BAE2<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5180693.25    | 0.09%             | 2030-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005166 G2 09/26 FIXED 3                        | CUSIP: 36202FW36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71306 | PA      | $70597.38      | 0.00%             | 2026-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBAL HOLDINGS LLC                                        | CITADEL SECURITIES GLOBA SR SECURED 144A 06/30 5.5          | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2530512.20    | 0.04%             | 2030-06-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2192531.24   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1753 G2 03/44 FIXED 4.5                      | CUSIP: 36179N5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13802 | PA      | $13320.52      | 0.00%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 5.3         | CUSIP: 65480CAG0<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1381348.35    | 0.02%             | 2027-09-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-2A                                     | GLS AUTO RECEIVABLES TRUST GCAR 2024 2A B 144A              | CUSIP: 37964VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3030108.60    | 0.05%             | 2028-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31417 FG 07/37 FIXED 5.5                 | CUSIP: 31281BSE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1581 | PA      | $1626.56       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                    | PACIFICORP JR SUBORDINA 09/55 VAR                           | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5731332.04    | 0.10%             | 2055-09-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 357175 FN 12/31 FIXED 5.5                         | CUSIP: 31376JXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27088 | PA      | $27098.67      | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0316 FN 12/49 FIXED 4.5                         | CUSIP: 31417YK63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36797 | PA      | $35505.49      | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1158.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3            | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3405197 | PA      | $3296953.19    | 0.06%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                      | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/61 4.3        | CUSIP: 53079EBL7<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $2908736.88    | 0.05%             | 2061-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                        | CHASEFLEX TRUST CFLX 2007 1 1A3                             | CUSIP: 16165VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3795091 | PA      | $1281142.56    | 0.02%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $18370.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5998.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q07046 FG 03/42 FIXED 3.5                 | CUSIP: 3132GSET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8476 | PA      | $7972.43       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D                | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2634406 | PA      | $1251633.47    | 0.02%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                      | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 12/51 VAR        | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3896452.88    | 0.07%             | 2051-12-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $32210.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2577                                                              | FREDDIE MAC FHR 2577 LO                                     | CUSIP: 31393LCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     223270 | PA      | $207078.66     | 0.00%             | 2033-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2300000 | PA      | $2402810.00    | 0.04%             | 2027-01-07      | Floating      | 17.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-5292.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4              | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12194900 | PA      | $4104894.69    | 0.07%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5272 FN 02/54 FIXED 6                           | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38809509 | PA      | $39497082.32   | 0.70%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004384 G2 03/39 FIXED 4.5                      | CUSIP: 36202E2R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14363 | PA      | $13857.28      | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                               | CHOICE HOTELS INTL INC CHOICE HOTELS INTL INC               | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3529509.83    | 0.06%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC5341 FN 02/46 FIXED 3.5                         | CUSIP: 3140F05B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     809810 | PA      | $747547.46     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-4                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3               | CUSIP: 9497EMAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1521524 | PA      | $1517306.33    | 0.03%             | 2035-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1101 FN 12/53 FIXED 6.5                         | CUSIP: 3140A1GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7803699 | PA      | $8094015.01    | 0.14%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                     | AMERICAN AIRLINES INC 2025 TERM LOAN                        | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2405000 | PA      | $2392782.60    | 0.04%             | 2028-04-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QM06 PIMCO CDSOPT PUT USD 0.9 20250716                 | CUSIP: OP0043SX7<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -20400000 | NC      | $-1383.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                            | KKR FINANCIAL CLO LTD KKR 33A A 144A                        | CUSIP: 48254QAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3520000 | PA      | $3527486.79    | 0.06%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC 2003-AR3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4             | CUSIP: 03072SHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3351968 | PA      | $3173456.86    | 0.06%             | 2033-06-25      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                                | CUSIP: 21H022671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8497518.80    | 0.15%             | 2054-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A        | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2200000 | PA      | $2164745.22    | 0.04%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/36 VAR                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6195647.28    | 0.11%             | 2036-04-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/32 7.5            | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $2281199.74    | 0.04%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | HARDWOOD FUNDING LLC CORP0HRF2                              | CUSIP: 955NUGII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1517815.50    | 0.03%             | 2032-06-07      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| FREEDOM MORTGAGE HOLDINGS LLC                                                 | FREEDOM MORTGAGE HOLD SR UNSECURED 144A 04/32 8.375         | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6170589.20    | 0.11%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-NCM2                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 NCM2 2CB1          | CUSIP: 17307GHA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     899487 | PA      | $908978.22     | 0.02%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A            | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     898793 | PA      | $842478.37     | 0.01%             | 2046-10-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD TORREY PINES RE LTD                     | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $255687.50     | 0.00%             | 2026-06-05      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 11/30 VAR                        | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4398194.67    | 0.08%             | 2030-11-05      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-5396.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $86451.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 314                                                 | FANNIEMAE STRIP FNS 314 1                                   | CUSIP: 3136FABE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7224 | PA      | $6432.11       | 0.00%             | 2031-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                    | CDW LLC/CDW FINANCE CDW LLC/CDW FINANCE                     | CUSIP: 12513GBL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2596061.44    | 0.05%             | 2034-08-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.61300 08/22/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $49144.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6521.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORPORATION                                               | MAIN STREET CAPITAL CORP MAIN STREET CAPITAL CORP           | CUSIP: 56035LAH7<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3226950.18    | 0.06%             | 2029-03-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3852                                                       | FREDDIE MAC FHR 3852 SG                                     | CUSIP: 3137ABAR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     578923 | PA      | $485582.21     | 0.01%             | 2041-05-15      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                            | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A         | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6100000 | PA      | $5933513.31    | 0.10%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250814                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6645.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF4              | CUSIP: 759676AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8664451 | PA      | $3253421.53    | 0.06%             | 2036-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8470 FR 10/54 FIXED 6                   | CUSIP: 3132DWMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  158239261 | PA      | $160927414.10  | 2.84%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 28 LTD 28A                                                            | KKR FINANCIAL CLO LTD KKR 28A AR 144A                       | CUSIP: 48253WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6204557.99    | 0.11%             | 2035-02-09      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-73.87        | -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      | $-112190.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714     | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    8000000 | PA      | $6125204.00    | 0.11%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-14                                                            | FANNIE MAE FNR 2001 14 Z                                    | CUSIP: 31359SWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4268 | PA      | $4382.98       | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A4          | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259407 | PA      | $222933.35     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 02/35 4.78              | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4775846.10    | 0.08%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A90710 FG 01/40 FIXED 4.5                 | CUSIP: 312938YF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190670 | PA      | $190554.61     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 03/29 VAR             | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $5169624.05    | 0.09%             | 2029-03-06      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                               | PFP III PFP 2024 11 A 144A                                  | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    5376215 | PA      | $5395360.13    | 0.10%             | 2039-09-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.26378 12/02/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $526663.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8402 FR 02/54 FIXED 6                   | CUSIP: 3132DWKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37736774 | PA      | $38405338.58   | 0.68%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                      | LEHMAN XS TRUST LXS 2006 16N A4A                            | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2284710 | PA      | $2013708.10    | 0.04%             | 2046-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-4                                             | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A        | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     363396 | PA      | $363775.02     | 0.01%             | 2029-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-578.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OAKTREE STRATEGIC CREDIT FUND                                                 | OAKTREE STRATEGIC CREDIT SR UNSECURED 07/29 6.5             | CUSIP: 67403AAE9<br>LEI: 2549006RRE0JC7G43241 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1331918.16    | 0.02%             | 2029-07-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5388 FN 06/54 FIXED 5.5                         | CUSIP: 31418E7A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  102770203 | PA      | $102845703.31  | 1.81%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A4                                | RESIDENTIAL ASSET SECURITIZATI RAST 2004 A4 A11             | CUSIP: 45660NK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1077981 | PA      | $1042704.22    | 0.02%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5037 FN 06/53 FIXED 4.5                         | CUSIP: 31418ES35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67672757 | PA      | $64883608.14   | 1.14%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-104.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AY5622 FN 06/45 FIXED 3.5                         | CUSIP: 3138YKG80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22973231 | PA      | $21368278.63   | 0.38%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1811.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                                   | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                     | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5800000 | PA      | $5798060.19    | 0.10%             | 2035-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004880 G2 12/40 FIXED 4.5                      | CUSIP: 36202FM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31523 | PA      | $30618.00      | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5                 | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30906399 | PA      | $30956964.22   | 0.55%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                     | NATIONAL FUEL GAS CO SR UNSECURED 10/26 5.5                 | CUSIP: 636180BS9<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1516177.52    | 0.03%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS1                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A             | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1437749 | PA      | $1401489.44    | 0.02%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-271851.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H00790 FG 05/37 FIXED 5.5                 | CUSIP: 3128MS2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11527 | PA      | $11545.10      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD TORREY PINES RE LTD                     | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $313125.00     | 0.01%             | 2027-06-07      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/31 VAR                       | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2877583.44    | 0.05%             | 2031-04-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A             | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1728958.72    | 0.03%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-429.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005255 G2 12/26 FIXED 3                        | CUSIP: 36202FZU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416758 | PA      | $412527.17     | 0.01%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/36 5.8528       | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    2300000 | PA      | $2328401.55    | 0.04%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR                | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $250837.50     | 0.00%             | 2030-01-08      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256786 FN 06/37 FIXED 6                           | CUSIP: 31371NF34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26231 | PA      | $26525.23      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK50                                                               | BANK BANK 2025 BNK50 ASB                                    | CUSIP: 064908AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2311627.01    | 0.04%             | 2068-05-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                            | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A             | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7501571.25    | 0.13%             | 2028-10-16      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q28306 FG 09/44 FIXED 4                   | CUSIP: 3132M83P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     408009 | PA      | $389712.78     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MORTGAGE TRUST                                                   | BMO MORTGAGE TRUST BMO 2024 5C5 A2                          | CUSIP: 05593RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2052362.40    | 0.04%             | 2057-02-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G06506 FG 12/40 FIXED 4                   | CUSIP: 3128M8R30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        231 | PA      | $223.91        | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QMA4 PIMCO CDSOPT PUT USD 1.0 20250716                 | CUSIP: OP0043WJ3<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -22100000 | NC      | $-1375.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL5540 FN 07/44 FIXED VAR                         | CUSIP: 3138ENEN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171790 | PA      | $168666.07     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $12875.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC F                                     | CUSIP: 955GHA901<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     900000 | PA      | $867805.10     | 0.02%             | 2045-01-30      | Fixed         | 5.97%                 | Yes           |                  3 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2100000 | PA      | $2597220.70    | 0.05%             | 2033-11-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A9                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A9 A3              | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17440 | PA      | $16183.44      | 0.00%             | 2033-08-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $331.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.26606 12/02/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1732990.91    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91033 FG 06/27 FIXED 5.5                 | CUSIP: 3128P7EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2479 | PA      | $2493.83       | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3 JUMBOS                                  | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   93000000 | PA      | $82252679.13   | 1.45%             | 2054-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-16884.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 968312 FN 02/38 FIXED 4.5                         | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5888 | PA      | $5842.01       | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6150.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004674 G2 04/40 FIXED 5                        | CUSIP: 36202FFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7641 | PA      | $7621.27       | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004239 G2 09/38 FIXED 6                        | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5133 | PA      | $5222.34       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A           | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2204250 | PA      | $2026372.57    | 0.04%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0456 G2 10/42 FIXED 3.5                      | CUSIP: 36179MQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125160 | PA      | $113085.40     | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP            | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5             | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1410000.48    | 0.02%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                     | ONEOK INC COMPANY GUAR 09/33 6.05                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6298308.12    | 0.11%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                | GREENSAIF PIPELINES BIDC SR SECURED 144A 08/42 6.1027       | CUSIP: 39541EAE3<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    1400000 | PA      | $1402037.00    | 0.02%             | 2042-08-23      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC COREBRIDGE FINANCIAL INC           | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2079178.18    | 0.04%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5105 FN 08/53 FIXED 4.5                         | CUSIP: 31418EU73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1534857 | PA      | $1470957.82    | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                                 | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A                  | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2350962 | PA      | $2465445.10    | 0.04%             | 2041-10-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20479.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4078.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL POWER (US HOLDINGS) INC                                               | CAPITAL POWER US HOLDING COMPANY GUAR 144A 06/28 5.257      | CUSIP: 14041TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1723371.40    | 0.03%             | 2028-06-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $73.86         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA SR UNSECURED 144A 01/27 VAR                         | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $4027628.16    | 0.07%             | 2027-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $1865275.23    | 0.03%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-5RA                                        | NOMURA RESECURITIZATION TRUST NMRR 2010 5RA 1A7 144A        | CUSIP: 65539GBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780089 | PA      | $734904.37     | 0.01%             | 2037-10-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                                  | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A                   | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8900000 | PA      | $8927766.67    | 0.16%             | 2037-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                                              | LSEG US FIN CORP LSEG US FIN CORP                           | CUSIP: 50222CAB6<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1542040.79    | 0.03%             | 2034-03-28      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888412 FN 04/37 FIXED VAR                         | CUSIP: 31410GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6666 | PA      | $6791.20       | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                               | SOUTHERN CALIF GAS CO 1ST MORTGAGE 02/30 2.55               | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1562848.22    | 0.03%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1A                                                        | LUNAR AIRCRAFT 2020 1 LIMITED LUNRR 2020 1A A 144A          | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1301740 | PA      | $1270196.88    | 0.02%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2007-41                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 41 PC               | CUSIP: 38375KXH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4133 | PA      | $4237.12       | 0.00%             | 2037-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  183065910 | PA      | $158434948.33  | 2.79%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A               | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2503548 | PA      | $2278316.62    | 0.04%             | 2035-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-409.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/37 6.875              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6500000 | PA      | $6795262.50    | 0.12%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-93                                                     | FANNIE MAE FNR 2007 93 ZB                                   | CUSIP: 31396XWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115398 | PA      | $110885.92     | 0.00%             | 2037-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $14895.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $11544.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AL6978 G2 03/45 FIXED 3.5                      | CUSIP: 36184DXF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317425 | PA      | $287151.74     | 0.01%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                              | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2000000 | PA      | $2087900.00    | 0.04%             | 2026-06-08      | Floating      | 21.31%                | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                              | SAXON ASSET SECURITIES TRUST SAST 2004 3 M5                 | CUSIP: 805564QZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1772862 | PA      | $1416702.43    | 0.02%             | 2034-12-26      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 03/31 2.958                 | CUSIP: 05964HAM7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2200000 | PA      | $2009685.59    | 0.04%             | 2031-03-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 789262 FH 12/31 FLOATING VAR              | CUSIP: 31295NJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22388 | PA      | $22775.91      | 0.00%             | 2031-12-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                    | NETAPP INC SR UNSECURED 03/35 5.7                           | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1643757.09    | 0.03%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005276 G2 01/27 FIXED 3                        | CUSIP: 36202F2H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     526040 | PA      | $520518.90     | 0.01%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                  | ACE SECURITIES CORP. ACE 2006 HE4 A2D                       | CUSIP: 00442BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4221416 | PA      | $1660040.30    | 0.03%             | 2036-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A       | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6001136 | PA      | $6065426.18    | 0.11%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                      | PRUDENTIAL FINANCIAL INC 03/54 1                            | CUSIP: 744320BP6<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2883297.20    | 0.05%             | 2054-03-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5                 | CUSIP: 3132DWH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41546214 | PA      | $41619536.92   | 0.73%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-12833.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4294796.04    | 0.08%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FIBRA UNO (TRUST F/1401)                                                      | TRUST FIBRAUNO SR UNSECURED REGS 01/44 6.95                 | CUSIP: P9406GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     300000 | PA      | $267082.95     | 0.00%             | 2044-01-30      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-7                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 7 A11 144A        | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4101348 | PA      | $4112795.59    | 0.07%             | 2055-06-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AE5917 FN 10/25 FIXED 4                           | CUSIP: 31419GSF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1098 | PA      | $1094.36       | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR                  | CUSIP: 096003AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2000000 | PA      | $2033200.00    | 0.04%             | 2031-01-08      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-3512.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $62545.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256860 FN 08/37 FIXED 6.5                         | CUSIP: 31371NJD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1035 | PA      | $1079.52       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-WF4                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M3             | CUSIP: 86359DLN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31938 | PA      | $53702.08      | 0.00%             | 2035-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AV5397 FN 12/28 FIXED 4                           | CUSIP: 3138XG7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107964 | PA      | $107189.47     | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004553 G2 10/39 FIXED 4.5                      | CUSIP: 36202FBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106986 | PA      | $103917.07     | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/28 VAR                         | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7000000 | PA      | $7431927.79    | 0.13%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | CREDIT AGRICOLE SA 144A 01/36 VAR                           | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $4148458.64    | 0.07%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                 | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR           | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $294134.28     | 0.01%             | 2029-01-17      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-631.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | CORP0HRG0 HRDFDG 5.33 06/09/35                              | CUSIP: 957HXRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $709355.65     | 0.01%             | 2035-06-07      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE7191 FN 03/47 FIXED 4                           | CUSIP: 3140FS7D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1223188 | PA      | $1160235.07    | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                          | WSTN TRUST WSTN 2023 MAUI A 144A                            | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3552845.45    | 0.06%             | 2037-07-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-17016.32     | -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      | $95098.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2            | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800079 | PA      | $1652984.16    | 0.03%             | 2037-07-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                 | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A         | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3225185 | PA      | $3241342.77    | 0.06%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL BA5040 GN 06/47 FIXED 4                           | CUSIP: 3617AHS59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1886293 | PA      | $1779050.37    | 0.03%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7           | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302262 | PA      | $159882.95     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $183136.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5                   | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19024364 | PA      | $18695741.32   | 0.33%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                          | TARGA RESOURCES CORP TARGA RESOURCES CORP                   | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1154585.52    | 0.02%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.64500 08/07/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $39591.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q01045 FG 05/41 FIXED 4.5                 | CUSIP: 3132GEES5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     455689 | PA      | $451961.58     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                    | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A                   | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3503857.00    | 0.06%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $139389.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                              | FREDDIE MAC FHR 3117 OK                                     | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3956 | PA      | $3450.78       | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                              | NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A1 144A               | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2590855 | PA      | $2573901.13    | 0.05%             | 2051-08-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4158                                                       | FREDDIE MAC FHR 4158 KZ                                     | CUSIP: 3137AXUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $27.70         | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3549                                                       | FREDDIE MAC FHR 3549 PO                                     | CUSIP: 31398EPR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18715 | PA      | $17059.12      | 0.00%             | 2039-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 878045 FN 03/36 FIXED 5                           | CUSIP: 31409TP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4138 | PA      | $4030.42       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5          | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $299499.09     | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO MORTGAGE BACKED SECURITI PIMCO MBS ACTIVE ETF         | CUSIP: 72201R569<br>LEI: 2549001WTPP9QU7A6W04 | Long             | EC               | RF                | US        |    2030273 | NS      | $99584890.65   | 1.76%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 995952 FN 02/38 FIXED VAR                         | CUSIP: 31416CL95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2517 | PA      | $2603.03       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31025 FG 09/33 FIXED 4                   | CUSIP: 31281BD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3978 | PA      | $3952.28       | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5                 | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1085802.74    | 0.02%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1090500 | PA      | $-1090637.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  SEP25 IFLL 20250926                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        311 | NC      | $803450.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC33 A4            | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7065486 | PA      | $7041635.52    | 0.12%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55800 08/21/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $70269.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE8245 FN 03/47 FIXED 4                           | CUSIP: 3140FUET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     910347 | PA      | $864388.21     | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A        | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1918409.00    | 0.03%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A       | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193747 | PA      | $174679.52     | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250708                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $593.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 11/33 VAR                        | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7539929.74    | 0.13%             | 2033-11-17      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A2 144A                           | CUSIP: 552757AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292220 | PA      | $275943.11     | 0.00%             | 2065-01-26      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5163 FN 10/53 FIXED 4.5                         | CUSIP: 31418EWZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5323374 | PA      | $5099531.23    | 0.09%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-5541.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2018-C2                                                  | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 C2 A5             | CUSIP: 05491UBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $982516.70     | 0.02%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| SLAM 2024-1A LTD                                                              | SLAM LLC SLAM 2024 1A A 144A                                | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2762315 | PA      | $2761274.98    | 0.05%             | 2049-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC                                       | CUSIP: 938WPEII2<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1099194.67    | 0.02%             | 2035-01-30      | Fixed         | 5.59%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59900 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $53512.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-263746.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005227 G2 11/26 FIXED 3                        | CUSIP: 36202FYY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221590 | PA      | $219422.12     | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1169.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004879 G2 12/40 FIXED 4                        | CUSIP: 36202FM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36170 | PA      | $33874.48      | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA                                   | SPIRIT AIR 2017 1 PTT AA PASS THRU CE 08/31 3.375           | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     499577 | PA      | $443233.07     | 0.01%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A                           | AASET 2021 2 TRUST AASET 2021 2A A 144A                     | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2028752 | PA      | $1891321.62    | 0.03%             | 2047-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR7                                                               | BANK5 BANK5 2024 5YR7 A3                                    | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2288282.92    | 0.04%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2645449 | PA      | $2372107.48    | 0.04%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779403 GN 06/27 FIXED 3                           | CUSIP: 36176XU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169882 | PA      | $167986.18     | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2                 | CUSIP: 61744CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4071770 | PA      | $3967476.82    | 0.07%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                | VENTURE CDO LTD VENTR 2017 27A AR 144A                      | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     905236 | PA      | $903639.11     | 0.02%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 11/34 4.4               | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4272627.51    | 0.08%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/35 2.125                                 | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82734960 | PA      | $84135404.74   | 1.48%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR             | CUSIP: 539439AU3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $5025925.00    | 0.09%             | 2025-09-27      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                   | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625       | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1472690.01    | 0.03%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784034 G2 08/30 FIXED 2                        | CUSIP: 3622A2PT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     457445 | PA      | $439784.23     | 0.01%             | 2030-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889528 FN 05/38 FIXED VAR                         | CUSIP: 31410KHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1684 | PA      | $1750.66       | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-483411.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE PUBLIC WORKS BOARD                                           | CALIFORNIA ST PUBLIC WKS BRD L CASFAC 10/34 FIXED 8.361     | CUSIP: 130685WB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5000000 | PA      | $5951169.50    | 0.10%             | 2034-10-01      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  168778290 | PA      | $156924295.33  | 2.77%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $2490435.74    | 0.04%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2D            | CUSIP: 17309BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3980509 | PA      | $1437649.55    | 0.03%             | 2036-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A1            | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355214 | PA      | $133682.48     | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1              | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1072944 | PA      | $1050502.16    | 0.02%             | 2034-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A           | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     153611 | PA      | $154623.79     | 0.00%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31485 FG 02/38 FIXED 4.5                 | CUSIP: 31281BUJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36184 | PA      | $35830.15      | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  133800000 | PA      | $131058376.45  | 2.31%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                     | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR         | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    4250000 | NS      | $4247365.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2023-4                                             | LAD AUTO RECEIVABLES TRUST LADAR 2023 4A A4 144A            | CUSIP: 50571AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5072637.00    | 0.09%             | 2028-06-15      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AG8838 GN 01/29 FIXED 3                           | CUSIP: 36182DZB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165371 | PA      | $162572.28     | 0.00%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A        | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112910 | PA      | $109833.83     | 0.00%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/34 5.8               | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3001206.27    | 0.05%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888738 FN 10/37 FIXED VAR                         | CUSIP: 31410GLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53175 | PA      | $56599.71      | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-29441.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH0452 FN 05/47 FIXED 4                           | CUSIP: 3140GNQE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     888404 | PA      | $834261.99     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $24402.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINANCING I VMED O2 UK FINANCING I               | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3537349.80    | 0.06%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV JR SUBORDINA 12/99 VAR                         | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $503458.68     | 0.01%             | 2031-05-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                | WINSTON RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $254087.50     | 0.00%             | 2028-02-21      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-265786.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12257.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8361 FR 09/53 FIXED 5                   | CUSIP: 3132DWJE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35973628 | PA      | $35379530.58   | 0.62%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                                  | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25         | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1416097 | PA      | $1431025.33    | 0.03%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A        | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7902927 | PA      | $7758456.96    | 0.14%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                      | ARES CAPITAL CORP SR UNSECURED 03/29 5.875                  | CUSIP: 04010LBF9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3059977.05    | 0.05%             | 2029-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A        | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1879154.18    | 0.03%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.28000 09/16/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $393086.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC (FIN) COMPANY                                                 | GLOBAL ATLANTIC FIN CO COMPANY GUAR 144A 10/29 4.4          | CUSIP: 37959GAA5<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2913360.18    | 0.05%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-4F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 4F 6A1                     | CUSIP: 362650BB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543426 | PA      | $206192.61     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VALEO SA SNR SE ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $6268.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/25 4.5          | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $498857.79     | 0.01%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                         | MICRON TECHNOLOGY INC SR UNSECURED 04/28 5.375              | CUSIP: 595112CA9<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1953969.84    | 0.03%             | 2028-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $201012.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A           | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594118 | PA      | $557399.33     | 0.01%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783446 GN 10/26 FIXED 3                           | CUSIP: 36241LZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152306 | PA      | $150881.71     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 993203 FN 06/39 FIXED 4.5                         | CUSIP: 31415YKQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19786 | PA      | $19591.08      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-49252.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31313 FG 09/36 FIXED 5.5                 | CUSIP: 31281BN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12626 | PA      | $13018.08      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF1 144A          | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1606383 | PA      | $1299725.67    | 0.02%             | 2036-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8366 FR 10/53 FIXED 5                   | CUSIP: 3132DWJK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  164684973 | PA      | $162027055.08  | 2.86%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-AR1                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 AR1 A1A           | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5709716 | PA      | $5038954.21    | 0.09%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR              | CUSIP: 38141GZS6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3058132.50    | 0.05%             | 2028-03-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.26082 12/02/24-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $770343.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                      | AMERICAN HOMES 4 RENT AMERICAN HOMES 4 RENT                 | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1729341.83    | 0.03%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT SEP25 XCBT 20250919                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1569 | NC      | $-3857453.85   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL K00042 FG 07/37 FIXED 6.5                 | CUSIP: 31301ABK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2780.32       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 783425 G2 09/26 FIXED 3                        | CUSIP: 36241LYW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4836 | PA      | $4799.31       | 0.00%             | 2026-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XIV LTD 2018-2                                               | MARBLE POINT CLO LTD. MP14 2018 2A A12R 144A                | CUSIP: 56608KAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     408092 | PA      | $408075.60     | 0.01%             | 2032-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3638 FN 04/49 FIXED 4                           | CUSIP: 31418DBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1116735 | PA      | $1055003.59    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                        | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A          | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $512206.60     | 0.01%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1B 144A          | CUSIP: 78450XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1069509 | PA      | $1072775.80    | 0.02%             | 2056-10-16      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-35                                                            | FANNIE MAE FNR 2010 35 SB                                   | CUSIP: 31398PKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23950 | PA      | $1543.68       | 0.00%             | 2040-04-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 09/34 5.45            | CUSIP: 31847RAJ1<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1274143.49    | 0.02%             | 2034-09-30      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEVON ENERGY CORPORATION SNR S* ICE                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $10694.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1321341.75    | 0.02%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256109 FN 01/36 FIXED 6.5                         | CUSIP: 31371MN29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15878 | PA      | $16380.18      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-50.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC SR UNSECURED 10/30 2.9                  | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1844619.34    | 0.03%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                   | CHENIERE ENERGY PARTNERS COMPANY GUAR 01/32 3.25            | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1793937.00    | 0.03%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65213 FG 04/44 FIXED 4.5                 | CUSIP: 31322YYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49100 | PA      | $46518.83      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/28 6.07                 | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    3100000 | PA      | $3235911.66    | 0.06%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-145942.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1496 G2 12/28 FIXED 3                        | CUSIP: 36179NUV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14091 | PA      | $13865.04      | 0.00%             | 2028-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 04/26 5.375            | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $600505.80     | 0.01%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-77882.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257180 FN 04/38 FIXED 5                           | CUSIP: 31371NUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4499 | PA      | $4479.35       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-52358.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A92791 FG 07/40 FIXED 4.5                 | CUSIP: 312941C47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32683 | PA      | $32667.04      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                             | MARS INC SR UNSECURED 144A 03/35 5.2                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2531201.03    | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3              | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1475271 | PA      | $1488769.90    | 0.03%             | 2034-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                          | BOSTON PROPERTIES LP SR UNSECURED 04/32 2.55                | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $3714215.30    | 0.07%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                        | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A          | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3251232 | PA      | $3219810.43    | 0.06%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                            | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                    | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1997706.54    | 0.04%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 08/33 VAR                    | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4200000 | PA      | $4309741.84    | 0.08%             | 2033-08-11      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 6 LP 2025-1                                             | PK ALIFT LOAN FUNDING PKAIR 2025 1 A 144A                   | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5324618.50    | 0.09%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                            | ALLY FINANCIAL INC ALLY FINANCIAL INC                       | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3274231.01    | 0.06%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                              | LPL HOLDINGS INC COMPANY GUAR 06/35 5.75                    | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     900000 | PA      | $910909.10     | 0.02%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AK9126 FN 02/42 FIXED 4                           | CUSIP: 3138EED89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99394 | PA      | $98234.58      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004554 G2 10/39 FIXED 5                        | CUSIP: 36202FBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30306 | PA      | $30225.89      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 08/28 VAR              | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10015180.80   | 0.18%             | 2028-08-23      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $27986.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-50                                                            | FANNIE MAE FNR 2006 50 JO                                   | CUSIP: 31395DUD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5288 | PA      | $4570.39       | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1                 | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2739360 | PA      | $1591360.09    | 0.03%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR2                                                          | GSAMP TRUST GSAMP 2004 AR2 M5                               | CUSIP: 36242DDT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4885393 | PA      | $4248341.98    | 0.07%             | 2034-08-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                 | SIXTH STREET LENDING PAR SR UNSECURED 144A 07/30 6.125      | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1018789.97    | 0.02%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5                 | CUSIP: 3133KR3D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     908735 | PA      | $870649.81     | 0.02%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3              | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $607063.80     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45            | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1982595 | PA      | $2007740.98    | 0.04%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A2 144A        | CUSIP: 85573EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293311 | PA      | $278414.91     | 0.00%             | 2055-11-25      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-5                                              | TOWD POINT MORTGAGE TRUST TPMT 2018 5 A1A 144A              | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1855919 | PA      | $1836360.41    | 0.03%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS CO.                                                       | EL PASO NATURAL GAS COMPANY GUAR 144A 02/32 3.5             | CUSIP: 283695BQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1352292.47    | 0.02%             | 2032-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 09/34 VAR                 | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $18473608.30   | 0.33%             | 2034-09-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                                | CUSIP: 21H022689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85000000 | PA      | $72228909.80   | 1.27%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                         | ALESCO PREFERRED FUNDING LTD ALESC 17A A1 144A              | CUSIP: 01450NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2090202 | PA      | $2001368.79    | 0.04%             | 2038-09-23      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-11.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                                  | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 12/39 4.317        | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2133729.95    | 0.04%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEVON ENERGY CORPORATION SNR S* ICE                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $17845.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1003.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $21550.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-231148.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 08/25 0.00000                                 | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     435000 | PA      | $432714.50     | 0.01%             | 2025-08-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-15.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                            | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45                  | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    7100000 | PA      | $5487938.26    | 0.10%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                 | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                   | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4826753.50    | 0.09%             | 2036-09-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                         | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR              | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |     603000 | PA      | $613914.30     | 0.01%             | 2029-04-09      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2218.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLAREMONT MCKENNA COLLEGE (CMC)                                               | CLAREMONT MCKENNA UNSECURED 01/22 3.775                     | CUSIP: 18013RAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1901240.73    | 0.03%             | 2122-01-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q35222 FG 08/45 FIXED 4                   | CUSIP: 3132QRYU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1559370 | PA      | $1485644.36    | 0.03%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                             | BXMT LTD BXMT 2020 FL3 A 144A                               | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    2578691 | PA      | $2576031.01    | 0.05%             | 2037-11-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                        | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3            | CUSIP: 04541GUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1174248 | PA      | $1181929.43    | 0.02%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                     | HA SUSTAINABLE INF CAP COMPANY GUAR 07/34 6.375             | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2501661.88    | 0.04%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A      | CUSIP: 46645WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1776604 | PA      | $1733410.41    | 0.03%             | 2033-07-05      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR UNSECURED 10/29 3.75                 | CUSIP: 247361ZT8<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3251295.56    | 0.06%             | 2029-10-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                           | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A           | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     292735 | PA      | $294695.97     | 0.01%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                          | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR             | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3111566.57    | 0.05%             | 2028-01-14      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3772                                                       | FREDDIE MAC FHR 3772 ES                                     | CUSIP: 3137A4HD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     875083 | PA      | $53756.64      | 0.00%             | 2040-12-15      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                         | TIME WARNER CABLE LLC SR SECURED 05/37 6.55                 | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     600000 | PA      | $620002.54     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                      | ARES CAPITAL CORP SR UNSECURED 07/25 3.25                   | CUSIP: 04010LAY9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1798918.00    | 0.03%             | 2025-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT2086 FR 06/49 FIXED 3.5                 | CUSIP: 3132AEJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1541905 | PA      | $1406388.86    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC         | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR               | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1511904 | PA      | $1394731.55    | 0.02%             | 2037-03-22      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                            | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A              | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2598073.97    | 0.05%             | 2036-07-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                          | GSAMP TRUST GSAMP 2005 HE4 M3                               | CUSIP: 362341KE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     739118 | PA      | $739511.01     | 0.01%             | 2045-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 02/32 4.375               | CUSIP: 09581JAS5<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1868433.64    | 0.03%             | 2032-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP INC                                                   | AMERICAN NATIONAL GROUP SR UNSECURED 10/29 5.75             | CUSIP: 025676AN7<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3688304.04    | 0.07%             | 2029-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 773557 FN 05/34 FIXED 5                           | CUSIP: 31404NME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7732 | PA      | $7684.52       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                                   | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A                   | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4900000 | PA      | $4914887.57    | 0.09%             | 2036-04-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                      | FANNIE MAE FNR 2013 6 BZ                                    | CUSIP: 3136ABM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $114.02        | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                                 | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A        | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1386609 | PA      | $1389187.65    | 0.02%             | 2038-11-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 3A1A                  | CUSIP: 126694VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     394524 | PA      | $347378.76     | 0.01%             | 2036-02-20      | Floating      | 4.72%                 | 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      | $123040.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5445 FN 08/54 FIXED 6                           | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72895069 | PA      | $74156678.02   | 1.31%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                        | LEHMAN XS TRUST LXS 2006 8 3A4                              | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1446829 | PA      | $1417920.74    | 0.03%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                           | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                    | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1300495.86    | 0.02%             | 2035-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20250814                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2679.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                             | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 A2C            | CUSIP: 81375WKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1231886 | PA      | $1206674.61    | 0.02%             | 2035-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.7               | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3148767.20    | 0.06%             | 2028-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0375 G2 09/27 FIXED 3                        | CUSIP: 36179MMY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17510 | PA      | $17292.00      | 0.00%             | 2027-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A         | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2564683 | PA      | $2543855.45    | 0.04%             | 2061-07-27      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A         | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2510647.98    | 0.04%             | 2039-03-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/29 5.55              | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3049428.18    | 0.05%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CC0257 FN 04/55 FIXED 6                           | CUSIP: 3140Y6JB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15901009 | PA      | $16369294.73   | 0.29%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $667.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 738969 GN 11/26 FIXED 3                           | CUSIP: 3620AS6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384730 | PA      | $381176.56     | 0.01%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005123 G2 07/41 FIXED 4.5                      | CUSIP: 36202FVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44060 | PA      | $42511.92      | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDIANA FINANCE AUTHORITY                                                     | INDIANA ST FIN AUTH UNIV HSG R INSHSG 07/53 FIXED 5.928     | CUSIP: 45471MAC0<br>LEI: 549300PS0PAS7NDSSI20 | Long             | DBT              | MUN               | US        |    8000000 | PA      | $7690878.40    | 0.14%             | 2053-07-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                 | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                      | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8766 | PA      | $8714.17       | 0.00%             | 2033-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B            | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1029643 | PA      | $786611.22     | 0.01%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8342 FR 07/53 FIXED 5.5                 | CUSIP: 3132DWHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59357073 | PA      | $59511054.34   | 1.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                        | NXP BV/NXP FDG/NXP USA COMPANY GUAR 01/33 5                 | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     900000 | PA      | $897892.25     | 0.02%             | 2033-01-15      | Fixed         | 5.00%                 | 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        |     344908 | PA      | $330484.12     | 0.01%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $35581.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL ZT1776 FR 03/49 FIXED 3.5                 | CUSIP: 3132AD6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1437710 | PA      | $1311947.64    | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3              | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691817 | PA      | $694697.05     | 0.01%             | 2034-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-892.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                 | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                       | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1743916 | PA      | $1714474.01    | 0.03%             | 2049-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A         | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1863664.76    | 0.03%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                              | TVA PRIN STRIP BONDS 06/38 0.00000                          | CUSIP: 88059FBR1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2500000 | PA      | $1322501.18    | 0.02%             | 2038-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AD8911 GN 04/28 FIXED 3                           | CUSIP: 36180M3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170806 | PA      | $168099.22     | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST REF MORT 04/47 4                    | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $1977658.43    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2018-1                               | CASTLELAKE AIRCRAFT STRUCTURED CLAST 2018 1 A 144A          | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     210118 | PA      | $204267.68     | 0.00%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-73053.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                          | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A          | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2261536 | PA      | $2295730.92    | 0.04%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5471 FN 09/54 FIXED 6                           | CUSIP: 31418FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   58556673 | PA      | $59552430.82   | 1.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 08/31 2.4             | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1281975.30    | 0.02%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/54 6.858                      | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1972241.86    | 0.03%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1023.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.67900 08/13/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $58913.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                               | VENTURE CDO LTD VENTR 2017 28A A1R 144A                     | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     973418 | PA      | $973993.61     | 0.02%             | 2030-07-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                           | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A           | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     554385 | PA      | $556060.22     | 0.01%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                         | TIME WARNER CABLE LLC SR SECURED 07/38 7.3                  | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2727736.45    | 0.05%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA4253 G2 02/47 FIXED 4.5                      | CUSIP: 36179SWN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23557 | PA      | $22735.65      | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 627130 G2 03/34 FIXED 5                        | CUSIP: 36291FVX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128797 | PA      | $128124.24     | 0.00%             | 2034-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q26755 FG 06/44 FIXED 4.5                 | CUSIP: 3132M7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     476201 | PA      | $466599.34     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | 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      | $-38192.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A            | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4712852 | PA      | $4591662.07    | 0.08%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2             | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245089 | PA      | $241392.49     | 0.00%             | 2035-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-8                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 8 A6              | CUSIP: 93935EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7036145 | PA      | $2383887.37    | 0.04%             | 2036-10-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-1                                          | WELLS FARGO HOME EQUITY TRUST WFHET 2005 1 M9               | CUSIP: 9497ERAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130907 | PA      | $133264.74     | 0.00%             | 2035-04-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 01/27 6.49                 | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     311000 | PA      | $309624.73     | 0.01%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 847996 FN 11/35 FLOATING VAR                      | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1825 | PA      | $1851.91       | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/34 VAR                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $17550885.34   | 0.31%             | 2034-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55000 08/21/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $166629.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS3096 FN 07/44 FIXED 4                           | CUSIP: 3138WCNN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209415 | PA      | $201800.88     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA ELECTRICITE DE FRANCE SA           | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $4172904.88    | 0.07%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $4273.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC D                                     | CUSIP: 955GGZ907<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499012.62     | 0.01%             | 2037-01-30      | Fixed         | 5.69%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 944066 FN 07/37 FIXED 6.5                         | CUSIP: 31413FJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1505 | PA      | $1520.71       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)SEP25 XCBT 20250919                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       6064 | NC      | $11493304.70   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA SR UNSECURED 144A 06/35 VAR                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     800000 | PA      | $837471.22     | 0.01%             | 2035-06-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QMB2 PIMCO CDSOPT PUT USD 0.9 20250716                 | CUSIP: OP0043WK0<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -22100000 | NC      | $-1498.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A           | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1628572 | PA      | $1626700.77    | 0.03%             | 2067-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4061                                                       | FREDDIE MAC FHR 4061 SL                                     | CUSIP: 3137ARCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49569 | PA      | $23640.57      | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BALDWIN RE LTD                                                                | BALDWIN RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 05826BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $999800.00     | 0.02%             | 2028-07-07      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/34 6.528                      | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1195901.56    | 0.02%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| REPERFORMING LOAN REMIC TRUST 2006-R1                                         | COUNTRYWIDE HOME LOANS CWHL 2006 R1 AF1 144A                | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     729438 | PA      | $689091.91     | 0.01%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q17134 FG 04/43 FIXED 3                   | CUSIP: 3132J8LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2542 | PA      | $2304.47       | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                          | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A1           | CUSIP: 94984CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218452 | PA      | $202827.08     | 0.00%             | 2036-08-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                                 | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797384 | PA      | $793489.42     | 0.01%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783450 GN 10/26 FIXED 3                           | CUSIP: 36241LZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88467 | PA      | $87596.64      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2005 1 A2                       | CUSIP: 81744FGN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238942 | PA      | $229174.20     | 0.00%             | 2035-02-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                       | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2               | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57841 | PA      | $56958.18      | 0.00%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75         | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2005578.48    | 0.04%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $429.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC5864 FN 05/40 FIXED 4                           | CUSIP: 31417SQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5231 | PA      | $5179.51       | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-55                                                     | FANNIE MAE FNR 2007 55 PO                                   | CUSIP: 31396WGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1710 | PA      | $1442.86       | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                           | BRANDYWINE OPER PARTNERS COMPANY GUAR 03/28 7.8             | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107296.80     | 0.00%             | 2028-03-15      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3               | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1262091 | PA      | $1312131.31    | 0.02%             | 2037-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FARMERS INSURANCE EXCHANGE                                                    | FARMERS INS EXCH SUBORDINATED 144A 11/57 VAR                | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1637946.60    | 0.03%             | 2057-11-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XX 2015-20A                                                        | APIDOS CLO LTD APID 2015 20A A1RA 144A                      | CUSIP: 03765LAP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1513400 | PA      | $1515541.15    | 0.03%             | 2031-07-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A14706 FG 10/33 FIXED 4                   | CUSIP: 31296PGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9046 | PA      | $8914.81       | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 916462 FN 05/37 FIXED 4.5                         | CUSIP: 31411WFB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32321 | PA      | $31759.64      | 0.00%             | 2037-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-V4 MORTGAGE TRUST                                              | BENCHMARK MORTGAGE TRUST BMARK 2023 V4 A3                   | CUSIP: 081926AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6700000 | PA      | $7132089.70    | 0.13%             | 2056-11-15      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-133394.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS PRIVATE ACTIVITY SURFACE TRANSPORTATION CORP                            | TEXAS ST PRIV ACTIVITY BOND SU TXSTRN 12/49 FIXED 3.922     | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4200000 | PA      | $3282122.76    | 0.06%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4473                                                       | FREDDIE MAC FHR 4473 BI                                     | CUSIP: 3137BJAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5356955 | PA      | $448764.41     | 0.01%             | 2040-06-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH1 M6            | CUSIP: 17307G2T4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780000 | PA      | $1765623.30    | 0.03%             | 2036-01-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6536487 | PA      | $-6542660.04   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 932584 FN 12/35 FIXED 5                           | CUSIP: 31412RCV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     606434 | PA      | $613095.51     | 0.01%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 845233 FN 12/35 FIXED 5                           | CUSIP: 31408ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1453 | PA      | $1428.51       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 10/29 6.35               | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5963087.05    | 0.11%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORPORATION                                                  | BLUE OWL CAPITAL CORP SR UNSECURED 03/29 5.95               | CUSIP: 69121KAH7<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2010949.12    | 0.04%             | 2029-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                                | LCM LTD PARTNERSHIP LCM 35A A1R 144A                        | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2493590.78    | 0.04%             | 2034-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4            | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3642441.69    | 0.06%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q03759 FG 10/41 FIXED 3.5                 | CUSIP: 3132GJZY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $644.91        | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-113.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A          | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8446869 | PA      | $8454373.36    | 0.15%             | 2037-02-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C            | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1687857 | PA      | $929625.59     | 0.02%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A2 144A         | CUSIP: 12654PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $945367.90     | 0.02%             | 2057-09-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                   | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A                | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4418678 | PA      | $4428253.62    | 0.08%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9200000 | PA      | $7488599.90    | 0.13%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 838615 FN 10/35 FIXED 4.5                         | CUSIP: 31407RVG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37517 | PA      | $37201.07      | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                            | VICI PROPERTIES LP SR UNSECURED 04/34 5.75                  | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1022849.22    | 0.02%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2024-2                                                 | OPORTUN FUNDING LLC OPTN 2024 2 A 144A                      | CUSIP: 68377KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     474363 | PA      | $474964.11     | 0.01%             | 2032-02-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/28 VAR                       | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   19500000 | PA      | $20317363.37   | 0.36%             | 2028-10-18      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                                 | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                        | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1050625 | PA      | $1051269.84    | 0.02%             | 2030-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                                        | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A               | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51781 | PA      | $51346.35      | 0.00%             | 2034-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A4           | CUSIP: 83613DAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3128348 | PA      | $2548451.71    | 0.04%             | 2037-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/27 6.125       | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $3097859.04    | 0.05%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1559 FN 10/53 FIXED 6.5                         | CUSIP: 3140A1WV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38072486 | PA      | $39461762.61   | 0.70%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                      | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45755 | PA      | $42581.57      | 0.00%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                      | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5             | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    4850000 | PA      | $4803248.81    | 0.08%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 738876 GN 10/26 FIXED 3                           | CUSIP: 3620AS2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43931 | PA      | $43499.07      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $972.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/26 6.95            | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1514678.45    | 0.03%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/29 4                      | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1973367.76    | 0.03%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $49278.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889404 FN 06/37 FIXED VAR                         | CUSIP: 31410KDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5355 | PA      | $5211.04       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 144A 02/31 2.45                   | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8945007.70    | 0.16%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                       | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A             | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1629740 | PA      | $1530219.74    | 0.03%             | 2037-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD 2015-2A                                                    | ARES CLO LTD ARES 2015 2A AR3 144A                          | CUSIP: 04015GAX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6721620.57    | 0.12%             | 2033-04-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF13                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2C            | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2945403 | PA      | $1927111.96    | 0.03%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                            | ALLY FINANCIAL INC ALLY FINANCIAL INC                       | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1275698.54    | 0.02%             | 2035-07-26      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $36974.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                              | LPL HOLDINGS INC COMPANY GUAR 06/30 5.15                    | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4253736.73    | 0.08%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004767 G2 08/40 FIXED 4.5                      | CUSIP: 36202FJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16310 | PA      | $15902.10      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A         | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1752443 | PA      | $1746693.72    | 0.03%             | 2060-12-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC ASHTEAD CAPITAL INC                     | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3071947.92    | 0.05%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256576 FN 01/37 FIXED 5.5                         | CUSIP: 31371M6M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7048 | PA      | $7193.59       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                    | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     600000 | PA      | $619020.00     | 0.01%             | 2028-01-07      | Floating      | 14.80%                | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                           | BRANDYWINE OPER PARTNERS COMPANY GUAR 11/27 3.95            | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     300000 | PA      | $292249.50     | 0.01%             | 2027-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                           | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A               | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1312569.83    | 0.02%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                           | PARALLEL LTD PARL 2021 1A AR 144A                           | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4093410.44    | 0.07%             | 2034-07-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60000 08/28/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $121961.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/44 3.125                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  206100000 | PA      | $162569425.27  | 2.87%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-261096.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                              | VENTAS REALTY LP VENTAS REALTY LP                           | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2458742.35    | 0.04%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA BPCE SA                                             | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    5000000 | PA      | $5149205.95    | 0.09%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 65559CAA9<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    5600000 | PA      | $5646200.00    | 0.10%             | 2026-03-26      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $543.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004709 G2 06/40 FIXED 4.5                      | CUSIP: 36202FGS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210013 | PA      | $203988.90     | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                      | LEHMAN XS TRUST LXS 2006 18N A3                             | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1859566 | PA      | $1805424.81    | 0.03%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC3943 FN 01/40 FIXED 4                           | CUSIP: 31417NLZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12369 | PA      | $11880.67      | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004488 G2 07/39 FIXED 4.5                      | CUSIP: 36202E6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14478 | PA      | $14276.12      | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0757 G2 02/28 FIXED 3                        | CUSIP: 36179MZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3268 | PA      | $3222.96       | 0.00%             | 2028-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP               | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67207 | PA      | $29327.46      | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08421 FG 10/40 FIXED 4                   | CUSIP: 3128MJPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $357.54        | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1084 FN 11/53 FIXED 6.5                         | CUSIP: 3140A1F28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9028036 | PA      | $9353152.65    | 0.16%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY INDUSTRIAL DEVELOPMENT AGENCY                                   | NEW YORK CITY NY INDL DEV AGY NYCDEV 01/46 FIXED 6.027      | CUSIP: 64971PEC5<br>LEI: 549300XR20ZR5DHL9534 | Long             | DBT              | MUN               | US        |     500000 | PA      | $484054.25     | 0.01%             | 2046-01-01      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-734.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 08/29 6.875                | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3898495.47    | 0.07%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004796 G2 09/40 FIXED 4.5                      | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17784 | PA      | $17274.08      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $24000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $50.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE0214 FN 01/47 FIXED 3.5                         | CUSIP: 3140FKGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     508561 | PA      | $470949.64     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $360.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1             | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2635800 | PA      | $861617.62     | 0.02%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                      | FANNIE MAE FNR 2013 6 JZ                                    | CUSIP: 3136ABN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $31.69         | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-223488.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-194.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | WILLIAMS COS INC SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $32338.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                                 | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                     | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3112490 | PA      | $2872616.72    | 0.05%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE0961 FN 11/46 FIXED 4                           | CUSIP: 3140FLB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     595534 | PA      | $561394.86     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                     | NATIONAL FUEL GAS CO SR UNSECURED 03/30 5.5                 | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2159446.61    | 0.04%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                              | BRIXMOR OPERATING PART SR UNSECURED 07/30 4.05              | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1941509.04    | 0.03%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-59                                                     | FANNIE MAE FNR 2004 59 BG                                   | CUSIP: 31394AVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2189 | PA      | $1945.43       | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                             | CIM TRUST CIM 2023 R2 A1 144A                               | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10622871 | PA      | $10726090.64   | 0.19%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                              | LPL HOLDINGS INC LPL HOLDINGS INC                           | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5334304.45    | 0.09%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                     | FANNIE MAE FNR 2011 17 PG                                   | CUSIP: 31397QC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2096 | PA      | $2080.50       | 0.00%             | 2041-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2613                                                              | FREDDIE MAC FHR 2613 LL                                     | CUSIP: 31393RFB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16000 | PA      | $16268.34      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II             | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1603186.50    | 0.03%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q22511 FG 10/43 FIXED 4.5                 | CUSIP: 3132JPYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268333 | PA      | $264556.23     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                                 | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 C               | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $1760971.86    | 0.03%             | 2031-03-17      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FARMERS INSURANCE EXCHANGE                                                    | FARMERS INS EXCH SUBORDINATED 144A 10/64 VAR                | CUSIP: 309601AG7<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1890686.96    | 0.03%             | 2064-10-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-222268.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-9                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 9 M1               | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1463326 | PA      | $1435790.65    | 0.03%             | 2035-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783451 GN 10/26 FIXED 3                           | CUSIP: 36241LZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35809 | PA      | $35493.11      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                            | VICI PROPERTIES LP SR UNSECURED 04/54 6.125                 | CUSIP: 925650AG8<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $984188.57     | 0.02%             | 2054-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPERATING PARTNERSHIP LP                                     | AMERICOLD REALTY OPER PA AMERICOLD REALTY OPER PA           | CUSIP: 03063UAA9<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5778355.98    | 0.10%             | 2034-09-12      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC           | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10363659.10   | 0.18%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SR SECURED 144A 01/29 5.5           | CUSIP: 36143L2L8<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3076088.76    | 0.05%             | 2029-01-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-390.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5296 FN 03/54 FIXED 5.5                         | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18232182 | PA      | $18245574.88   | 0.32%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/31 6.388                      | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1397681.51    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                              | NEW YORK NY NYC 02/45 FIXED 6.291                           | CUSIP: 64966SNH5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    4180000 | PA      | $4383693.91    | 0.08%             | 2045-02-01      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-18                                                     | FANNIE MAE FNR 2013 18 MZ                                   | CUSIP: 3136ACXR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        744 | PA      | $659.54        | 0.00%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR             | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    8000000 | PA      | $8352282.80    | 0.15%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65                 | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     150000 | PA      | $121397.48     | 0.00%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4986.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR                | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1500000 | PA      | $1506300.00    | 0.03%             | 2032-03-13      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/33 VAR                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    6600000 | PA      | $6870007.25    | 0.12%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                          | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A         | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     910273 | PA      | $892572.68     | 0.02%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-2887.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345               | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2500000 | PA      | $2401735.50    | 0.04%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $728.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $11.51         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-11692.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                              | VOYA CLO LTD VOYA 2017 3A A1RR 144A                         | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2689918.34    | 0.05%             | 2034-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                              | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A4                    | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     791447 | PA      | $740494.88     | 0.01%             | 2036-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC B                                     | CUSIP: 955GGZII8<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1209289.61    | 0.02%             | 2032-01-30      | Fixed         | 5.41%                 | Yes           |                  3 | On Loan: No      |
| MARS INCORPORATED                                                             | MARS INC SR UNSECURED 144A 03/32 5                          | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2534497.95    | 0.04%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20250717                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-517.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    5000000 | PA      | $4502847.00    | 0.08%             | 2029-03-01      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/33 VAR                  | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2247733.40    | 0.04%             | 2033-01-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 778779 GN 01/27 FIXED 3                           | CUSIP: 36176W6Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148666 | PA      | $147004.06     | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB1465 FN 09/40 FIXED 4.5                         | CUSIP: 31416WTX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6578 | PA      | $6565.13       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-58                                                     | FANNIE MAE FNR 2012 58 KB                                   | CUSIP: 3136A6KA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399083 | PA      | $364888.02     | 0.01%             | 2042-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                                 | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A         | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3550362 | PA      | $3584086.66    | 0.06%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AZ5730 FN 09/45 FIXED 3.5                         | CUSIP: 3138YXLL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1307880 | PA      | $1208419.01    | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE INC CROWN CASTLE INC                           | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $8391187.14    | 0.15%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                    | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                    | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3294150.22    | 0.06%             | 2035-01-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-10561.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A94576 FG 10/40 FIXED 4                   | CUSIP: 312943CM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $162.61        | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -781250 | PA      | $-783268.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                                  | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A              | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $940377.00     | 0.02%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1930.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO XII LTD                                                          | TRINITAS CLO LTD TRNTS 2020 12A A1R 144A                    | CUSIP: 89641GAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6308584.32    | 0.11%             | 2033-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3664 FN 05/49 FIXED 4                           | CUSIP: 31418DCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     734842 | PA      | $693841.41     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004284 G2 11/38 FIXED 5.5                      | CUSIP: 36202EXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6014 | PA      | $6052.99       | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BE3009 FN 12/46 FIXED 4                           | CUSIP: 3140FNKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     485222 | PA      | $460093.57     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/35 VAR                  | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9459023.04    | 0.17%             | 2035-04-22      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2020-3A                                         | ECMC GROUP STUDENT LOAN TRUST ECMC 2020 3A A1B 144A         | CUSIP: 26833BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2465974 | PA      | $2479567.90    | 0.04%             | 2070-01-27      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS9                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS9 A33            | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1820568 | PA      | $1504013.69    | 0.03%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA 01/35 6.033                              | CUSIP: 05964HBK0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1200000 | PA      | $1264810.13    | 0.02%             | 2035-01-17      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SENIOR LOAN ACTIVE EXCHA PIMCO SENIOR LOAN ACTIVE ETF | CUSIP: 72201R627<br>LEI: 549300YFT046RNVJXR73 | Long             | EC               | RF                | US        |    1488681 | NS      | $75912310.23   | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS3308 FN 09/44 FIXED 4.5                         | CUSIP: 3138WCVA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     362784 | PA      | $354692.99     | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                 | ARGENT SECURITIES INC. ARSI 2005 W5 A2C                     | CUSIP: 040104QN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4445607 | PA      | $4247796.82    | 0.07%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-608.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2100000 | PA      | $2130030.00    | 0.04%             | 2027-04-05      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1            | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468337 | PA      | $392040.89     | 0.01%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-8                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 8 3A1              | CUSIP: 576433E77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2482175 | PA      | $2430038.79    | 0.04%             | 2035-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| NEW YORK & PRESBYTERIAN HOSPITAL                                              | NY + PRESBYTERIAN HOSPIT UNSECURED 08/16 4.763              | CUSIP: 649322AE4<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2414483.07    | 0.04%             | 2116-08-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 08/25 0.00000                                 | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     985000 | PA      | $979224.95     | 0.02%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 880115 FN 04/36 FIXED 5                           | CUSIP: 31409VYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3363 | PA      | $3267.79       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY (THE)                                                   | GEORGETOWN UNIVERSITY UNSECURED 12/99 5.215                 | CUSIP: 37310PAB7<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |    6560000 | PA      | $5778295.71    | 0.10%             | 2099-12-31      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                      | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A1 144A        | CUSIP: 68269HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10200000 | PA      | $10439507.22   | 0.18%             | 2036-09-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/35 6                 | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3237269.12    | 0.06%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPEN TRUST 2023-AIR                                                           | OPEN TRUST OPEN 2023 AIR A 144A                             | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2058923 | PA      | $2064189.80    | 0.04%             | 2040-11-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 763863 FN 08/34 FIXED 5.5                         | CUSIP: 31404BTU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8572 | PA      | $8517.99       | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 10/25 0.125                                 | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7664564 | PA      | $7638146.70    | 0.13%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A         | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $570974.04     | 0.01%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $20182.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP/THE SR UNSECURED 03/32 5.8                         | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8126624.80    | 0.14%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR              | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13336430.51   | 0.24%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC BAYER US FINANCE LLC                   | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1594057.22    | 0.03%             | 2053-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DIAMOND ISSUER 2021-1A                                                        | DIAMOND ISSUER LLC SHINE 2021 1A A 144A                     | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1698987.06    | 0.03%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                         | BX TRUST BX 2021 21M A 144A                                 | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     654539 | PA      | $654516.65     | 0.01%             | 2036-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                                 | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A                   | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1422946 | PA      | $1425162.72    | 0.03%             | 2031-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                         | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75         | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $283959.95     | 0.01%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1265 G2 09/28 FIXED 3                        | CUSIP: 36179NMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4984 | PA      | $4906.55       | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-713.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                             | BDS LTD BDS 2025 FL14 A 144A                                | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3200000 | PA      | $3189164.42    | 0.06%             | 2042-10-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                                  | MMIFS RE LTD SECURED 144A 01/33 VAR                         | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $183954.47     | 0.00%             | 2033-01-10      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20250811                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-27951.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-288597.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-203.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                       | REACH FINANCIAL LLC REACH 2024 2A B 144A                    | CUSIP: 75525HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1518404.70    | 0.03%             | 2031-07-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A4             | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6128775 | PA      | $4982595.30    | 0.09%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                 | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A                   | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4109910.93    | 0.07%             | 2033-04-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A        | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $8726156.10    | 0.15%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 05/37 4.926                  | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1942087.26    | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                        | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A             | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5650000 | PA      | $5656519.42    | 0.10%             | 2034-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AZ9228 FN 10/45 FIXED 4                           | CUSIP: 3140E2HE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1386103 | PA      | $1316031.50    | 0.02%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5531 FN 11/54 FIXED 5.5                         | CUSIP: 31418FED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38557739 | PA      | $38586071.51   | 0.68%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004795 G2 09/40 FIXED 4                        | CUSIP: 36202FKG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38751 | PA      | $36291.26      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                                       | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1                | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651360 | PA      | $619428.60     | 0.01%             | 2046-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 08/33 VAR             | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8429383.11    | 0.15%             | 2033-08-11      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1            | CUSIP: 46627MBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398012 | PA      | $276442.35     | 0.00%             | 2035-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                  | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578615 | PA      | $404917.27     | 0.01%             | 2036-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP / JSG FINANCE INC                                           | JANE STREET GRP/JSG FIN JANE STREET GRP/JSG FIN             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1579323.00    | 0.03%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM1 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM1 A1 144A              | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4367875 | PA      | $4365942.04    | 0.08%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3467 FN 09/48 FIXED 4                           | CUSIP: 31418CZ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1172580 | PA      | $1109906.85    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.40750 09/05/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $140898.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-243396.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.62000 02/14/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-813912.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C90913 FG 08/25 FIXED 5.5                 | CUSIP: 3128P7AN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $155.06        | 0.00%             | 2025-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC 2025 TERM LOAN B                      | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |     997500 | PA      | $997375.31     | 0.02%             | 2032-02-10      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                        | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A2 144A        | CUSIP: 14687VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1222585 | PA      | $1225246.56    | 0.02%             | 2027-08-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 08/32 5.625             | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $2055811.40    | 0.04%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2019 1 A PTT PASS THRU CE 08/31 4.55             | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1778652 | PA      | $1672342.58    | 0.03%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-293850.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 05/35 5.75         | CUSIP: 303901BV3<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    7750000 | PA      | $7861018.05    | 0.14%             | 2035-05-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR                 | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $8585832.70    | 0.15%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888534 FN 08/37 FIXED VAR                         | CUSIP: 31410GEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2685 | PA      | $2697.27       | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31311 FG 08/36 FIXED 5.5                 | CUSIP: 31281BN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1466 | PA      | $1506.26       | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1A LTD                                                              | SLAM LLC SLAM 2025 1A A 144A                                | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5900000 | PA      | $6014147.30    | 0.11%             | 2050-05-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S5                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A10             | CUSIP: 74957EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     380506 | PA      | $326090.76     | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $30993.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI LIMITED                                                               | BACARDI LTD COMPANY GUAR 144A 05/38 5.15                    | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    1200000 | PA      | $1110388.28    | 0.02%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                      | MMCAPS FUND XVIII LTD SR SECURED 144A 12/39 VAR             | CUSIP: 60688HAA3<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |     508857 | PA      | $491047.14     | 0.01%             | 2039-12-26      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A              | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2576268 | PA      | $2620889.39    | 0.05%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                      | MSCI INC COMPANY GUAR 144A 02/31 3.875                      | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94364.58      | 0.00%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                             | AG TRUST AG 2024 NLP A 144A                                 | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3278643 | PA      | $3289191.93    | 0.06%             | 2041-07-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16300000 | PA      | $16807083.71   | 0.30%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-3                                                 | GSAA HOME EQUITY TRUST GSAA 2007 3 A4A                      | CUSIP: 3622EAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2689781 | PA      | $920477.50     | 0.02%             | 2047-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-18.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.28063 12/02/24-4Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $904318.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                          | FIRST AMERICAN FINANCIAL SR UNSECURED 05/30 4               | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $958666.36     | 0.02%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO SR UNSECURED 11/34 VAR             | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2325765.30    | 0.04%             | 2034-11-02      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-12573.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| METAL CAYMAN 2017-1 LLC                                                       | METAL CAYMAN METAL 2017 1 A 144A                            | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2325317 | PA      | $1546429.03    | 0.03%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $319370.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A           | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327062 | PA      | $286062.96     | 0.01%             | 2046-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 04/31 2.8               | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1873291.20    | 0.03%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2005-3                                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 3 LZ                | CUSIP: 38374KSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52647 | PA      | $52795.39      | 0.00%             | 2035-01-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                                       | REACH FINANCIAL LLC REACH 2024 1A A 144A                    | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     128398 | PA      | $128711.78     | 0.00%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q03745 FG 10/41 FIXED 4.5                 | CUSIP: 3132GJZJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     198336 | PA      | $195005.26     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                        | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A          | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     619992 | PA      | $623270.38     | 0.01%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91223 FG 12/28 FIXED 5.5                 | CUSIP: 3128P7LC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $168.37        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A1          | CUSIP: 12668BEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1188463 | PA      | $950852.67     | 0.02%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-10295.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75         | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1399646.78    | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR7                                                               | BANK5 BANK5 2024 5YR7 A2                                    | CUSIP: 06211UBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4469275.52    | 0.08%             | 2057-06-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-28803.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8328 FR 06/53 FIXED 4.5                 | CUSIP: 3132DWHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12036135 | PA      | $11529326.62   | 0.20%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $240.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5404.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2                               | GM FINANCIAL REVOLVING RECEIVA GMREV 2023 2 A 144A          | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3600000 | PA      | $3770754.48    | 0.07%             | 2036-08-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1           | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2076169 | PA      | $1808081.17    | 0.03%             | 2037-01-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                                 | LUX 2023 LION LUX 2023 LION A 144A                          | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3226679.36    | 0.06%             | 2040-08-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/32 VAR                       | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1489135.42    | 0.03%             | 2032-10-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7               | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2208619.73    | 0.04%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                             | EVERSOURCE ENERGY EVERSOURCE ENERGY                         | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4597146.62    | 0.08%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                                | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A                   | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3600000 | PA      | $3593409.62    | 0.06%             | 2035-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q02265 FG 07/41 FIXED 4.5                 | CUSIP: 3132GFQS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118748 | PA      | $117589.61     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                           | ANTARES HOLDINGS SR UNSECURED 144A 07/27 3.75               | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3558610.75    | 0.06%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                       | MPLX LP SR UNSECURED 03/33 5                                | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2071862.39    | 0.04%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                 | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A         | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681430 | PA      | $685840.26     | 0.01%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD0070 FN 12/37 FIXED VAR                         | CUSIP: 31418MCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2471 | PA      | $2555.12       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                    | CUSIP: 639057AD0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $176084.30     | 0.00%             | 2031-06-28      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                   | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250525.00     | 0.00%             | 2032-06-07      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0528 G2 11/42 FIXED 3.5                      | CUSIP: 36179MSR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144323 | PA      | $130397.20     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45            | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7934000 | PA      | $7732271.70    | 0.14%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-A                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ1 M3            | CUSIP: 073879UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129997 | PA      | $129747.81     | 0.00%             | 2035-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                         | BX TRUST BX 2022 LP2 A 144A                                 | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4184825 | PA      | $4184881.54    | 0.07%             | 2039-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004311 G2 12/38 FIXED 6.5                      | CUSIP: 36202EYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11498 | PA      | $11474.54      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A          | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     999915 | PA      | $1002962.26    | 0.02%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31493 FG 02/38 FIXED 5                   | CUSIP: 31281BUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12836 | PA      | $13038.75      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-62876.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5             | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300131 | PA      | $2883879.60    | 0.05%             | 2047-01-25      | Floating      | 4.91%                 | 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        |    1002390 | PA      | $1009283.95    | 0.02%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                     | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $1784251.40    | 0.03%             | 2031-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250903                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $94183.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL D97896 FG 12/27 FIXED 5.5                 | CUSIP: 3128E4XZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1760 | PA      | $1762.58       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A       | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210000 | PA      | $2041260.31    | 0.04%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                           | MFRA TRUST MFRA 2023 INV2 A1 144A                           | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1003984 | PA      | $1015288.21    | 0.02%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                                    | LOW INCOME INVESTMENT UNSECURED 07/29 3.711                 | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2351670.50    | 0.04%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/27 VAR                                  | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4500000 | PA      | $4367446.74    | 0.08%             | 2027-11-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST REF MORT 01/34 6                    | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3694026.56    | 0.07%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US LOGISTICS FUND LP                                        | PROLOGIS TARGETED US PROLOGIS TARGETED US                   | CUSIP: 74350LAA2<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4522138.19    | 0.08%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 939484 FN 06/37 FIXED 5                           | CUSIP: 31413AFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5298 | PA      | $5159.85       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPU STATE STREET GLOBAL MARKE USD REPU SSB T               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -138417895 | PA      | $-138435158.78 | -2.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-271726.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2601                                                       | FREDDIE MAC FHR 2601 LL                                     | CUSIP: 31393PV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17000 | PA      | $17493.34      | 0.00%             | 2033-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LION III RE DESIGNATED ACTIVITY COMPANY                                       | LION III RE DAC UNSECURED 144A 07/25 VAR                    | CUSIP: ACI1YQSF5<br>LEI: 6354006E8VRXKKHS6U06 | Long             | DBT              | CORP              | IE        |     500000 | PA      | $589269.81     | 0.01%             | 2025-07-16      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A8            | CUSIP: 74922EAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1093464 | PA      | $895994.38     | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20250917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-109.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 759022 GN 11/26 FIXED 3                           | CUSIP: 36230UAX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25976 | PA      | $25696.61      | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A        | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28821337 | PA      | $27743570.76   | 0.49%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1692.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-1PL                                                       | ACHV ABS TRUST ACHV 2024 1PL A 144A                         | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     119799 | PA      | $120902.67     | 0.00%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A              | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2015740 | PA      | $2017145.89    | 0.04%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745323 FN 09/34 FIXED VAR                         | CUSIP: 31403DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6436 | PA      | $6442.60       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31421 FG 07/37 FIXED 5                   | CUSIP: 31281BSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1746 | PA      | $1778.04       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31271 FG 01/36 FIXED 4.5                 | CUSIP: 31281BMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73036 | PA      | $71641.94      | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                            | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875                 | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4115692.32    | 0.07%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-292623.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                          | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4            | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3303424 | PA      | $3240789.04    | 0.06%             | 2035-06-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                                  | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A             | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9100000 | PA      | $9120060.13    | 0.16%             | 2037-04-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/55 7.375              | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4200000 | PA      | $4345908.00    | 0.08%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $18815.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                         | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M4            | CUSIP: 46629TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1084490.22    | 0.02%             | 2036-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16071.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA3795 G2 07/46 FIXED 4.5                      | CUSIP: 36179SGC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132836 | PA      | $128204.47     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) SEP25 XCBT 20250930                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       6379 | NC      | $7325037.08    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8                  | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1670211.70    | 0.03%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31455 FG 10/37 FIXED 5.5                 | CUSIP: 31281BTL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1586 | PA      | $1624.82       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65234 FG 08/44 FIXED 4.5                 | CUSIP: 31322YY70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21924 | PA      | $20822.93      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                         | ROMARK CREDIT FUNDING LTD RCF 2024 3A A 144A                | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4408751.60    | 0.08%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C03598 FG 11/40 FIXED 4                   | CUSIP: 31292K7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $335.40        | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                          | TARGA RESOURCES CORP COMPANY GUAR 03/33 6.125               | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3163083.48    | 0.06%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A         | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1440257 | PA      | $1427403.25    | 0.03%             | 2061-02-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2023-3A                                              | OCTANE RECEIVABLES TRUST OCTL 2023 3A A2 144A               | CUSIP: 67571CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     701483 | PA      | $706658.10     | 0.01%             | 2029-03-20      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1618 FN 10/43 FIXED 4                           | CUSIP: 31418AYQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79039 | PA      | $74417.90      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                        | CASTLELAKE LP FIRST LIEN TERM LOAN                          | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4444052 | PA      | $4197860.54    | 0.07%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1955.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AG8922 GN 02/29 FIXED 3                           | CUSIP: 36182D4F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103903 | PA      | $102016.62     | 0.00%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOWDOIN COLLEGE                                                               | BOWDOIN COLLEGE SR UNSECURED 07/12 4.693                    | CUSIP: 102291AA9<br>LEI: 549300SIUVRUY51G1940 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $2674837.02    | 0.05%             | 2112-07-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AX6047 FN 10/44 FIXED 4.5                         | CUSIP: 3138Y7WH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239929 | PA      | $235960.99     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA1193 FN 03/55 FIXED VAR                         | CUSIP: 3140W1KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19247506 | PA      | $19824761.06   | 0.35%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 3A1           | CUSIP: 45661HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1381864 | PA      | $885567.16     | 0.02%             | 2036-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FA0938 FN 03/55 FIXED VAR                         | CUSIP: 3140W1BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17842641 | PA      | $18410762.65   | 0.32%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSPRT 2021-FL7 ISSUER LTD                                                     | BSPRT ISSUER, LTD. BSPRT 2021 FL7 A 144A                    | CUSIP: 05602CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1595205 | PA      | $1599133.96    | 0.03%             | 2038-12-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SL0873 FR 04/55 FIXED 6                   | CUSIP: 31427M6K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4539265 | PA      | $4675740.84    | 0.08%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 M1            | CUSIP: 46625SAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510000 | PA      | $1439195.95    | 0.03%             | 2036-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                                                         | COUSINS PROPERTIES LP COMPANY GUAR 07/30 5.25               | CUSIP: 222793AC5<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3261708.42    | 0.06%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                                 | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 B               | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $1729848.60    | 0.03%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                              | FREDDIE MAC FHR 3891 ZD                                     | CUSIP: 3137ADWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93665 | PA      | $92903.57      | 0.00%             | 2041-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-167716.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2             | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2090293 | PA      | $1020700.55    | 0.02%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 783793 GN 07/28 FIXED 3                           | CUSIP: 3622A2GA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     661204 | PA      | $652557.01     | 0.01%             | 2028-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP EXTRA SPACE STORAGE LP               | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1524306.57    | 0.03%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                               | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250475.00     | 0.00%             | 2032-01-07      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1C            | CUSIP: 251510MF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     981993 | PA      | $899250.66     | 0.02%             | 2036-02-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/28 5.842                | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1500000 | PA      | $1547201.99    | 0.03%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $16908.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001880 | PA      | $999442.91     | 0.02%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q45705 FG 01/47 FIXED 4                   | CUSIP: 3132WKKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582588 | PA      | $552789.22     | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3692 FN 07/49 FIXED 3.5                         | CUSIP: 31418DC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1053217 | PA      | $960433.12     | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004489 G2 07/39 FIXED 5                        | CUSIP: 36202E7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20061 | PA      | $19863.88      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 931375 FN 06/39 FIXED 4.5                         | CUSIP: 31412PXC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12470 | PA      | $12448.33      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256986 FN 11/37 FIXED 7                           | CUSIP: 31371NNB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11581 | PA      | $11880.37      | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 3A AR 144A          | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1792573.11    | 0.03%             | 2034-07-24      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                             | AIRCASTLE LTD AIRCASTLE LTD                                 | CUSIP: 00928QAY7<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    5000000 | PA      | $5168032.25    | 0.09%             | 2029-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H10170 FG 07/37 FIXED 5.5                 | CUSIP: 3128N0FK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12910 | PA      | $12852.09      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.01150 02/14/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1927189.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 03/33 VAR                        | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4207918.01    | 0.07%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375       | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4402000 | PA      | $4362087.59    | 0.08%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC SR UNSECURED 144A 03/33 6.75          | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     300000 | PA      | $309735.30     | 0.01%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0415 FN 05/40 FIXED 4.5                         | CUSIP: 31417YN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35957 | PA      | $34634.71      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-A                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A          | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     482363 | PA      | $489774.85     | 0.01%             | 2053-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                             | BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR                  | CUSIP: 096003AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2000000 | PA      | $2031400.00    | 0.04%             | 2031-01-08      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                              | PUGET ENERGY INC SR SECURED 03/32 4.224                     | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2830241.88    | 0.05%             | 2032-03-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 07/29 3.195             | CUSIP: 606822BM5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1500000 | PA      | $1431767.43    | 0.03%             | 2029-07-18      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC BAYER US FINANCE LLC                   | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1063027.99    | 0.02%             | 2030-11-21      | Fixed         | 6.38%                 | 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        |  174252179 | PA      | $179478144.59  | 3.17%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/32 5.5                              | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3407457.14    | 0.06%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-110121.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-1572.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/34 6.95              | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2154140.12    | 0.04%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                             | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A              | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6185242.39    | 0.11%             | 2034-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20250804                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $55933.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8447 FR 07/54 FIXED 6                   | CUSIP: 3132DWL43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11381688 | PA      | $11578671.79   | 0.20%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5        | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $6947959.59    | 0.12%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-3                                               | BEAR STEARNS ALT A TRUST BALTA 2004 3 A1                    | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5928 | PA      | $5861.02       | 0.00%             | 2034-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 A3D           | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700837 | PA      | $3657819.71    | 0.06%             | 2036-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31476 FG 12/37 FIXED 5                   | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5871 | PA      | $5969.74       | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $768.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91187 FG 06/28 FIXED 5.5                 | CUSIP: 3128P7J87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2127 | PA      | $2151.47       | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-5535.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  218700000 | PA      | $209118118.77  | 3.69%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2                 | CUSIP: 61755CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97755 | PA      | $88154.67      | 0.00%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WHITEHORSE XII LTD 12A                                                        | WHITEHORSE LTD WITEH 2018 12A A 144A                        | CUSIP: 96525YAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1723837 | PA      | $1726446.76    | 0.03%             | 2031-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP ENERGY TRANSFER LP                       | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   11500000 | PA      | $11784989.67   | 0.21%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6768496 | PA      | $6601960.96    | 0.12%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31068 FG 02/45 FIXED 4                   | CUSIP: 3132QMFJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43926 | PA      | $41744.86      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                                   | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A                | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3497894 | PA      | $3494303.02    | 0.06%             | 2038-03-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 C A1                  | CUSIP: 59020UDN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27943 | PA      | $27523.91      | 0.00%             | 2029-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q31067 FG 02/45 FIXED 4                   | CUSIP: 3132QMFH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     601487 | PA      | $574971.24     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                         | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A          | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     534343 | PA      | $545940.06     | 0.01%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) SEP25 XCBT 20250930                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       2909 | NC      | $2258674.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                                     | KRAFT HEINZ FOODS CO COMPANY GUAR 06/46 4.375               | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3238509.80    | 0.06%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-3 TRUST                                         | HOME PARTNERS OF AMERICA TRUST HPA 2021 3 A 144A            | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1671232 | PA      | $1543303.07    | 0.03%             | 2041-01-17      | Fixed         | 2.20%                 | 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        |    3302395 | PA      | $3300720.70    | 0.06%             | 2036-05-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD COMPANY GUAR 05/32 5.7                 | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    4700000 | PA      | $4787484.25    | 0.08%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MAPLE GROVE FUNDING TRUST I                                                   | MAPLE GROVE FUNDING TR I SR UNSECURED 144A 08/51 4.161      | CUSIP: 565130AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5500000 | PA      | $3737564.93    | 0.07%             | 2051-08-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                                                            | SMITH + NEPHEW PLC SR UNSECURED 03/34 5.4                   | CUSIP: 83192PAD0<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    7000000 | PA      | $7103298.58    | 0.13%             | 2034-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                   | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $297079.15     | 0.01%             | 2028-07-05      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO 0 5 YEAR HIGH YIELD CORP PIMCO 0 5 YEAR H/Y CORP BOND | CUSIP: 72201R783<br>LEI: C5UMYP9E80TI8X2OWG13 | Long             | EC               | RF                | US        |     582979 | NS      | $55388834.79   | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52            | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4120136.28    | 0.07%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                           | MFRA TRUST MFRA 2020 NQM3 A3 144A                           | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     561481 | PA      | $531869.65     | 0.01%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 778668 GN 12/26 FIXED 3                           | CUSIP: 36176WZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253080 | PA      | $250648.55     | 0.00%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $158049.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-57958.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8191.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487     | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3300000 | PA      | $2754286.59    | 0.05%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255966 FN 10/35 FIXED 5.5                         | CUSIP: 31371MJK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        327 | PA      | $325.52        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-18360.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-19099.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 01/26 3.4                  | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1883573.08    | 0.03%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ MORTGAGE TRUST                                                 | EQUS 2021 EQAZ MORTGAGE TRUST EQUS 2021 EQAZ A 144A         | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4699469 | PA      | $4699524.36    | 0.08%             | 2038-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                          | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A          | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3053870 | PA      | $3077242.31    | 0.05%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                            | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A           | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1995082.20    | 0.04%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-183865.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-50.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                   | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A          | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1297765 | PA      | $870426.09     | 0.02%             | 2035-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                        | LEHMAN XS TRUST LXS 2005 6 3A3A                             | CUSIP: 525221DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2928955 | PA      | $1275803.36    | 0.02%             | 2035-11-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 784295 G2 03/47 FIXED 3.5                      | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6528879 | PA      | $6007230.83    | 0.11%             | 2047-03-20      | Fixed         | 3.50%                 | 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      | $70264.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA1045 FN 10/53 FIXED 6.5                         | CUSIP: 3140A1ET0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8330241 | PA      | $8631418.97    | 0.15%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 688058 G2 08/38 FIXED 4.5                      | CUSIP: 36296DMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48113 | PA      | $47984.68      | 0.00%             | 2038-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                                  | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                      | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5200811.25    | 0.09%             | 2034-07-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE I LIMITED 2018-1A                                   | SAPPHIRE AVIATION FINANCE I LI SAPA 2018 1A A 144A          | CUSIP: 80306AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      62377 | PA      | $62357.17      | 0.00%             | 2040-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-7521.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L10224 FG 12/34 FIXED 6                   | CUSIP: 3128DHG99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44165 | PA      | $45035.86      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250710                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $211805.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-257293.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8476 FR 11/54 FIXED 6                   | CUSIP: 3132DWMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   45678669 | PA      | $46469253.58   | 0.82%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35          | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2464284 | PA      | $2071014.11    | 0.04%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004691 G2 05/40 FIXED 4.5                      | CUSIP: 36202FF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        979 | PA      | $957.88        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5                 | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1976337 | PA      | $2042651.67    | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC BARCLAYS PLC                                   | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $7762089.75    | 0.14%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC             | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4196620.56    | 0.07%             | 2035-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QH6111 FR 12/53 FIXED 6.5                 | CUSIP: 3133CJYG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4487952 | PA      | $4655799.61    | 0.08%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                              | PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 03/28 4.75       | CUSIP: BYVTPZII5<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |    4300000 | PA      | $4176740.50    | 0.07%             | 2028-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL A92415 FG 06/40 FIXED 4.5                 | CUSIP: 312940VG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76616 | PA      | $76530.27      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-1                                     | TRICOLOR AUTO SECURITIZATION T TAST 2024 1A A 144A          | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1743105 | PA      | $1751291.76    | 0.03%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20250723                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $12875.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C03449 FG 03/40 FIXED 4                   | CUSIP: 31292KZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $124.44        | 0.00%             | 2040-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES 2025-FL4                               | GREYSTONE COMMERCIAL REAL ESTA GSTNE 2025 FL4 A 144A        | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7350000 | PA      | $7359439.02    | 0.13%             | 2043-01-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2008-2R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2008 2R 1A1 144A          | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311498 | PA      | $269595.91     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $4345.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-2                                                 | SLM STUDENT LOAN TRUST SLMA 2008 2 A3                       | CUSIP: 784442AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     128400 | PA      | $128317.95     | 0.00%             | 2049-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC           | CUSIP: 345397E25<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4991643.90    | 0.09%             | 2031-03-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                  | DELOITTE LLP SR UNSEC E                                     | CUSIP: 955GGY900<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     900000 | PA      | $887673.99     | 0.02%             | 2040-01-30      | Fixed         | 5.79%                 | Yes           |                  3 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2002-RS2                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2002 RS2 MII2           | CUSIP: 760985JT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     779152 | PA      | $677333.23     | 0.01%             | 2032-03-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                              | NATIONSTAR MTG HLD INC NATIONSTAR MTG HLD INC               | CUSIP: 63861CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1247262.00    | 0.02%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $5269.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AASET-2025-2A                                                                 | APOLLO AVIATION SECURITIZATION AASET 2025 2A A 144A         | CUSIP: 00039NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7300000 | PA      | $7362202.86    | 0.13%             | 2050-02-16      | Fixed         | 5.52%                 | No            |                  3 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                           | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A          | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2551074 | PA      | $2553736.62    | 0.05%             | 2032-07-23      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR7                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 2A1            | CUSIP: 22541SRP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14514 | PA      | $14155.79      | 0.00%             | 2034-11-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004593 G2 12/39 FIXED 5                        | CUSIP: 36202FC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27265 | PA      | $26997.14      | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA3996 G2 10/46 FIXED 4.5                      | CUSIP: 36179SNM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144870 | PA      | $141835.67     | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                     | REALTY INCOME CORP REALTY INCOME CORP                       | CUSIP: 756109BY9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     700000 | PA      | $700557.51     | 0.01%             | 2026-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A             | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2494885 | PA      | $2515227.66    | 0.04%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3              | CUSIP: 759950GV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13819589 | PA      | $5997313.50    | 0.11%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | VALEO SA SNR SE ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-31899.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BZ4074 FN 04/32 FIXED 5.33                        | CUSIP: 3140NYQ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1176000 | PA      | $1228709.59    | 0.02%             | 2032-04-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 931733 FN 08/49 FIXED 4.5                         | CUSIP: 31412QEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31187 | PA      | $30092.26      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP AMERICAN ASSETS TRUST LP           | CUSIP: 02401LAB0<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3949927.99    | 0.07%             | 2034-10-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-260764.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/29 1                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1500000 | PA      | $1600887.60    | 0.03%             | 2029-11-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)                                 | FLEX LTD FLEX LTD                                           | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    2100000 | PA      | $2124160.77    | 0.04%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.58600 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $138377.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                               | FIDELITY NATL FINANCIAL SR UNSECURED 06/30 3.4              | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1681271.98    | 0.03%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T65247 FG 10/44 FIXED 4.5                 | CUSIP: 31322YZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69079 | PA      | $65448.13      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91195 FG 07/28 FIXED 5.5                 | CUSIP: 3128P7KG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16780 | PA      | $17000.33      | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2023-3A                              | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 3A A 144A         | CUSIP: 05377RGU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5065689.00    | 0.09%             | 2028-02-22      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 779983 GN 11/26 FIXED 3                           | CUSIP: 36177HCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49957 | PA      | $49419.36      | 0.00%             | 2026-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1339787 | PA      | $1340691.80    | 0.02%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-9630.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $4211.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR                | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $250437.50     | 0.00%             | 2030-01-08      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE2                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE2 M1            | CUSIP: 04541GHW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     599838 | PA      | $625440.06     | 0.01%             | 2034-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125             | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    8500000 | PA      | $8436762.30    | 0.15%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005300 G2 02/27 FIXED 3                        | CUSIP: 36202F3H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350685 | PA      | $347004.73     | 0.01%             | 2027-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/34 5.611             | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2071703.62    | 0.04%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -598000000 | PA      | $-607150906.96 | -10.71%           | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91148 FG 01/28 FIXED 5.5                 | CUSIP: 3128P7HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1364 | PA      | $1376.31       | 0.00%             | 2028-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF TECHNOLOGY                                            | CALIFORNIA INSTITUTE OF UNSECURED 09/16 4.283               | CUSIP: 13034VAC8<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2143616.73    | 0.04%             | 2116-09-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A1                  | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4905659 | PA      | $2494729.33    | 0.04%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-2                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 2 M1              | CUSIP: 64352VGA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570141 | PA      | $605363.33     | 0.01%             | 2034-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-97969.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-558.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2004-26                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 26 ED               | CUSIP: 38374F3T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14035 | PA      | $14166.35      | 0.00%             | 2034-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $10595.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1004.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE SECURITIES TRUST 2020-S3                              | KEY COMMERCIAL MORTGAGE TRUST KCM 2020 S3 A3 144A           | CUSIP: 49308VAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $8952419.00    | 0.16%             | 2052-09-16      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/28 VAR                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    7500000 | PA      | $7281922.88    | 0.13%             | 2028-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                        | VENTURE GLOBAL LNG INC VENTURE GLOBAL LNG INC               | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5666012.69    | 0.10%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20250728                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1274.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $176710.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A       | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2129197.60    | 0.04%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                               | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3063432.09    | 0.05%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-12103.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $9749.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                    | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1              | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     638047 | PA      | $586312.47     | 0.01%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                   | COBANK ACB JR SUBORDINA 12/99 VAR                           | CUSIP: 19075QAF9<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |   10000000 | NS      | $10297700.00   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                        | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 B 144A           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2750144.94    | 0.05%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON CO                                                              | TOLEDO EDISON COMPANY 1ST MORTGAGE 144A 05/28 2.65          | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2918000 | PA      | $2736399.79    | 0.05%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-58                                                            | FANNIE MAE FNR 2006 58 PO                                   | CUSIP: 31395ND20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4186 | PA      | $3639.05       | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING LP                                                | WESTERN MIDSTREAM OPERAT SR UNSECURED 11/34 5.45            | CUSIP: 958667AG2<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1667487.55    | 0.03%             | 2034-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A             | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     606576 | PA      | $570342.30     | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 04/64 6          | CUSIP: 268317BB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $3793069.12    | 0.07%             | 2064-04-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 10/35 6.384             | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2101629.06    | 0.04%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC COMPANY GUAR 03/30 5.25                             | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1640925.12    | 0.03%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250718                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-133305.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-1 CLASS AA PASS THROUGH TRUST                            | DELTA AIR LINES 2020 AA PASS THRU CE 12/29 2                | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     981442 | PA      | $924149.48     | 0.02%             | 2029-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL C91026 FG 04/27 FIXED 5.5                 | CUSIP: 3128P7D75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1559.91       | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 10/30 VAR                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $934559.20     | 0.02%             | 2030-10-30      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88000 07/10/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-210715.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                                       | ENI SPA SR UNSECURED 144A 05/35 5.75                        | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    2500000 | PA      | $2558266.83    | 0.05%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G2603 FH 10/36 FLOATING VAR              | CUSIP: 3128QS3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $209.05        | 0.00%             | 2036-10-01      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG           | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     500000 | PA      | $60000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 09/25 0.00000                                 | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     445000 | PA      | $441232.19     | 0.01%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                 | SIXTH STREET LENDING PAR SR UNSECURED 01/30 5.75            | CUSIP: 829932AD4<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3008833.29    | 0.05%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                        | DIAMONDBACK ENERGY INC COMPANY GUAR 04/35 5.55              | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2730532.25    | 0.05%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5191 FN 11/53 FIXED 6                           | CUSIP: 31418EXV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27847683 | PA      | $28357061.27   | 0.50%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO XII LLC                                                  | KKR GROUP FINAN CO XII COMPANY GUAR 144A 05/32 4.85         | CUSIP: 48255GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1493515.13    | 0.03%             | 2032-05-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                 | VENTURE CDO LTD VENTR 2017 29A AR 144A                      | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2554976 | PA      | $2557026.18    | 0.05%             | 2030-09-07      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51240 FG 01/37 FIXED 6.5                 | CUSIP: 3128C6LV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8904 | PA      | $8955.84       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/33 VAR              | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9003111.00    | 0.16%             | 2033-02-24      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8420 FR 04/54 FIXED 5.5                 | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41498159 | PA      | $41528643.50   | 0.73%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer