# EDGAR Filing Document

**Accession Number:** 0001510599
**File Stem:** 0001099263-25-004579
**Filing Date:** 2025-11
**Character Count:** 1078934
**Document Hash:** 60ee8ff887af383e8d284fe197ab0b2a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004579.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004579

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Dynamic Income Fund
- **CENTRAL INDEX KEY:** 0001510599

**ORGANIZATION NAME:**
- **EIN:** 274580758
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22673
- **FILM NUMBER:** 251528627

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

## Nport-Ex

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 126.3% ¤** |  |  |
| **LOAN PARTICIPATIONS AND ASSIGNMENTS 32.1%**  |  |  |
| **Aligned Data Centers International LP**<br>7.538% due 12/18/2029 «~ | $30300 | $30538 |
| **Altice France SA**  |  |  |
| 5.026% (EUR003M + 3.000%) due 02/02/2026 ~ | 2294 | 2505 |
| 7.526% (EUR003M + 5.500%) due 08/15/2028 ~ | 1493 | 1662 |
| 9.818% (TSFR3M + 5.500%) due 08/15/2028 «~ | $59613 | 57825 |
| **AP Core Holdings II LLC**<br>9.778% (TSFR1M + 5.500%) due 09/01/2027 ~ | 2762 | 2694 |
| **Aston XLN Topco Ltd.**<br>10.337% due 07/30/2032 « | 12658 | 16598 |
| **Bausch Health Cos., Inc.**<br>10.413% (TSFR1M + 6.250%) due 10/08/2030 ~ | $36309 | 35866 |
| **Central Parent, Inc.**<br>7.252% (TSFR3M + 3.250%) due 07/06/2029 ~ | 68531 | 59454 |
| **Cerba Healthcare SAS**  |  |  |
| TBD% due 06/30/2028 | 15900 | 13120 |
| TBD% due 02/16/2029 | 11550 | 9547 |
| **Circor International, Inc.**<br>TBD% - 0.500% due 06/20/2029 «µ | $1066 | 1098 |
| **Clover Holdings 2 LLC**<br>TBD% due 12/10/2029 µ | 6575 | 6557 |
| **Clover Holdings SPV III LLC**<br>15.000% due 12/09/2027 | 726 | 748 |
| **Comexposium**  |  |  |
| TBD% (EUR012M + 0.000%) due 03/28/2026 «~ | 83116 | 119050 |
| TBD% - 1.138% due 10/16/2031 «~ | 6310 | 9038 |
| **Coreweave Compute Acquisition Co. II LLC**<br>13.621% - 13.945% (TSFR3M + 9.620%) due 07/31/2028 «~ | $17037 | 17971 |
| **Coreweave Compute Acquisition Co. IV LLC**<br>TBD% - 10.723% (TSFR3M + 6.000%) due 05/16/2029 «~µ | 79200 | 81490 |
| **Databricks, Inc.**  |  |  |
| TBD% - 1.000% due 01/03/2031 «µ | 2809 | 2809 |
| TBD% - 1.000% (TSFR1M + 4.500%) due 01/03/2031 «~ | 12691 | 12913 |
| **Dun & Bradstreet Corp.**  |  |  |
| TBD% due 08/26/2032 «µ | 1364 | 1356 |
| TBD% (TSFR1M + 5.500%) due 08/26/2032 «~ | 13642 | 13564 |
| **Encina Private Credit LLC**<br>TBD% - 8.333% due 11/30/2025 «µ | 1354 | 1315 |
| **Endure Digital, Inc.**<br>7.838% (TSFR1M + 3.500%) due 02/10/2028 «~ | 67928 | 49248 |
| **Envalior Finance GmbH**<br>7.526% (EUR003M + 5.500%) due 03/29/2030 ~ | 16200 | 18005 |
| **Envision Healthcare Corp.**  |  |  |
| 12.230% (TSFR3M + 7.875%) due 07/20/2026 «~ | $15953 | 15953 |
| 12.230% (TSFR3M + 7.875%) due 11/03/2028 «~ | 115342 | 118802 |
| **Espai Barca Fondo De Titulizacion**<br>TBD% - 5.000% due 06/30/2028 «~ | 23118 | 30895 |
| **Finastra USA, Inc.**  |  |  |
| TBD% (TSFR3M + 7.250%) due 09/13/2029 ~ | $386 | 388 |
| **First Brands Group LLC**  |  |  |
| TBD% - 9.570% due 03/30/2027 ^(e) | 1349 | 490 |
| TBD% - 9.570% (TSFR3M + 5.000%) due 03/30/2027 ^~(e) | 6823 | 2486 |
| **Forward Air Corp.**<br>8.810% (TSFR3M + 4.500%) due 12/19/2030 ~ | 78209 | 78168 |
| **Galaxy U.S. Opco, Inc. (10.058% Cash)**<br>10.058% (TSFR3M + 5.750%) due 07/31/2030 ~ | 39491 | 36085 |
| **Gateway Casinos & Entertainment Ltd.**<br>10.276% (TSFR3M + 6.250%) due 12/18/2030 ~ | 67477 | 67541 |
| **Gray Television, Inc.**<br>9.530% (TSFR1M + 5.250%) due 06/04/2029 ~ | 243 | 244 |
| **Harp Finco Ltd.**<br>9.468% due 03/27/2032 « | 19324 | 25550 |
| **iHeartCommunications, Inc.**<br>10.053% (TSFR1M + 5.775%) due 05/01/2029 ~ | $15047 | 13185 |
| **Ivanti Software, Inc.**  |  |  |
| TBD% - 10.051% (TSFR3M + 5.750%) due 06/01/2029 ~µ | 11913 | 12278 |
| TBD% - 10.051% (TSFR3M + 4.750%) due 06/01/2029 ~ | 89140 | 74477 |
| **J&J Ventures Gaming LLC**<br>9.278% (TSFR1M + 5.000%) due 04/26/2028 «~ | 9276 | 9369 |
| **Lealand Finance Co. BV**<br>7.278% (TSFR1M + 3.000%) due 06/30/2027 ~ | 385 | 313 |
| **Lealand Finance Co. BV (5.278% Cash)**<br>5.278% due 12/31/2027 ~ | 6559 | 4701 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Mercury** **Aggregator LP (19.000% PIK)**<br>19.000% due 04/03/2026 «(d) | 16990 | 4996 |
| **MH Sub I LLC**<br>8.413% (TSFR1M + 4.250%) due 12/31/2031 ~ | 4963 | 4578 |
| **MPH Acquisition Holdings LLC**  |  |  |
| 8.058% (TSFR3M + 3.750%) due 12/31/2030 ~ | 1004 | 1004 |
| 9.170% (TSFR3M + 4.600%) due 12/31/2030 ~ | 36417 | 33565 |
| **Numericable Group SA**  |  |  |
| 4.916% (EUR003M + 3.000%) due 02/02/2026 ~ | 199 | 217 |
| 9.000% due 10/31/2025 | $1995 | 1838 |
| **OCS Group Holdings Ltd.**<br>9.961% due 11/28/2031 | 29500 | 39691 |
| **Paradigm Parent LLC**<br>8.822% (TSFR3M + 4.500%) due 04/16/2032 ~ | $5200 | 4679 |
| **Peraton Corp.**<br>8.013% (TSFR1M + 3.750%) due 02/01/2028 ~ | 82407 | 69711 |
| **Polaris Newco LLC**<br>8.570% (TSFR3M + 4.000%) due 06/02/2028 ~ | 10682 | 10318 |
| **Poseidon Bidco SASU**<br>7.000% (EUR003M + 5.000%) due 03/13/2030 ~ | 84060 | 46385 |
| **Project Alpha Intermediate Holding, Inc.**<br>7.252% (TSFR3M + 3.250%) due 10/26/2030 ~ | $6 | 6 |
| **Project Quasar Pledgco SLU**<br>5.130% (EUR001M + 3.250%) due 04/17/2026 «~ | 10806 | 12359 |
| **Promotora de Informaciones SA**  |  |  |
| 7.244% (EUR003M + 5.220%) due 06/29/2029 ~ | 9802 | 11565 |
| 7.494% (EUR003M + 5.470%) due 12/31/2029 «~ | 147517 | 170595 |
| **Puris LLC**<br>9.752% - 10.099% (TSFR3M + 5.750%) due 06/30/2031 «~ | $15074 | 14347 |
| **Quantum Bidco Ltd.**<br>9.744% due 01/31/2028 | 3000 | 4050 |
| **QuidelOrtho Corp.**<br>8.002% (TSFR3M + 4.000%) due 08/20/2032 ~ | $15300 | 15240 |
| **Republic of Kenya Government International Bonds**<br>12.650% due 04/05/2028 «~ | 5000 | 5011 |
| **SCUR-Alpha 1503 GmbH**<br>9.808% (TSFR3M + 5.500%) due 03/29/2030 ~ | 61631 | 56953 |
| **Softbank Vision Fund II**  |  |  |
| TBD% - 7.652% (TSFR3M + 3.650%) due 12/23/2029 «~ | 31100 | 31100 |
| **Spruce Bidco II, Inc.**  |  |  |
| TBD% - 0.500% due 01/30/2032 «µ | 2245 | 2245 |
| TBD% - 0.500% (JY0003M + 5.250%) due 01/30/2032 «~ | 192401 | 1317 |
| TBD% - 0.500% (CDOR06 + 5.250%) due 01/30/2032 «~ | 1799 | 1306 |
| TBD% - 0.500% (TSFR6M + 5.000%) due 01/30/2032 «~ | $9939 | 10041 |
| **Steenbok Lux Finco 2 SARL**<br>10.000% due 06/30/2026 | 238134 | 75950 |
| **Stepstone Group MidCo 2 GmbH**  |  |  |
| 6.673% (EUR006M + 4.500%) due 04/26/2032 ~ | 48100 | 55695 |
| 8.608% (TSFR3M + 4.500%) due 12/19/2031 ~ | $9476 | 9014 |
| **Strategic Gaming Commitment**<br>TBD% due 06/17/2030 «µ | 21000 | 21000 |
| **Subcalidora 2**<br>7.750% (EUR003M + 5.750%) due 08/14/2029 «~ | 52304 | 61715 |
| **Syniverse Holdings, Inc.**<br>11.002% (TSFR3M + 7.000%) due 05/13/2027 ~ | $110504 | 108130 |
| **Thames Water Utilities Ltd.**<br>0.300% - 5.234% due 11/28/2025 « | 7235 | 6617 |
| **Transnet SOC Ltd.**<br>11.125% due 03/02/2028 «~ | 147214 | 8424 |
| **U.S. Renal Care, Inc.**<br>9.278% (TSFR1M + 5.000%) due 06/28/2028 ~ | $162516 | 155584 |
| **Ubisoft Entertainment SA**  |  |  |
| 3.339% (EUR003M + 1.400%) due 12/21/2025 ~ | 7589 | 8643 |
| 3.561% (EUR006M + 1.500%) due 12/22/2025 «~(k) | 5500 | 6389 |
| **Unicorn BAY**<br>13.000% due 12/31/2026 « | 299435 | 38959 |
| **VEON Amsterdam BV**<br>8.548% (TSFR3M + 4.250%) due 03/25/2027 «~ | $8800 | 8794 |
| **Westmoreland Coal Co.**<br>8.000% due 03/15/2029 « | 7231 | 2929 |
| **X Corp.**  |  |  |
| 9.500% due 10/26/2029 | 12050 | 12104 |
| 10.958% (TSFR3M + 6.500%) due 10/26/2029 ~ | 90683 | 89083 |
| Total Loan Participations and Assignments (Cost $2,386,776) |  | 2278043 |
| **CORPORATE BONDS & NOTES 27.8%**  |  |  |
| **BANKING & FINANCE 3.8%**  |  |  |
| **Alamo Re Ltd.**  |  |  |
| 12.338% (T-BILL 1MO + 8.434%) due 06/07/2027 ~  | 1250 | 1343 |
| 15.784% (T-BILL 1MO + 11.880%) due 06/08/2026 ~  | 1300 | 1368 |
| **Ambac Assurance Corp.** <br>5.100% due 12/31/2099 (j) | 185 | 232 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Armor** **Holdco, Inc.** <br>8.500% due 11/15/2029 (m) | 11600 | 11585 |
| **Armor RE II Ltd.**  |  |  |
| 12.407% (T-BILL 3MO + 8.500%) due 01/07/2032 ~  | 600 | 640 |
| 14.107% (T-BILL 3MO + 10.200%) due 05/07/2031 ~  | 500 | 543 |
| **Bayou Re Ltd.**  |  |  |
| 12.236% (BNMMDTSC + 8.332%) due 04/30/2031 ~  | 250 | 268 |
| 22.480% (BNMMDTSC + 18.500%) due 04/30/2031 ~  | 250 | 282 |
| **BOI Finance BV** <br>7.500% due 02/16/2027 (m) | 10000 | 12082 |
| **Bonanza RE Ltd.** <br>3.970% (MSMMUSTF) due 01/08/2026 ~ | $400 | 390 |
| **Cape Lookout Re Ltd.** <br>12.609% (T-BILL 1MO + 8.702%) due 04/05/2027 ~ | 6500 | 6792 |
| **Charles River Re Ltd.** <br>11.536% due 05/10/2031 •  | 250 | 265 |
| **CIFI Holdings Group Co. Ltd.**  |  |  |
| 4.375% due 04/12/2027 ^(e)  | 400 | 37 |
| 4.450% due 08/17/2026 ^(e)  | 300 | 28 |
| 5.250% due 05/13/2026 ^(e)  | 200 | 19 |
| **Claveau Re Ltd.** <br>4.004% (T-BILL 3MO + 0.100%) due 07/08/2028 «~ | 2721 | 0 |
| **Corestate Capital Holding SA (10.000% Cash or 11.000% PIK)** <br>10.000% due 12/31/2026 (d) | 475 | 503 |
| **Corestate Capital Holding SA (8.000% Cash or 9.000% PIK)** <br>8.000% due 12/31/2026 (d) | 325 | 154 |
| **Country Garden Holdings Co. Ltd.**  |  |  |
| 2.700% due 07/12/2026 ^(e)  | $200 | 22 |
| 3.125% due 10/22/2025 ^(e)  | 1200 | 129 |
| 3.875% due 10/22/2030 ^(e)  | 800 | 88 |
| 4.800% due 08/06/2030 ^(e)  | 200 | 21 |
| 6.150% due 09/17/2049 ^(e)  | 1000 | 111 |
| **Credicorp Capital Sociedad Titulizadora SA** <br>9.700% due 03/05/2045 | 3500 | 1069 |
| **Credit Suisse AG AT1 Claim**  | $5060 | 658 |
| **East Lane Re VII Ltd.** <br>12.822% (T-BILL 3MO + 8.890%) due 03/31/2026 ~ | 1100 | 1119 |
| **Everglades Re II Ltd.**  |  |  |
| 14.409% (GSMMUSTI + 10.500%) due 05/13/2031 ~  | 4260 | 4498 |
| 15.404% (GSMMUSTI + 11.500%) due 05/13/2031 ~  | 4260 | 4490 |
| 16.654% (T-BILL 1MO + 12.750%) due 05/13/2031 ~  | 4260 | 4486 |
| **Fairfax India Holdings Corp.** <br>5.000% due 02/26/2028 (m) | 12350 | 11665 |
| **Greengrove RE Ltd.** <br>11.654% (T-BILL 1MO + 7.750%) due 04/08/2032 ~ | 1500 | 1501 |
| **Hestia Re Ltd.**  |  |  |
| 10.659% (T-BILL + 6.750%) due 03/13/2032 ~  | 500 | 511 |
| 12.154% (T-BILL 1MO + 8.250%) due 03/13/2032 ~  | 500 | 519 |
| **Hudson Pacific Properties LP** <br>5.950% due 02/15/2028 (m) | 200 | 197 |
| **Integrity RE III Ltd.**  |  |  |
| 11.904% (T-BILL 1MO + 8.000%) due 06/06/2027 ~  | 250 | 261 |
| 13.654% (T-BILL 1MO + 9.750%) due 06/06/2027 ~  | 250 | 263 |
| 16.154% (T-BILL 1MO + 12.250%) due 06/06/2028 ~  | 800 | 851 |
| 29.404% (T-BILL 1MO + 25.500%) due 06/06/2027 ~  | 1400 | 1571 |
| **Integrity Re Ltd.**  |  |  |
| 21.138% (T-BILL 1MO + 17.234%) due 06/08/2026 ~  | 3200 | 3514 |
| 26.703% (T-BILL 1MO + 22.796%) due 06/08/2026 ~  | 3200 | 3570 |
| **Kennedy Wilson Europe Real Estate Ltd.** <br>3.250% due 11/12/2025 | 2463 | 2886 |
| **Long Walk Reinsurance Ltd.** <br>14.142% (T-BILL 3MO + 10.240%) due 01/30/2031 ~ | $5800 | 5906 |
| **Longleaf Pine Re Ltd.** <br>21.836% (T-BILL 1MO + 17.932%) due 05/27/2031 ~ | 700 | 782 |
| **Nature Coast Re Ltd.**  |  |  |
| 13.654% (T-BILL 3MO + 9.750%) due 04/10/2033 ~  | 1200 | 1255 |
| 13.904% (T-BILL 3MO + 10.000%) due 12/07/2030 ~  | 824 | 866 |
| **New Immo Holding SA** <br>3.250% due 07/23/2027 | 7300 | 8456 |
| **Orange Capital RE DAC** <br>7.979% (EUR003M + 6.000%) due 01/17/2029 ~ | 300 | 355 |
| **Palm RE Ltd.**  |  |  |
| 11.654% (T-BILL 1MO + 7.750%) due 06/07/2032 ~  | $800 | 847 |
| 13.604% (T-BILL 1MO + 9.700%) due 06/09/2031 ~  | 250 | 267 |
| **Panama Infrastructure Receivable Purchaser PLC** <br>0.000% due 04/05/2032 (h)(m) | 4677 | 3525 |
| **Polestar Re Ltd.**  |  |  |
| 14.402% (T-BILL 3MO + 10.500%) due 01/07/2028 ~  | 2300 | 2385 |
| 17.154% (T-BILL 3MO + 13.250%) due 01/07/2027 ~  | 6500 | 6769 |
| **Purple Re Ltd.** <br>13.030% (T-BILL 1MO + 9.126%) due 06/06/2031 ~ | 700 | 743 |
| **Quercus Re DAC** <br>10.017% (EUR003M + 8.000%) due 01/06/2031 ~ | 300 | 358 |
| **Sabine Re Ltd.** <br>12.424% (T-BILL 1MO + 8.520%) due 04/07/2031 ~ | $300 | 316 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Sanders** **Re III Ltd.** <br>16.224% (BRMMUSDF + 12.320%) due 04/09/2029 ~ | 11610 | 7256 |
| **Service Properties Trust** <br>0.000% due 09/30/2028 (h) | 1600 | 1412 |
| **Sunac China Holdings Ltd. (5.000% Cash or 6.000% PIK)** <br>5.000% due 09/30/2026 ^(d)(e) | 23 | 3 |
| **Sunac China Holdings Ltd. (5.250% Cash or 6.250% PIK)** <br>5.250% due 09/30/2027 ^(d)(e) | 23 | 4 |
| **Sunac China Holdings Ltd. (5.500% Cash or 6.500% PIK)** <br>5.500% due 09/30/2027 ^(d)(e) | 47 | 7 |
| **Sunac China Holdings Ltd. (5.750% Cash or 6.750% PIK)** <br>5.750% due 09/30/2028 ^(d)(e) | 70 | 11 |
| **Sunac China Holdings Ltd. (6.000% Cash or 7.000% PIK)** <br>6.000% due 09/30/2029 ^(d)(e) | 70 | 11 |
| **Sunac China Holdings Ltd. (6.250% Cash or 7.250% PIK)** <br>6.250% due 09/30/2030 ^(d)(e) | 33 | 5 |
| **Titanium 2l Bondco SARL** <br>6.250% due 01/14/2031 (m) | 57661 | 17790 |
| **Torrey Pines Re Ltd.**  |  |  |
| 9.940% (JMMMUSTF + 6.036%) due 06/07/2032 ~  | $2200 | 2294 |
| 11.010% (JMMMUSTF + 7.106%) due 06/07/2032 ~  | 1300 | 1354 |
| 13.282% (BRMMUSDF + 9.378%) due 06/05/2031 ~  | 700 | 714 |
| **Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC** <br>6.000% due 01/15/2030 (m) | 69751 | 63220 |
| **Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC**  |  |  |
| 6.500% due 02/15/2029 (m)  | 22715 | 21353 |
| 8.625% due 06/15/2032 (m)  | 7900 | 7552 |
| 10.500% due 02/15/2028 (m)  | 19753 | 20816 |
| **Ursa Re Ltd.**  |  |  |
| 11.404% (T-BILL 3MO + 7.500%) due 02/22/2028 ~  | 3700 | 3733 |
| 13.154% (JMMMUSTF + 9.250%) due 12/07/2028 ~  | 6800 | 7099 |
| **Veraison Re Ltd.**  |  |  |
| 8.904% (GSMMUSTI + 5.000%) due 03/08/2033 ~  | 300 | 303 |
| 16.534% (BRMMUSDF + 12.630%) due 03/10/2031 ~  | 4600 | 4754 |
| **Voyager Aviation Holdings LLC** <br>8.500% due 05/09/2026 ^«(e) | 55021 | 0 |
| **Windmill III Re DAC** <br>7.147% (EUR003M + 5.210%) due 07/05/2028 ~ | 250 | 297 |
| **Winston RE Ltd.** <br>10.404% (T-BILL 3MO + 6.500%) due 02/21/2028 ~ | $300 | 312 |
|  |  | 273661 |
| **INDUSTRIALS 22.0%**  |  |  |
| **Altice France Holding SA**  |  |  |
| 4.000% due 02/15/2028  | 5125 | 2174 |
| 6.000% due 02/15/2028  | $3300 | 1195 |
| 8.000% due 05/15/2027  | 40100 | 17090 |
| 10.500% due 05/15/2027  | $36590 | 13270 |
| **Altice France SA**  |  |  |
| 3.375% due 01/15/2028  | 19500 | 19746 |
| 4.000% due 07/15/2029  | 1300 | 1320 |
| 4.125% due 01/15/2029  | 100 | 102 |
| 4.250% due 10/15/2029  | 14800 | 15093 |
| 5.125% due 01/15/2029  | $6436 | 5539 |
| 5.125% due 07/15/2029  | 54564 | 46873 |
| 5.500% due 01/15/2028  | 9800 | 8673 |
| 5.500% due 10/15/2029  | 18959 | 16493 |
| 5.875% due 02/01/2027  | 300 | 319 |
| 8.125% due 02/01/2027  | $20600 | 19708 |
| **ams-OSRAM AG**  |  |  |
| 10.500% due 03/30/2029  | 61000 | 76582 |
| 12.250% due 03/30/2029 (m)  | $31078 | 33474 |
| **Aston Martin Capital Holdings Ltd.**  |  |  |
| 10.000% due 03/31/2029 (m)  | 46124 | 45201 |
| 10.375% due 03/31/2029  | 9300 | 12222 |
| **Beignet** <br>6.850% due 06/01/2049 «(c) | $140940 | 140940 |
| **BKV Upstream Midstream LLC** <br>7.500% due 10/15/2030 | 900 | 900 |
| **Carvana Co.** <br>9.000% due 06/01/2031 (m) | 10195 | 11550 |
| **Carvana Co. (9.000% Cash)** <br>9.000% due 06/01/2030 (m) | 4153 | 4348 |
| **Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.** <br>8.000% due 06/15/2029 (m) | 21020 | 18550 |
| **Central Parent, Inc./CDK Global, Inc.** <br>7.250% due 06/15/2029 (m) | 14170 | 12254 |
| **Cheplapharm Arzneimittel GmbH**  |  |  |
| 5.500% due 01/15/2028 (m)  | 9041 | 8837 |
| 7.500% due 05/15/2030 (m)  | 10543 | 12837 |
| **Claritev Corp. (6.500% Cash and 0.750% PIK)** <br>7.250% due 03/31/2031 (d) | $26159 | 20339 |
| **Cogent Communications Group LLC/Cogent Finance, Inc.** <br>7.000% due 06/15/2027 (m) | 5755 | 5745 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **CoreWeave** **, Inc.** <br>9.000% due 02/01/2031 | 7800 | 8004 |
| **CVS Pass-Through Trust** <br>7.507% due 01/10/2032 (m) | 1350 | 1439 |
| **DISH DBS Corp.**  |  |  |
| 5.250% due 12/01/2026  | 92615 | 91081 |
| 5.750% due 12/01/2028  | 91806 | 88087 |
| 7.750% due 07/01/2026  | 57800 | 57327 |
| **Ecopetrol SA**  |  |  |
| 4.625% due 11/02/2031 (m)  | 4800 | 4308 |
| 7.750% due 02/01/2032 (m)  | 116310 | 120432 |
| 8.375% due 01/19/2036 (m)  | 1890 | 1953 |
| 8.875% due 01/13/2033 (m)  | 3500 | 3796 |
| **EW Scripps Co.** <br>9.875% due 08/15/2030 | 8700 | 8174 |
| **Flora Food Management BV** <br>6.875% due 07/02/2029 | 3000 | 3528 |
| **Gazprom PJSC Via Gaz Capital SA**  |  |  |
| 7.288% due 08/16/2037  | $300 | 225 |
| 8.625% due 04/28/2034  | 1081 | 946 |
| **Incora Intermediate II LLC** <br>0.000% (SOFRRATE + 8.000%) due 01/31/2030 «~ | 71241 | 71241 |
| **Incora Top Holdco LLC** <br>6.000% due 01/30/2033 «~(k) | 51205 | 82844 |
| **INEOS Finance PLC** <br>7.250% due 03/31/2031 | 7600 | 8921 |
| **JetBlue Airways Corp./JetBlue Loyalty LP** <br>9.875% due 09/20/2031 (m) | $25352 | 25736 |
| **Motion Finco SARL** <br>8.375% due 02/15/2032 (m) | 1200 | 1039 |
| **MPH Acquisition Holdings LLC** <br>5.750% due 12/31/2030 (m) | 53206 | 46501 |
| **MPH Acquisition Holdings LLC (6.500% Cash and 5.000% PIK)** <br>11.500% due 12/31/2030 (d)(m) | 14084 | 14748 |
| **Newfold Digital Holdings Group, Inc.**  |  |  |
| 6.000% due 02/15/2029 «  | 37300 | 23313 |
| 11.750% due 10/15/2028 «  | 13109 | 9307 |
| **Nissan Motor Co. Ltd.**  |  |  |
| 5.250% due 07/17/2029  | 1300 | 1557 |
| 6.375% due 07/17/2033  | 1100 | 1332 |
| 7.500% due 07/17/2030  | $5200 | 5461 |
| **Ocado Group PLC** <br>10.500% due 08/08/2029 | 7450 | 10012 |
| **Petroleos Mexicanos**  |  |  |
| 6.700% due 02/16/2032 (m)  | $14345 | 14225 |
| 6.840% due 01/23/2030 (m)  | 6700 | 6819 |
| 8.750% due 06/02/2029 (m)  | 11420 | 12309 |
| **Prime Healthcare Services, Inc.** <br>9.375% due 09/01/2029 (m) | 20200 | 21029 |
| **ProFrac Holdings II LLC** <br>11.226% (TSFR3M + 7.250%) due 01/23/2029 ~ | 20446 | 21187 |
| **Russian Railways Via RZD Capital PLC** <br>7.487% due 03/25/2031 ^(e) | 200 | 188 |
| **TGS ASA** <br>8.500% due 01/15/2030 (m) | $1400 | 1443 |
| **Thames Water Super Senior Issuer PLC** <br>9.750% due 10/10/2027 | 1517 | 2279 |
| **Thames Water Utilities Finance PLC**  |  |  |
| 0.875% due 01/31/2030  | 900 | 730 |
| 1.250% due 01/31/2034  | 300 | 244 |
| 1.604% due 12/23/2029  | $400 | 288 |
| 2.375% due 04/22/2042  | 100 | 91 |
| 2.625% due 01/24/2034  | 600 | 552 |
| 3.500% due 02/25/2030  | 300 | 283 |
| 4.000% due 04/18/2029  | 500 | 415 |
| 4.375% due 01/18/2033  | 1100 | 911 |
| 4.375% due 07/03/2036  | 900 | 845 |
| 4.625% due 06/04/2048  | 600 | 565 |
| 5.125% due 09/28/2039  | 300 | 283 |
| 5.500% due 02/11/2043  | 1200 | 1134 |
| 6.500% due 02/09/2034  | 400 | 381 |
| 7.125% due 04/30/2033  | 200 | 190 |
| 7.750% due 04/30/2046  | 400 | 384 |
| **Thames Water Utilities Ltd.** <br>0.000% due 03/22/2027 (h) | 112 | 130 |
| **Times Square Hotel Trust** <br>8.528% due 08/01/2026 | $612 | 615 |
| **Toll Road Investors Partnership II LP** <br>0.000% due 02/15/2043 (h)(m) | 18029 | 6290 |
| **Topaz Solar Farms LLC**  |  |  |
| 4.875% due 09/30/2039 (m)  | 13119 | 11544 |
| 5.750% due 09/30/2039 (m)  | 40106 | 40685 |
| **Toucan FinCo Ltd./Toucan FinCo Can, Inc./Toucan FinCo U.S. LLC** <br>8.250% due 05/15/2030 | 4600 | 5157 |
| **U.S. Renal Care, Inc.** <br>10.625% due 06/28/2028 (m) | $13209 | 11558 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Ubisoft** **Entertainment SA** <br>0.878% due 11/24/2027 | 4800 | 5263 |
| **Vale SA** <br>0.000% due 12/29/2049 ~(j) | 830470 | 56012 |
| **Venture Global LNG, Inc.**  |  |  |
| 9.500% due 02/01/2029 (m)  | $15005 | 16545 |
| 9.875% due 02/01/2032 (m)  | 405 | 441 |
| **Viridien**  |  |  |
| 8.500% due 10/15/2030 (m)  | 2500 | 3049 |
| 8.500% due 10/15/2030  | 18500 | 22563 |
| 10.000% due 10/15/2030 (m)  | $15300 | 15739 |
| **Vmed O2 U.K. Financing I PLC**  |  |  |
| 5.625% due 04/15/2032  | 200 | 242 |
| 7.750% due 04/15/2032  | $900 | 947 |
| **Xerox Corp.** <br>13.500% due 04/15/2031 (m) | 2300 | 2229 |
| **Yellowstone Energy LP** <br>5.750% due 12/31/2026 | 959 | 948 |
| **Yinson Boronia Production BV** <br>8.947% due 07/31/2042 (m) | 5190 | 5785 |
| **ZF North America Capital, Inc.** <br>7.500% due 03/24/2031 | 6100 | 6062 |
|  |  | 1561265 |
| **UTILITIES 2.0%**  |  |  |
| **Comision Ejecutiva Hidroelectrica del Rio Lempa**  |  |  |
| 8.650% due 01/24/2033 (m)  | 3900 | 4083 |
| 8.650% due 01/24/2033  | 7300 | 7642 |
| **FORESEA Holding SA** <br>7.500% due 06/15/2030 (m) | 2711 | 2655 |
| **Gazprom PJSC via Gaz Finance PLC** <br>3.000% due 06/29/2027 | 200 | 163 |
| **NGD Holdings BV** <br>6.750% due 12/31/2026 (m) | 4729 | 4304 |
| **OI SA (10.000% Cash or 6.000% PIK and 7.500% Cash or 13.500% PIK)**  |  |  |
| 10.000% due 06/30/2027 (d)(m)  | 87839 | 57973 |
| 10.000% due 06/30/2027 (d)  | 23470 | 15490 |
| **OI SA (8.500% PIK)** <br>8.500% due 12/31/2028 (d) | 153998 | 4620 |
| **Peru LNG SRL** <br>5.375% due 03/22/2030 (m) | 35293 | 33895 |
| **Yinson Production Financial Services Pte. Ltd.** <br>9.625% due 05/03/2029 | 8900 | 9425 |
|  |  | 140250 |
| Total Corporate Bonds & Notes (Cost $2,105,709) |  | 1975176 |
| **CONVERTIBLE BONDS & NOTES 0.1%**  |  |  |
| **BANKING & FINANCE 0.1%**  |  |  |
| **Corestate Capital Holding SA (8.000% Cash or 9.000% PIK)** <br>8.000% due 12/31/2026 (d) | 2472 | 1175 |
| **PennyMac Corp.** <br>5.500% due 03/15/2026 (m) | $7700 | 7685 |
| Total Convertible Bonds & Notes (Cost $10,547) |  | 8860 |
| **MUNICIPAL BONDS & NOTES 0.5%**  |  |  |
| **ARIZONA 0.0%**  |  |  |
| **Maricopa County, Arizona Industrial Development Authority Revenue Notes, Series 2024** <br>7.375% due 10/01/2029 | 850 | 892 |
| **MICHIGAN 0.0%**  |  |  |
| **Michigan Tobacco Settlement Finance Authority Revenue Bonds, Series 2008** <br>0.000% due 06/01/2046 (h) | 23000 | 3062 |
| **WEST VIRGINIA 0.5%**  |  |  |
| **Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007** <br>0.000% due 06/01/2047 (h) | 355485 | 33223 |
| Total Municipal Bonds & Notes (Cost $52,374) |  | 37177 |
| **U.S. GOVERNMENT AGENCIES 1.5%**  |  |  |
| **Federal Home Loan Mortgage Corp. Military Housing Bonds Resecuritization Trust Certificates**<br>0.700% due 11/25/2055 ~(a) | 252535 | 15387 |
| **Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates**<br>2.079% due 11/25/2045 ~(a)(m) | 75137 | 2999 |
| **Federal Home Loan Mortgage Corp. REMICS**  |  |  |
| 0.000% due 11/15/2048 •(a) | 28420 | 991 |
| 1.140% due 09/15/2041 •(m) | 602 | 587 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 1.629% due 06/25/2050 •(a)(m) | 847 | 104 |
| 1.663% due 01/15/2047 •(a) | 206 | 26 |
| 1.679% due 05/25/2050 •(a) | 5902 | 800 |
| 1.713% due 09/15/2042 •(a) | 296 | 28 |
| 1.813% due 05/15/2037 •(a) | 611 | 55 |
| 1.923% due 05/15/2037 •(a) | 36 | 3 |
| 1.944% due 01/25/2051 •(a) | 5579 | 961 |
| 1.944% due 01/25/2051 •(a)(m) | 2995 | 436 |
| 1.983% due 07/15/2036 •(a)(m) | 769 | 79 |
| 2.093% due 09/15/2036 •(a) | 244 | 27 |
| 2.113% due 05/15/2041 •(a) | 503 | 48 |
| 2.213% due 04/15/2036 •(a) | 102 | 9 |
| 3.000% due 06/25/2050 (a)(m) | 9846 | 1756 |
| 3.293% due 09/15/2036 •(a) | 397 | 56 |
| 3.500% due 07/25/2050 (a)(m) | 20034 | 3491 |
| 4.000% due 03/15/2027 (a) | 12 | 0 |
| 4.000% due 07/25/2050 (a)(m) | 15888 | 3735 |
| 5.000% due 05/25/2048 (a)(m) | 5109 | 812 |
| **Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust**  |  |  |
| 3.475% due 05/25/2057 ~ | 4114 | 1891 |
| 3.621% due 10/25/2058 ~ | 2121 | 956 |
| 3.978% due 11/25/2061 ~(a) | 11048 | 4270 |
| 4.250% due 09/25/2060 (m) | 1572 | 1518 |
| 4.250% due 03/25/2061 ~(m) | 700 | 646 |
| 4.285% due 11/25/2059 ~ | 12638 | 6138 |
| 4.500% due 11/25/2061 ~(m) | 3900 | 3619 |
| 5.000% due 04/25/2062 ~ | 3400 | 3138 |
| 5.461% due 05/25/2064 ~ | 3984 | 1966 |
| 5.820% due 05/25/2060 ~ | 1867 | 1090 |
| 10.980% due 03/25/2061 ~ | 484 | 284 |
| 12.632% due 11/25/2060 ~ | 1171 | 881 |
| 13.059% due 09/25/2060 ~ | 1580 | 1199 |
| **Federal Home Loan Mortgage Corp. STACR REMICS Trust**  |  |  |
| 11.456% due 01/25/2042 •(m) | 3800 | 4033 |
| 11.856% due 10/25/2041 •(m) | 8896 | 9344 |
| 12.156% due 11/25/2041 •(m) | 8324 | 8827 |
| 12.856% due 02/25/2042 •(m) | 2350 | 2545 |
| **Federal Home Loan Mortgage Corp. STRIPS**<br>1.463% due 04/15/2039 •(a)(m) | 911 | 105 |
| **Federal National Mortgage Association Connecticut Avenue Securities Trust**<br>10.356% due 10/25/2041 •(m) | 8201 | 8517 |
| **Federal National Mortgage Association REMICS**  |  |  |
| 0.000% due 10/25/2042 •(m) | 968 | 822 |
| 1.449% due 07/25/2041 •(a)(m) | 1281 | 133 |
| 1.529% due 08/25/2038 •(a) | 324 | 24 |
| 1.579% due 08/25/2049 •(a) | 134 | 15 |
| 1.579% due 07/25/2059 •(a)(m) | 5426 | 706 |
| 1.599% due 10/25/2040 •(a)(m) | 1147 | 66 |
| 1.679% due 02/25/2043 •(a)(m) | 1208 | 143 |
| 1.879% due 12/25/2037 •(a) | 27 | 2 |
| 2.049% due 09/25/2037 •(a) | 204 | 15 |
| 2.078% due 10/25/2060 ~(a) | 13016 | 1107 |
| 2.129% due 03/25/2040 •(a)(m) | 465 | 9 |
| 2.169% due 12/25/2036 •(a)(m) | 869 | 107 |
| 2.179% due 11/25/2036 •(a) | 30 | 1 |
| 2.249% due 06/25/2037 •(a) | 132 | 9 |
| 2.316% due 01/25/2041 •  | 2134 | 2191 |
| 2.509% due 03/25/2038 •(a) | 581 | 70 |
| 2.529% due 02/25/2038 •(a) | 351 | 43 |
| 3.000% due 01/25/2042 (a) | 55 | 1 |
| 3.500% due 08/25/2032 (a) | 452 | 35 |
| 3.500% due 06/25/2050 (a)(m) | 14475 | 2578 |
| 4.000% due 06/25/2050 (a)(m) | 1801 | 349 |
| 4.500% due 04/25/2042 (a) | 425 | 43 |
| 5.000% due 01/25/2048 (a)(m) | 3524 | 791 |
| **Federal National Mortgage Association REMICS Trust**<br>1.039% due 08/25/2043 ~(a) | 15170 | 596 |
| **Government National Mortgage Association REMICS**  |  |  |
| 1.850% due 12/20/2048 •(a)(m) | 2306 | 242 |
| 1.870% due 08/20/2042 •(a)(m) | 1152 | 129 |
| 2.000% due 12/20/2040 •(a) | 657 | 32 |
| 2.500% due 09/20/2036 (a) | 32489 | 2601 |
| 3.500% due 06/20/2042 (a) | 144 | 15 |
| Total U.S. Government Agencies (Cost $114,412) |  | 106232 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 34.5%**  |  |  |
| **225 Liberty Street Trust** <br>4.803% due 02/10/2036 ~(m) | 7541 | 7045 |
| **245 Park Avenue Trust** <br>3.779% due 06/05/2037 ~(m) | 11361 | 10822 |
| **280 Park Avenue Mortgage Trust**  |  |  |
| 6.054% due 09/15/2034 •(m)  | 12600 | 12382 |
| 7.345% due 09/15/2034 •(m)  | 2500 | 2419 |
| **Adjustable Rate Mortgage Trust**  |  |  |
| 4.532% due 03/25/2036 •(m)  | 2827 | 1672 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.572% due 03/25/2037 •(m)  | 576 | 649 |
| 4.943% due 03/25/2037 ~(m)  | 1066 | 992 |
| 5.429% due 03/25/2036 ~(m)  | 18416 | 8986 |
| 6.102% due 11/25/2037 ~(m)  | 801 | 519 |
| **American Home Mortgage Assets Trust**  |  |  |
| 4.812% due 11/25/2035 •  | 299 | 285 |
| 4.852% due 08/25/2037 •(m)  | 5196 | 4725 |
| **American Home Mortgage Investment Trust**  |  |  |
| 4.812% due 03/25/2037 •  | 2471 | 966 |
| 4.872% due 09/25/2045 •(m)  | 1990 | 1785 |
| 5.172% due 02/25/2044 •(m)  | 6839 | 6506 |
| 6.600% due 01/25/2037 þ  | 4653 | 678 |
| **Anthracite Investments Cayman Ltd.** <br>5.678% due 06/20/2041 | 2021 | 0 |
| **ASG Resecuritization Trust**  |  |  |
| 3.714% due 01/28/2037 ~(m)  | 6867 | 5790 |
| 6.000% due 06/28/2037 ~(m)  | 24533 | 11208 |
| **Ashford Hospitality Trust**  |  |  |
| 5.223% due 04/15/2035 •  | 1046 | 1045 |
| 5.573% due 04/15/2035 •  | 598 | 598 |
| 5.723% due 04/15/2035 •(m)  | 12360 | 12346 |
| 6.423% due 04/15/2035 •  | 266 | 265 |
| 7.423% due 04/15/2035 •(m)  | 10939 | 10903 |
| **Atrium Hotel Portfolio Trust**  |  |  |
| 5.948% due 12/15/2036 •  | 3000 | 2949 |
| 6.098% due 12/15/2036 •  | 1840 | 1798 |
| 6.398% due 12/15/2036 •(m)  | 8800 | 8404 |
| 7.498% due 12/15/2036 •  | 7500 | 6970 |
| **Avon Finance**  |  |  |
| 0.000% due 12/28/2049 (b)(h)  | 11488 | 11372 |
| 0.000% due 12/28/2049 (a)(h)  | 9500 | 0 |
| 7.486% due 12/28/2049 •(m)  | 11241 | 15152 |
| 7.736% due 12/28/2049 •(m)  | 8564 | 11473 |
| 7.986% due 12/28/2049 •  | 2676 | 3462 |
| 7.986% due 12/28/2049 •(m)  | 6448 | 3571 |
| **BAMLL Commercial Mortgage Securities Trust** <br>2.627% due 01/15/2032 (m) | $18810 | 16659 |
| **Banc of America Alternative Loan Trust**  |  |  |
| 2.368% due 06/25/2037 •(a)  | 246 | 32 |
| 4.632% due 06/25/2037 •  | 229 | 166 |
| 6.000% due 06/25/2037  | 77 | 66 |
| 6.000% due 06/25/2046  | 35 | 31 |
| 6.000% due 07/25/2046 (m)  | 543 | 475 |
| **Banc of America Funding Corp.** <br>3.618% due 05/26/2036 ~(m) | 4212 | 3565 |
| **Banc of America Funding Trust**  |  |  |
| 0.000% due 06/26/2035 ~(m)  | 1091 | 1095 |
| 0.000% due 11/26/2036 ~(m)  | 24305 | 8381 |
| 2.787% due 12/20/2034 ~  | 186 | 155 |
| 3.657% due 08/25/2047 ~(m)  | 2092 | 1715 |
| 4.310% due 09/20/2037 ~  | 283 | 227 |
| 4.376% due 10/20/2046 ~  | 235 | 198 |
| 4.498% due 09/20/2047 ~  | 133 | 116 |
| 4.522% due 01/20/2047 ~  | 65 | 56 |
| 4.633% due 03/20/2036 ~(m)  | 696 | 641 |
| 4.670% due 04/20/2047 •(m)  | 3592 | 3045 |
| 4.692% due 04/25/2037 •(m)  | 793 | 670 |
| 4.925% due 02/20/2035 •(m)  | 2263 | 2196 |
| 4.954% due 01/25/2035 ~  | 70 | 68 |
| 5.557% due 04/20/2035 ~(m)  | 731 | 681 |
| 5.993% due 12/20/2036 ~  | 16 | 15 |
| 6.000% due 10/25/2037 (m)  | 2510 | 2227 |
| 6.593% due 09/20/2046 ~(m)  | 418 | 406 |
| 6.619% due 07/26/2036 ~(m)  | 8139 | 2405 |
| **Banc of America Mortgage Trust**  |  |  |
| 5.750% due 10/25/2036 (m)  | 437 | 369 |
| 5.750% due 05/25/2037  | 493 | 364 |
| 5.975% due 01/25/2036 ~  | 82 | 80 |
| 6.000% due 10/25/2036  | 53 | 46 |
| 7.497% due 10/20/2046 ~  | 15 | 13 |
| **Bayview Commercial Asset Trust** <br>4.602% due 03/25/2037 •(m) | 97 | 93 |
| **BBCCRE Trust**  |  |  |
| 3.966% due 08/10/2033  | 28700 | 26533 |
| 4.715% due 08/10/2033 ~(m)  | 7790 | 5581 |
| **BBCMS Mortgage Trust** <br>3.811% due 02/15/2053 ~ | 1250 | 998 |
| **BBCMS Trust** <br>7.998% due 07/15/2037 •  | 2600 | 2007 |
| **BCAP LLC Trust**  |  |  |
| 2.144% due 02/26/2037 ~(m)  | 6817 | 5490 |
| 3.764% due 04/26/2037 ~(m)  | 5358 | 4599 |
| 3.834% due 07/26/2036 ~  | 332 | 296 |
| 4.148% due 05/26/2037 ~(m)  | 1364 | 1223 |
| 4.177% due 02/26/2047 •(m)  | 9511 | 7820 |
| 4.271% due 10/26/2037 ~(m)  | 4302 | 2750 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.376% due 05/26/2036 •(m)  | 2983 | 2549 |
| 4.511% due 02/26/2036 ~(m)  | 2167 | 1448 |
| 4.765% due 03/26/2037 ~(m)  | 677 | 558 |
| 4.937% due 05/26/2035 •(m)  | 3906 | 3480 |
| 5.124% due 03/27/2037 ~(m)  | 3635 | 3121 |
| 5.425% due 11/26/2035 ~(m)  | 1826 | 1549 |
| 5.500% due 12/26/2035 ~(m)  | 7920 | 4799 |
| 5.653% due 06/26/2036 ~(m)  | 1844 | 1550 |
| 5.914% due 01/26/2036 ~(m)  | 23355 | 7165 |
| 6.000% due 06/26/2037 ~(m)  | 1178 | 1074 |
| 6.000% due 08/26/2037 ~(m)  | 1998 | 1602 |
| 6.000% due 10/26/2037 ~(m)  | 1469 | 994 |
| 6.102% due 07/26/2045 ~(m)  | 2128 | 2077 |
| **BCP Trust** <br>7.903% due 06/15/2038 •(m) | 11850 | 2598 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.970% due 04/25/2037 ~(m)  | 3358 | 2319 |
| 4.013% due 05/25/2036 ~  | 182 | 168 |
| 4.164% due 08/25/2036 ~  | 266 | 121 |
| 4.167% due 11/25/2036 ~  | 1401 | 632 |
| 4.217% due 11/25/2035 ~(m)  | 8004 | 4303 |
| 4.265% due 04/25/2035 ~  | 99 | 92 |
| 4.437% due 07/25/2035 ~  | 183 | 130 |
| 4.462% due 07/25/2036 ~(m)  | 45313 | 19276 |
| 4.475% due 11/25/2035 ~  | 20 | 13 |
| 4.592% due 06/25/2046 •(m)  | 960 | 884 |
| 4.612% due 08/25/2036 •(m)  | 12324 | 11151 |
| 4.650% due 08/25/2046 ~(m)  | 3618 | 2461 |
| 4.650% due 12/25/2046 ~(m)  | 3067 | 1502 |
| 4.652% due 09/25/2035 ~(m)  | 7189 | 2438 |
| 4.672% due 02/25/2034 •(m)  | 1362 | 1263 |
| 4.693% due 03/25/2036 ~(m)  | 978 | 560 |
| 4.772% due 01/25/2036 •(m)  | 2632 | 2494 |
| 4.826% due 05/25/2036 ~(m)  | 6229 | 2533 |
| 4.932% due 05/25/2035 ~  | 86 | 84 |
| 5.397% due 01/25/2035 •(m)  | 692 | 661 |
| 5.397% due 03/25/2035 •(m)  | 5377 | 4595 |
| 6.625% due 09/25/2034 ~  | 159 | 155 |
| **Bear Stearns ARM Trust**  |  |  |
| 4.146% due 08/25/2047 ~  | 101 | 89 |
| 4.247% due 06/25/2047 ~(m)  | 1174 | 1034 |
| 4.475% due 02/25/2036 ~  | 253 | 234 |
| 5.825% due 09/25/2034 ~  | 14 | 14 |
| 6.167% due 10/25/2036 ~  | 29 | 28 |
| 6.290% due 09/25/2034 ~  | 10 | 10 |
| **Beast Mortgage Trust** <br>7.715% due 03/15/2036 •(m) | 6000 | 1296 |
| **Benchmark Mortgage Trust**  |  |  |
| 3.094% due 04/15/2054 ~  | 1396 | 1021 |
| 3.404% due 12/15/2062 ~  | 700 | 42 |
| 3.555% due 08/15/2052 ~(m)  | 7300 | 6627 |
| 4.029% due 03/15/2062 ~(m)  | 15430 | 11739 |
| **BIG Commercial Mortgage Trust** <br>6.491% due 02/15/2039 •(m) | 485 | 485 |
| **BMO Mortgage Trust** <br>3.378% due 02/17/2055 ~ | 7850 | 7229 |
| **Bridgegate Funding PLC**  |  |  |
| 0.000% due 10/16/2062 ~(m)  | 39972 | 50543 |
| 0.000% due 10/16/2062 ~  | 20785 | 8165 |
| 0.000% due 10/16/2062 (h)  | 5795 | 0 |
| 10.066% due 10/16/2062 •(m)  | 23983 | 32168 |
| 13.066% due 10/16/2062 •(m)  | 11991 | 19547 |
| **BSREP Commercial Mortgage Trust**  |  |  |
| 5.215% due 08/15/2038 •(m)  | $6135 | 5837 |
| 5.615% due 08/15/2038 •(m)  | 426 | 394 |
| **BSST Mortgage Trust** <br>5.901% due 02/15/2037 •(m) | 3300 | 2147 |
| **BWAY Mortgage Trust** <br>6.465% due 09/15/2036 •  | 5000 | 4419 |
| **BX Commercial Mortgage Trust**  |  |  |
| 6.114% due 11/15/2038 •(m)  | 17456 | 17444 |
| 6.240% due 01/17/2039 •  | 19300 | 19289 |
| 6.590% due 01/17/2039 •  | 14442 | 14417 |
| 6.614% due 04/15/2034 •(m)  | 6000 | 5723 |
| 6.614% due 02/15/2038 •(m)  | 1878 | 1813 |
| 7.351% due 04/15/2034 •(m)  | 4000 | 3748 |
| **BX Trust**  |  |  |
| 5.651% due 09/15/2034 •  | 1044 | 1040 |
| 6.201% due 09/15/2034 •  | 11600 | 11563 |
| 6.509% due 10/15/2036 •(m)  | 12000 | 12007 |
| 6.692% due 10/15/2026 •(m)  | 1212 | 1211 |
| **CALI Mortgage Trust** <br>3.957% due 03/10/2039 (m) | 14900 | 14303 |
| **CBA Commercial Small Balance Commercial Mortgage** <br>6.040% due 01/25/2039 þ | 189 | 183 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **CD** **Mortgage Trust** <br>5.688% due 10/15/2048 (m) | 1085 | 1025 |
| **Chase Mortgage Finance Trust**  |  |  |
| 4.435% due 01/25/2036 ~(m)  | 2444 | 2202 |
| 5.007% due 03/25/2037 ~(m)  | 786 | 762 |
| 5.500% due 11/25/2049  | 521 | 43 |
| 6.000% due 03/25/2037  | 496 | 261 |
| **CHL Mortgage Pass-Through Trust**  |  |  |
| 3.724% due 06/20/2035 ~  | 2 | 2 |
| 3.742% due 03/25/2037 ~(m)  | 2491 | 2089 |
| 4.527% due 11/20/2035 ~(m)  | 3818 | 3569 |
| 4.615% due 08/20/2035 ~  | 18 | 17 |
| 4.731% due 05/20/2036 ~(m)  | 278 | 260 |
| 4.872% due 03/25/2035 •  | 146 | 83 |
| 4.952% due 03/25/2036 •  | 22 | 3 |
| 5.000% due 11/25/2035  | 19 | 7 |
| 5.037% due 09/25/2047 ~(m)  | 1558 | 1219 |
| 5.068% due 09/20/2036 ~(m)  | 1492 | 1329 |
| 5.147% due 11/25/2035 ~(m)  | 634 | 525 |
| 5.500% due 12/25/2034  | 35 | 35 |
| 5.500% due 08/25/2035  | 28 | 15 |
| 5.500% due 11/25/2035  | 23 | 12 |
| 5.555% due 06/25/2047 ~(m)  | 923 | 908 |
| 6.000% due 07/25/2037  | 141 | 61 |
| 6.000% due 08/25/2037  | 1 | 1 |
| 6.000% due 08/25/2037 (m)  | 2971 | 1263 |
| 6.142% due 03/25/2046 •(m)  | 14865 | 11270 |
| **Citigroup Commercial Mortgage Trust** <br>3.917% due 12/15/2072 ~ | 8111 | 2082 |
| **Citigroup Global Markets Mortgage Securities VII, Inc.** <br>6.500% due 02/25/2029 | 80 | 79 |
| **Citigroup Mortgage Loan Trust, Inc.**  |  |  |
| 0.000% due 08/25/2037 ~  | 1628 | 62 |
| 3.976% due 07/25/2036 ~(m)  | 1730 | 1013 |
| 4.487% due 09/25/2037 ~(m)  | 2233 | 2067 |
| 4.597% due 10/25/2035 ~(m)  | 553 | 524 |
| 4.822% due 04/25/2037 ~  | 235 | 211 |
| 4.933% due 08/25/2034 ~(m)  | 4355 | 4090 |
| 4.969% due 03/25/2037 ~(m)  | 1542 | 1376 |
| 5.391% due 02/25/2036 ~(m)  | 3624 | 3478 |
| 5.470% due 03/25/2037 ~  | 349 | 324 |
| 5.500% due 11/25/2035  | 160 | 150 |
| 5.500% due 12/25/2035 (m)  | 1875 | 911 |
| 6.000% due 07/25/2036 (m)  | 3913 | 1773 |
| 6.300% due 03/25/2036 •  | 51 | 51 |
| 6.500% due 09/25/2036  | 816 | 411 |
| 6.951% due 03/25/2037 ~  | 148 | 151 |
| **CLNY Trust**  |  |  |
| 6.264% due 11/15/2038 •(m)  | 2020 | 1953 |
| 6.613% due 11/15/2038 •(m)  | 8005 | 7740 |
| 7.309% due 11/15/2038 •(m)  | 15475 | 14361 |
| 8.005% due 11/15/2038 •(m)  | 24000 | 20749 |
| **COMM Mortgage Trust**  |  |  |
| 2.819% due 01/10/2039 (m)  | 9131 | 8754 |
| 3.545% due 02/10/2036  | 5000 | 4949 |
| 5.198% due 06/15/2034 •  | 2000 | 1937 |
| 8.415% due 12/15/2038 •(m)  | 10004 | 9223 |
| 9.265% due 12/15/2038 •(m)  | 5000 | 4473 |
| 10.265% due 12/15/2038 •(m)  | 3360 | 2914 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 0.820% due 12/25/2035 ~(a)  | 7230 | 293 |
| 1.807% due 12/25/2035 ~(a)  | 2430 | 185 |
| 2.878% due 07/25/2036 •(a)(m)  | 6503 | 1213 |
| 3.963% due 10/25/2035 ~  | 2137 | 1834 |
| 4.326% due 06/25/2037 ~  | 65 | 58 |
| 4.440% due 03/20/2047 •  | 323 | 281 |
| 4.522% due 06/25/2037 •  | 469 | 396 |
| 4.622% due 05/25/2036 •(m)  | 1158 | 305 |
| 4.622% due 08/25/2036 •  | 731 | 286 |
| 4.632% due 05/25/2036 •(m)  | 5858 | 5500 |
| 4.652% due 09/25/2046 •(m)  | 4637 | 4362 |
| 4.692% due 08/25/2047 •(m)  | 699 | 592 |
| 4.712% due 05/25/2047 •(m)  | 3238 | 2443 |
| 4.732% due 03/25/2036 •(m)  | 6003 | 5914 |
| 4.772% due 06/25/2037 •(m)  | 4835 | 4362 |
| 4.792% due 07/25/2036 •(m)  | 6183 | 5455 |
| 4.850% due 11/20/2035 •  | 51 | 48 |
| 4.952% due 09/25/2035 •(m)  | 2278 | 1557 |
| 4.952% due 10/25/2046 •  | 79 | 59 |
| 4.972% due 10/25/2035 •  | 390 | 225 |
| 5.003% due 11/25/2046 •(m)  | 2005 | 1831 |
| 5.341% due 05/25/2036 ~(m)  | 1600 | 1524 |
| 5.463% due 07/20/2035 •(m)  | 3525 | 3222 |
| 5.500% due 07/25/2035  | 702 | 353 |
| 5.500% due 10/25/2035  | 95 | 61 |
| 5.500% due 11/25/2035 (m)  | 1173 | 672 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.500% due 11/25/2035  | 1299 | 718 |
| 5.500% due 12/25/2035  | 690 | 345 |
| 5.500% due 01/25/2036  | 50 | 49 |
| 5.500% due 02/25/2036  | 805 | 455 |
| 5.500% due 02/25/2036 (m)  | 695 | 468 |
| 5.500% due 05/25/2036 (m)  | 2838 | 2330 |
| 5.500% due 04/25/2037 (m)  | 1438 | 652 |
| 5.500% due 12/27/2049  | 12 | 11 |
| 5.732% due 11/25/2035 •(m)  | 6583 | 6179 |
| 5.750% due 01/25/2036  | 122 | 59 |
| 5.750% due 05/25/2036  | 141 | 53 |
| 5.750% due 01/25/2037 (m)  | 7270 | 3457 |
| 5.750% due 04/25/2037 (m)  | 805 | 666 |
| 6.000% due 03/25/2035  | 282 | 126 |
| 6.000% due 11/25/2035  | 315 | 43 |
| 6.000% due 04/25/2036  | 605 | 266 |
| 6.000% due 08/25/2036  | 213 | 108 |
| 6.000% due 11/25/2036  | 205 | 108 |
| 6.000% due 12/25/2036  | 667 | 261 |
| 6.000% due 01/25/2037  | 525 | 433 |
| 6.000% due 01/25/2037 (m)  | 728 | 443 |
| 6.000% due 02/25/2037  | 2100 | 760 |
| 6.000% due 03/25/2037 (m)  | 10310 | 3817 |
| 6.000% due 04/25/2037 (m)  | 8725 | 3671 |
| 6.000% due 09/25/2037 (m)  | 7432 | 2401 |
| 6.250% due 12/25/2036 •  | 496 | 201 |
| 6.500% due 06/25/2036  | 338 | 155 |
| 6.500% due 11/25/2036 (m)  | 8376 | 2465 |
| 8.051% due 07/25/2035 •  | 47 | 43 |
| 13.366% due 05/25/2037 •  | 649 | 556 |
| **Countrywide Alternative Loan Trust Resecuritization** <br>7.000% due 01/25/2037 | 5021 | 834 |
| **Credit Suisse First Boston Mortgage Securities Corp.**  |  |  |
| 6.000% due 01/25/2036  | 235 | 135 |
| 7.500% due 05/25/2032  | 554 | 587 |
| **CSAB Mortgage-Backed Trust** <br>5.500% due 05/25/2037 (m) | 1791 | 1193 |
| **CSMC Mortgage-Backed Trust**  |  |  |
| 4.872% due 07/25/2036 •  | 406 | 60 |
| 6.000% due 07/25/2036  | 1669 | 757 |
| 6.396% due 04/25/2036 þ(m)  | 4009 | 2100 |
| 6.500% due 05/25/2036  | 2662 | 866 |
| **CSMC Trust**  |  |  |
| 0.000% due 10/25/2060 ~(a)  | 213321 | 6374 |
| 0.230% due 01/25/2060 ~(a)  | 195667 | 1921 |
| 0.387% due 10/25/2060 ~(a)  | 191504 | 3334 |
| 1.169% due 01/25/2060 ~(a)  | 237262 | 7646 |
| 1.865% due 02/27/2047 ~(m)  | 29481 | 10751 |
| 3.566% due 01/25/2060 ~  | 19707 | 10183 |
| 3.783% due 10/25/2060 ~  | 30103 | 17486 |
| 3.843% due 04/28/2037 ~(m)  | 1315 | 1227 |
| 3.904% due 11/10/2032 ~  | 2500 | 408 |
| 4.132% due 05/27/2036 ~(m)  | 1035 | 908 |
| 4.521% due 04/26/2035 ~(m)  | 5239 | 4808 |
| 4.662% due 07/26/2037 ~(m)  | 4636 | 4207 |
| 4.667% due 10/26/2036 ~(m)  | 7757 | 7227 |
| 4.791% due 06/25/2036 ~(m)  | 2053 | 1852 |
| 5.665% due 07/15/2038 •(m)  | 1000 | 911 |
| 5.735% due 01/15/2049 ~(m)  | 10300 | 7658 |
| 5.750% due 05/26/2037 (m)  | 10120 | 4491 |
| 6.344% due 07/15/2032 •(m)  | 3121 | 3107 |
| 6.500% due 07/26/2036 (m)  | 11413 | 2381 |
| 7.000% due 08/26/2036 (m)  | 14223 | 2542 |
| 7.165% due 07/15/2038 •(m)  | 15850 | 5301 |
| 7.744% due 07/15/2032 •(m)  | 7454 | 7421 |
| 8.165% due 07/15/2038 •(m)  | 13700 | 1924 |
| 8.794% due 07/15/2032 •(m)  | 15000 | 14933 |
| 9.794% due 07/15/2032 •(m)  | 8500 | 8308 |
| 32.994% due 11/25/2037 •  | 6233 | 5253 |
| 32.994% due 11/27/2037 •(m)  | 7859 | 6762 |
| **CSMC Trust Capital Certificates**  |  |  |
| 4.013% due 05/26/2036 ~(m)  | 2341 | 2032 |
| 4.215% due 09/26/2047 ~(m)  | 14911 | 6739 |
| 4.428% due 12/29/2037 ~(m)  | 2593 | 1301 |
| 7.000% due 08/27/2036 (m)  | 2930 | 1502 |
| **CSWF Corp.** <br>5.332% due 06/15/2034 •  | 489 | 475 |
| **DBGS Mortgage Trust**  |  |  |
| 5.043% due 06/15/2033 •(m)  | 1100 | 1052 |
| 5.228% due 06/15/2033 •(m)  | 1600 | 1479 |
| 5.660% due 10/15/2036 •(m)  | 1000 | 993 |
| 7.415% due 10/15/2036 •(m)  | 26404 | 22214 |
| **DBWF Mortgage Trust**  |  |  |
| 3.791% due 12/10/2036 (m)  | 22961 | 22609 |
| 3.935% due 12/10/2036 ~  | 8193 | 7882 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Deutsche** **Alt-A Securities, Inc. Mortgage Loan Trust**  |  |  |
| 4.422% due 02/25/2047 •  | 283 | 160 |
| 5.500% due 12/25/2035  | 388 | 329 |
| **Deutsche Alt-B Securities, Inc. Mortgage Loan Trust**  |  |  |
| 4.572% due 04/25/2037 •(m)  | 3242 | 2294 |
| 6.250% due 07/25/2036 ~  | 30 | 27 |
| **Deutsche Mortgage Securities, Inc. Mortgage Loan Trust** <br>5.500% due 09/25/2033 | 51 | 52 |
| **DOLP Trust**  |  |  |
| 3.704% due 05/10/2041 ~(m)  | 23000 | 17675 |
| 3.704% due 05/10/2041 ~  | 6000 | 5186 |
| **DSLA Mortgage Loan Trust** <br>4.428% due 04/19/2047 •  | 185 | 182 |
| **Ellington Financial Mortgage Trust**  |  |  |
| 0.000% due 02/25/2068 ~(a)  | 221048 | 3446 |
| 0.250% due 02/25/2068 ~(a)  | 221048 | 114 |
| 6.702% due 02/25/2068 ~(m)  | 29973 | 29614 |
| **Eurosail-U.K. PLC**  |  |  |
| 0.000% due 06/13/2045 ~  | 6 | 1106 |
| 2.854% due 03/13/2045 •(m)  | 7067 | 7258 |
| 5.355% (BP0003M + 1.250%) due 06/13/2045 ~(m)  | 14072 | 16630 |
| 5.705% due 09/13/2045 •(m)  | 15554 | 19639 |
| 5.855% (BP0003M + 1.750%) due 06/13/2045 ~(m)  | 8667 | 9566 |
| 6.355% due 09/13/2045 •(m)  | 11113 | 13462 |
| 7.605% (BP0003M + 3.500%) due 06/13/2045 ~(m)  | 3082 | 3142 |
| 7.955% due 09/13/2045 •(m)  | 9266 | 12528 |
| **Extended Stay America Trust** <br>7.964% due 07/15/2038 •(m) | $38706 | 38795 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 0.000% due 12/26/2049 (b)(h)  | 2 | 0 |
| 2.828% due 11/25/2036 •(a)  | 720 | 80 |
| 4.369% due 02/25/2036 ~  | 24 | 17 |
| 4.857% due 05/25/2036 ~  | 339 | 277 |
| 5.147% due 11/25/2036 ~  | 348 | 239 |
| 5.286% due 08/25/2035 ~  | 55 | 3 |
| 6.250% due 11/25/2036  | 55 | 14 |
| **First Horizon Mortgage Pass-Through Trust**  |  |  |
| 3.875% due 07/25/2037 ~  | 8 | 4 |
| 4.893% due 01/25/2037 ~  | 170 | 82 |
| 5.186% due 05/25/2037 ~  | 2248 | 897 |
| 5.500% due 08/25/2037  | 213 | 72 |
| **GC Pastor Hipotecario 5 FTA** <br>2.199% due 06/21/2046 •(m) | 11420 | 12426 |
| **GMACM Mortgage Loan Trust** <br>3.697% due 07/19/2035 ~ | $15 | 13 |
| **GreenPoint Mortgage Funding Trust**  |  |  |
| 4.632% due 01/25/2037 •  | 418 | 386 |
| 4.672% due 12/25/2046 •(m)  | 2092 | 2070 |
| **GS Mortgage Securities Corp. Trust**  |  |  |
| 3.871% due 02/10/2037  | 1501 | 1398 |
| 5.397% due 07/15/2035 •(m)  | 1298 | 882 |
| 5.447% due 11/15/2032 •  | 12334 | 12267 |
| 5.847% due 11/15/2032 •  | 8250 | 8215 |
| 6.447% due 11/15/2032 •  | 4540 | 4514 |
| 6.997% due 11/15/2032 •(m)  | 10358 | 10301 |
| **GS Mortgage-Backed Securities Trust**  |  |  |
| 0.000% due 07/25/2059 ~(a)  | 218221 | 2199 |
| 2.176% due 11/25/2065 ~(a)  | 359149 | 16006 |
| 2.272% due 10/25/2065 ~(a)  | 348983 | 15269 |
| 3.765% due 07/25/2059 ~(m)  | 20073 | 13807 |
| 7.508% due 11/25/2065 ~  | 4634 | 4212 |
| 7.512% due 10/25/2065 ~  | 4711 | 4335 |
| **GSC Capital Corp. Mortgage Trust** <br>4.632% due 05/25/2036 •(m) | 848 | 816 |
| **GSR Mortgage Loan Trust**  |  |  |
| 4.668% due 01/25/2036 ~  | 235 | 222 |
| 4.722% due 07/25/2037 •  | 227 | 52 |
| 5.519% due 12/25/2034 ~  | 6 | 6 |
| 6.000% due 09/25/2034  | 212 | 217 |
| 6.120% due 11/25/2035 ~  | 115 | 58 |
| 6.500% due 08/25/2036 •  | 589 | 152 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 4.007% due 08/19/2036 ~  | 36 | 31 |
| 4.548% due 01/25/2047 •  | 4078 | 3826 |
| 4.628% due 02/19/2046 •(m)  | 534 | 496 |
| 4.668% due 11/19/2036 •(m)  | 467 | 436 |
| 4.728% due 03/19/2036 •(m)  | 5849 | 5418 |
| 4.748% due 01/19/2036 •(m)  | 3883 | 2521 |
| 4.783% due 06/19/2045 •  | 889 | 399 |
| 4.808% due 06/19/2034 •  | 62 | 57 |
| 4.888% due 01/19/2035 •  | 91 | 73 |
| 5.225% due 06/20/2035 •(m)  | 3019 | 2777 |
| 5.600% due 06/20/2035 •  | 697 | 629 |
| **Hilton USA Trust** <br>2.828% due 11/05/2035 | 1000 | 838 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HomeBanc** **Mortgage Trust**  |  |  |
| 4.682% due 04/25/2037 ~(m)  | 1849 | 1667 |
| 4.772% due 03/25/2035 •(m)  | 2744 | 2255 |
| **HSI Asset Loan Obligation Trust** <br>6.000% due 06/25/2037 (m) | 1371 | 1238 |
| **IM Pastor 3 FTH** <br>2.169% due 03/22/2043 •(m) | 9291 | 9659 |
| **IM Pastor 4 FTA** <br>2.169% due 03/22/2044 •(m) | 14518 | 15272 |
| **Impac CMB Trust**  |  |  |
| 4.792% due 11/25/2035 •  | $68 | 62 |
| 4.992% due 10/25/2034 •  | 14 | 13 |
| **Impac Secured Assets Corp.** <br>5.132% due 03/25/2036 •(m) | 773 | 688 |
| **Impac Secured Assets Trust** <br>4.492% due 05/25/2037 •  | 2 | 1 |
| **IndyMac IMSC Mortgage Loan Trust** <br>3.839% due 06/25/2037 ~(m) | 2487 | 1503 |
| **IndyMac INDA Mortgage Loan Trust**  |  |  |
| 3.045% due 03/25/2037 ~  | 13 | 12 |
| 4.029% due 12/25/2036 ~  | 347 | 265 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 3.197% due 06/25/2037 ~  | 122 | 100 |
| 3.252% due 02/25/2035 ~  | 184 | 165 |
| 3.338% due 05/25/2037 ~(m)  | 1402 | 1127 |
| 3.953% due 11/25/2035 ~(m)  | 1968 | 1866 |
| 4.037% due 06/25/2036 ~(m)  | 458 | 407 |
| 4.073% due 11/25/2036 ~(m)  | 458 | 433 |
| 4.672% due 11/25/2046 •(m)  | 2819 | 2694 |
| 4.692% due 11/25/2036 •  | 86 | 82 |
| 4.732% due 04/25/2035 •  | 26 | 24 |
| 4.772% due 02/25/2037 •(m)  | 1831 | 1232 |
| 4.872% due 07/25/2036 •  | 274 | 179 |
| 5.072% due 08/25/2034 •  | 92 | 84 |
| 5.132% due 09/25/2034 •  | 159 | 139 |
| **Jefferies Resecuritization Trust** <br>6.000% due 12/26/2036 ~ | 3442 | 884 |
| **JP Morgan Alternative Loan Trust**  |  |  |
| 4.244% due 05/25/2036 ~  | 508 | 280 |
| 4.672% due 06/25/2037 •(m)  | 20534 | 7562 |
| 4.882% due 11/25/2036 ~  | 36 | 46 |
| 4.946% due 06/27/2037 •(m)  | 3977 | 2348 |
| 5.500% due 11/25/2036 ~  | 7 | 3 |
| 5.928% due 06/27/2037 ~(m)  | 13005 | 6244 |
| 6.000% due 12/25/2035  | 468 | 309 |
| 6.460% due 12/25/2036 þ(m)  | 1250 | 1264 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 1.974% due 01/05/2040  | 6870 | 6287 |
| 2.287% due 03/05/2042 (m)  | 2210 | 2061 |
| 3.990% due 12/05/2038 ~  | 8598 | 1223 |
| 4.128% due 07/05/2031 (m)  | 3360 | 3082 |
| 4.248% due 07/05/2033 (m)  | 8955 | 8519 |
| 4.379% due 07/05/2031 (m)  | 13293 | 10698 |
| 4.997% due 04/15/2037 •(m)  | 976 | 963 |
| 5.248% due 02/15/2035 •  | 6171 | 6126 |
| 5.439% due 07/05/2033 •  | 510 | 497 |
| 5.507% due 04/15/2037 •(m)  | 1464 | 1437 |
| 5.548% due 02/15/2035 •  | 9984 | 9826 |
| 5.739% due 07/05/2033 •(m)  | 3000 | 2544 |
| 5.748% due 02/15/2035 •  | 2106 | 2059 |
| 5.814% due 12/15/2036 •  | 7905 | 830 |
| 6.015% due 03/15/2036 •(m)  | 7900 | 5751 |
| 6.264% due 12/15/2036 •  | 3030 | 80 |
| 6.355% due 06/15/2038 •(m)  | 2000 | 1779 |
| 6.498% due 02/15/2035 •  | 699 | 677 |
| 7.014% due 12/15/2036 •  | 4800 | 24 |
| 7.235% due 10/05/2040 (m)  | 1000 | 1059 |
| 7.448% due 02/15/2035 •(m)  | 13987 | 13415 |
| 7.930% due 11/15/2038 •(m)  | 9000 | 9020 |
| 8.680% due 11/15/2038 •(m)  | 1500 | 1504 |
| 9.675% due 11/15/2038 •(m)  | 22700 | 22848 |
| **JP Morgan Mortgage Trust**  |  |  |
| 4.274% due 10/25/2036 ~  | 11 | 8 |
| 4.341% due 10/25/2036 ~  | 215 | 119 |
| 4.526% due 05/25/2036 ~  | 151 | 123 |
| 4.677% due 06/25/2037 ~(m)  | 1375 | 1083 |
| 5.456% due 07/25/2035 ~  | 12 | 12 |
| 6.000% due 08/25/2037  | 325 | 138 |
| **JP Morgan Resecuritization Trust**  |  |  |
| 6.000% due 09/26/2036 ~(m)  | 849 | 656 |
| 6.488% due 03/21/2037 ~  | 210 | 205 |
| 6.500% due 04/26/2036 ~(m)  | 3825 | 1169 |
| **Lansdowne Mortgage Securities No. 1 PLC** <br>2.474% due 06/15/2045 •  | 900 | 892 |
| **Lansdowne Mortgage Securities No. 2 PLC** <br>2.340% due 09/16/2048 •(m) | 4213 | 4739 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Lavender** **Trust**  |  |  |
| 6.000% due 11/26/2036 (m)  | $5383 | 5219 |
| 6.250% due 10/26/2036 (m)  | 3395 | 1526 |
| **Lehman Mortgage Trust**  |  |  |
| 5.739% due 04/25/2036 ~  | 165 | 103 |
| 6.000% due 08/25/2036  | 410 | 310 |
| 6.000% due 09/25/2036  | 323 | 145 |
| 6.000% due 01/25/2038  | 300 | 293 |
| 6.500% due 09/25/2037  | 3133 | 1158 |
| 7.250% due 09/25/2037 (m)  | 30402 | 8560 |
| **Lehman XS Trust**  |  |  |
| 4.832% due 07/25/2037 •(m)  | 22505 | 16252 |
| 5.172% due 08/25/2047 •  | 184 | 166 |
| 5.272% due 07/25/2047 •(m)  | 3349 | 3145 |
| **LUX** <br>6.841% due 08/15/2040 •  | 1136 | 1151 |
| **MASTR Adjustable Rate Mortgages Trust**  |  |  |
| 4.024% due 10/25/2034 ~  | 153 | 140 |
| 4.952% due 05/25/2047 •(m)  | 6289 | 5249 |
| **MASTR Alternative Loan Trust**  |  |  |
| 4.622% due 03/25/2036 •(m)  | 19917 | 1775 |
| 4.672% due 03/25/2036 •(m)  | 26326 | 2377 |
| 7.000% due 10/25/2047 (m)  | 10521 | 4123 |
| **Merrill Lynch Alternative Note Asset Trust** <br>6.000% due 05/25/2037 (m) | 2126 | 1627 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.440% due 03/25/2036 ~(m)  | 5350 | 2631 |
| 5.502% due 05/25/2036 ~(m)  | 804 | 759 |
| **MF1 Trust**  |  |  |
| 6.970% due 12/15/2034 •  | 475 | 476 |
| 8.370% due 12/15/2034 •(m)  | 2750 | 2729 |
| **MFA Trust** <br>4.039% due 04/25/2065 ~(m) | 14456 | 14065 |
| **MFT Mortgage Trust** <br>3.358% due 02/10/2042 | 556 | 456 |
| **Mill City Mortgage Loan Trust**  |  |  |
| 0.000% due 08/25/2058 ~(a)  | 45185 | 200 |
| 0.000% due 08/25/2058 ~  | 45185 | 3 |
| 0.000% due 08/25/2059 ~(a)  | 28898 | 557 |
| 0.000% due 11/25/2060 ~(a)  | 121006 | 2988 |
| 0.000% due 04/25/2066 ~(a)  | 65817 | 299 |
| 0.000% due 04/25/2066 (a)  | 65817 | 17 |
| 0.080% due 08/25/2059 ~(a)  | 25581 | 136 |
| 2.386% due 11/25/2060 ~  | 3865 | 2138 |
| 3.095% due 04/25/2066 ~(m)  | 7230 | 4780 |
| 3.095% due 04/25/2066 ~  | 5231 | 3042 |
| 3.250% due 08/25/2058 ~(m)  | 2759 | 1996 |
| 3.250% due 08/25/2059 ~(m)  | 5987 | 4843 |
| 3.653% due 08/25/2058 ~(m)  | 2759 | 1818 |
| 3.653% due 08/25/2058 ~  | 2682 | 1487 |
| 3.853% due 08/25/2059 ~(m)  | 1532 | 1075 |
| 3.853% due 08/25/2059 ~  | 4064 | 2226 |
| **Morgan Stanley Capital I Trust**  |  |  |
| 3.912% due 09/09/2032 (m)  | 25312 | 23020 |
| 5.215% due 12/15/2036 •(m)  | 6246 | 4808 |
| 5.298% due 11/15/2034 •  | 2430 | 2409 |
| 5.698% due 11/15/2034 •  | 12300 | 12072 |
| 5.765% due 12/15/2036 •  | 453 | 55 |
| 5.848% due 11/15/2034 •  | 6000 | 5833 |
| 6.509% due 12/15/2036 •(m)  | 18590 | 391 |
| 6.648% due 11/15/2034 •(m)  | 6183 | 5956 |
| 8.460% due 12/15/2038 •(m)  | 18000 | 15566 |
| 9.359% due 12/15/2038 •(m)  | 19500 | 16924 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 4.582% due 01/25/2035 •  | 171 | 163 |
| 4.612% due 05/25/2036 •  | 138 | 24 |
| 4.643% due 05/25/2036 ~  | 1254 | 475 |
| 5.252% due 07/25/2035 ~  | 387 | 315 |
| 5.750% due 12/25/2035  | 151 | 98 |
| 5.962% due 06/25/2036 ~  | 1654 | 421 |
| 6.000% due 08/25/2037  | 136 | 43 |
| 6.218% due 01/25/2035 ~  | 134 | 118 |
| **Morgan Stanley Re-REMICS Trust**  |  |  |
| 3.008% due 02/26/2037 •(m)  | 1596 | 1520 |
| 5.456% due 07/26/2035 ~(m)  | 3864 | 3799 |
| 5.805% due 09/26/2035 ~(m)  | 209 | 203 |
| 6.000% due 04/26/2036 (m)  | 5529 | 5575 |
| 7.306% due 03/26/2037 þ(m)  | 959 | 1006 |
| **Morgan Stanley Resecuritization Trust** <br>5.649% due 06/26/2035 ~(m) | 8901 | 6528 |
| **Morgan Stanley Residential Mortgage Loan Trust**  |  |  |
| 0.325% due 01/25/2070 ~(a)(m)  | 56445 | 280 |
| 0.375% due 12/25/2068 ~(a)  | 188142 | 600 |
| 1.358% due 01/25/2070 ~(a)(m)  | 56445 | 2138 |
| 1.560% due 12/25/2068 (a)(m)  | 188142 | 8764 |
| 7.141% due 01/25/2070 ~(m)  | 1900 | 1839 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 7.841% due 12/25/2068 ~(m)  | 4006 | 3880 |
| **Mortgage Equity Conversion Asset Trust** <br>4.000% due 07/25/2060 (m) | 1124 | 1070 |
| **Mortgage Funding PLC** <br>7.305% due 03/13/2046 •(m) | 1000 | 1350 |
| **MRCD Mortgage Trust** <br>4.250% due 12/15/2036 ~ | $3700 | 389 |
| **MSDB Trust** <br>3.427% due 07/11/2039 ~(m) | 34438 | 33020 |
| **MSSG Trust** <br>3.865% due 09/13/2039 ~ | 3780 | 3316 |
| **Natixis Commercial Mortgage Securities Trust**  |  |  |
| 3.047% due 08/15/2036  | 27810 | 25654 |
| 3.655% due 08/15/2036  | 1775 | 1599 |
| 4.193% due 04/10/2037 ~  | 5880 | 3165 |
| 4.544% due 08/15/2036 ~  | 900 | 347 |
| **New Orleans Hotel Trust**  |  |  |
| 5.487% due 04/15/2032 •  | 6425 | 6348 |
| 5.787% due 04/15/2032 •(m)  | 1200 | 1178 |
| 6.237% due 04/15/2032 •(m)  | 13642 | 13373 |
| **New Residential Mortgage Loan Trust**  |  |  |
| 0.250% due 09/25/2064 ~(a)  | 553388 | 3289 |
| 2.343% due 09/25/2064 ~(a)(m)  | 553388 | 22549 |
| 3.844% due 11/25/2059 ~(m)  | 8300 | 4919 |
| 7.642% due 09/25/2064 ~(m)  | 16143 | 14623 |
| **Newgate Funding PLC**  |  |  |
| 3.264% due 12/15/2050 •(m)  | 916 | 1049 |
| 3.514% due 12/15/2050 •(m)  | 1750 | 1911 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>4.592% due 10/25/2036 •(m) | $824 | 707 |
| **Nomura Resecuritization Trust** <br>4.413% due 09/26/2035 ~(m) | 2980 | 2633 |
| **NovaStar Mortgage Funding Trust** <br>0.398% due 09/25/2046 •  | 91 | 84 |
| **NYO Commercial Mortgage Trust**  |  |  |
| 5.360% due 11/15/2038 •(m)  | 2000 | 1995 |
| 5.810% due 12/15/2038 •(m)  | 2200 | 2187 |
| **PRET LLC** <br>5.249% due 10/25/2055 « | 8100 | 8096 |
| **PRETM Trust** <br>0.000% due 04/25/2065 (h) | 16014 | 13768 |
| **Prime Mortgage Trust**  |  |  |
| 4.622% due 06/25/2036 •(m)  | 1127 | 818 |
| 7.000% due 07/25/2034  | 27 | 26 |
| **PRPM LLC**  |  |  |
| 5.503% due 08/25/2030 þ  | 3189 | 3196 |
| 5.729% due 07/25/2030 þ  | 985 | 986 |
| 6.255% due 05/25/2030 þ  | 932 | 934 |
| **RALI Trust**  |  |  |
| 4.572% due 02/25/2037 •  | 250 | 221 |
| 4.632% due 07/25/2036 •(m)  | 7571 | 2435 |
| 4.652% due 05/25/2037 •(m)  | 5839 | 5504 |
| 4.692% due 06/25/2037 •(m)  | 576 | 516 |
| 5.153% due 01/25/2046 •(m)  | 2526 | 1972 |
| 5.500% due 04/25/2037  | 36 | 29 |
| 6.000% due 08/25/2035 (m)  | 471 | 420 |
| 6.000% due 12/25/2035 (m)  | 934 | 813 |
| 6.000% due 06/25/2036  | 120 | 98 |
| 6.000% due 09/25/2036 (m)  | 2774 | 1065 |
| 6.000% due 11/25/2036 (m)  | 1194 | 953 |
| 6.000% due 01/25/2037  | 177 | 141 |
| 6.250% due 02/25/2037 (m)  | 1752 | 1460 |
| 6.500% due 09/25/2037 (m)  | 621 | 519 |
| 7.000% due 10/25/2037 (m)  | 3906 | 3132 |
| **RBSSP Resecuritization Trust**  |  |  |
| 5.162% due 05/26/2037 ~(m)  | 2747 | 1437 |
| 5.231% due 09/26/2035 ~(m)  | 2921 | 1552 |
| 5.359% due 07/26/2045 ~(m)  | 8117 | 8093 |
| 6.000% due 03/26/2036 ~(m)  | 3309 | 1646 |
| 6.000% due 06/26/2037 ~  | 237 | 211 |
| **Regal Trust IV** <br>4.433% due 09/29/2031 •  | 1 | 1 |
| **Residential Asset Mortgage Products Trust** <br>8.000% due 05/25/2032 | 187 | 120 |
| **Residential Asset Securitization Trust**  |  |  |
| 5.500% due 07/25/2035  | 550 | 318 |
| 6.000% due 08/25/2036  | 6248 | 1603 |
| 6.000% due 02/25/2037  | 167 | 64 |
| 6.000% due 03/25/2037  | 2803 | 857 |
| 6.000% due 07/25/2037 (m)  | 6206 | 2260 |
| 6.250% due 08/25/2037  | 4048 | 943 |
| 6.500% due 08/25/2036  | 10264 | 2850 |
| 6.750% due 08/25/2036  | 10334 | 2979 |
| **RFMSI Trust**  |  |  |
| 5.720% due 07/27/2037 ~  | 88 | 70 |
| 5.850% due 11/25/2035  | 39 | 27 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 6.000% due 04/25/2037  | 318 | 245 |
| 6.000% due 06/25/2037  | 144 | 115 |
| **RiverView HECM Trust** <br>4.110% due 05/25/2047 •  | 2162 | 1894 |
| **Seasoned Loans Structured Transaction Trust** <br>6.080% due 09/25/2060 ~(m) | 254612 | 175890 |
| **Sequoia Mortgage Trust**  |  |  |
| 4.150% due 01/20/2038 ~  | 69 | 55 |
| 4.990% due 07/20/2036 •  | 70 | 13 |
| 5.239% due 02/20/2034 •  | 87 | 79 |
| **Sequoia Mortgage Trust 10** <br>5.450% due 10/20/2027 •  | 50 | 43 |
| **Sequoia Mortgage Trust 9** <br>6.265% due 09/20/2032 ~ | 138 | 135 |
| **SFO Commercial Mortgage Trust**  |  |  |
| 5.414% due 05/15/2038 •(m)  | 18150 | 18034 |
| 5.764% due 05/15/2038 •(m)  | 2120 | 2103 |
| 6.064% due 05/15/2038 •(m)  | 1760 | 1744 |
| **SG Commercial Mortgage Securities Trust** <br>4.660% due 02/15/2041 ~(m) | 9000 | 7447 |
| **SMRT Commercial Mortgage Trust** <br>6.851% due 01/15/2039 •(m) | 30200 | 29966 |
| **Soho Trust**  |  |  |
| 2.786% due 08/10/2038 ~(m)  | 16930 | 13470 |
| 2.786% due 08/10/2038 ~  | 3500 | 2477 |
| **STARM Mortgage Loan Trust** <br>6.614% due 02/25/2037 ~(m) | 709 | 655 |
| **Starwood Mortgage Residential Trust**  |  |  |
| 3.935% due 11/25/2066 ~  | 100 | 78 |
| 3.935% due 11/25/2066 ~(m)  | 400 | 300 |
| **Starwood Mortgage Trust**  |  |  |
| 7.415% due 04/15/2034 •(m)  | 13424 | 13329 |
| 8.415% due 04/15/2034 •(m)  | 6612 | 6598 |
| **Stratton Hawksmoor PLC**  |  |  |
| 5.986% due 02/25/2053 •(m)  | 1967 | 2624 |
| 6.736% due 02/25/2053 •(m)  | 4300 | 5735 |
| **Stratton Mortgage Funding PLC**  |  |  |
| 0.000% due 06/28/2050 (b)(h)  | 3433 | 3735 |
| 0.000% due 06/28/2050 (h)  | 0 | 473 |
| 0.000% due 06/20/2060 (b)(h)  | 3784 | 4083 |
| 0.000% due 06/20/2060 (h)  | 0 | 2433 |
| 7.987% due 06/20/2060 •  | 378 | 526 |
| 8.987% due 06/28/2050 •  | 167 | 221 |
| 8.987% due 06/20/2060 •  | 378 | 537 |
| **Structured Adjustable Rate Mortgage Loan Trust**  |  |  |
| 4.153% due 02/25/2037 ~(m)  | $4534 | 2969 |
| 4.322% due 01/25/2036 ~  | 499 | 269 |
| 4.359% due 03/25/2036 ~(m)  | 21309 | 12037 |
| 4.587% due 08/25/2036 ~  | 2256 | 533 |
| 4.826% due 04/25/2047 ~  | 990 | 373 |
| **Structured Asset Mortgage Investments II Trust**  |  |  |
| 4.612% due 03/25/2037 •  | 675 | 60 |
| 4.652% due 07/25/2046 •(m)  | 7513 | 5294 |
| 4.692% due 05/25/2036 •(m)  | 1293 | 912 |
| 4.692% due 08/25/2036 •(m)  | 635 | 528 |
| 4.732% due 05/25/2045 •  | 44 | 42 |
| 4.741% due 02/25/2036 ~  | 2610 | 1130 |
| **Structured Asset Securities Corp. Mortgage Pass-Through Certificates** <br>5.114% due 01/25/2034 ~ | 57 | 56 |
| **Suntrust Alternative Loan Trust** <br>2.878% due 04/25/2036 •(a) | 3885 | 594 |
| **TBW Mortgage-Backed Trust**  |  |  |
| 6.000% due 07/25/2036  | 204 | 66 |
| 6.500% due 07/25/2036  | 18349 | 3804 |
| **TDA 27 FTA** <br>2.170% due 12/28/2050 •(m) | 4421 | 4704 |
| **TDA 28 FTA** <br>2.148% due 10/28/2050 •(m) | 6716 | 4399 |
| **Towd Point Mortgage Trust**  |  |  |
| 0.000% due 12/25/2058 (a)  | $503079 | 0 |
| 0.000% due 12/25/2058 (b)(h)  | 46177 | 5975 |
| 0.000% due 10/25/2059 (a)(k)  | 315271 | 0 |
| 0.000% due 01/25/2060 (a)  | 63850 | 589 |
| 3.869% due 10/25/2059 ~  | 16263 | 8448 |
| 4.000% due 01/25/2060 ~  | 618 | 566 |
| 4.500% due 10/25/2059 ~  | 4984 | 4256 |
| 4.545% due 01/25/2060 ~  | 3097 | 2324 |
| **VASA Trust**  |  |  |
| 5.165% due 07/15/2039 •(m)  | 1000 | 980 |
| 8.165% due 07/15/2039 •(m)  | 4435 | 3493 |
| **Verus Securitization Trust**  |  |  |
| 0.305% due 05/25/2065 ~(a)  | 414593 | 2678 |
| 0.963% due 05/25/2065 ~(a)  | 414593 | 15064 |
| 6.400% due 05/25/2065 ~  | 9662 | 8930 |
| 7.782% due 06/25/2069 ~  | 1000 | 1003 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **VNDO** **Trust** <br>4.033% due 01/10/2035 ~(m) | 4814 | 4637 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.825% due 03/25/2037 ~  | 202 | 170 |
| 4.037% due 06/25/2037 ~(m)  | 535 | 471 |
| 4.046% due 03/25/2037 ~(m)  | 1295 | 1157 |
| 4.099% due 11/25/2036 ~  | 76 | 67 |
| 4.108% due 02/25/2037 ~(m)  | 1269 | 1092 |
| 4.128% due 07/25/2037 ~(m)  | 804 | 648 |
| 4.197% due 07/25/2037 ~  | 426 | 391 |
| 4.554% due 08/25/2036 ~(m)  | 788 | 734 |
| 4.812% due 07/25/2045 •  | 77 | 74 |
| 4.903% due 06/25/2047 •  | 1140 | 953 |
| 4.951% due 07/25/2047 •  | 335 | 290 |
| 4.963% due 07/25/2047 •(m)  | 9436 | 8000 |
| 5.033% due 10/25/2046 •  | 180 | 157 |
| 5.112% due 06/25/2044 •  | 63 | 63 |
| 5.113% due 09/25/2046 •(m)  | 2177 | 1847 |
| 5.201% due 07/25/2046 •(m)  | 1978 | 1808 |
| 5.781% due 03/25/2033 ~  | 19 | 18 |
| **Warwick Finance Residential Mortgages Number Three PLC**  |  |  |
| 0.000% due 12/21/2049 (h)  | 0 | 1913 |
| 6.636% due 12/21/2049 •  | 646 | 866 |
| 7.136% due 12/21/2049 •  | 646 | 859 |
| **Washington Mutual Mortgage Pass-Through Certificates WMALT Trust**  |  |  |
| 4.752% due 01/25/2047 •(m)  | $6347 | 5745 |
| 4.872% due 07/25/2036 •(m)  | 2721 | 1995 |
| 5.003% due 10/25/2046 •  | 225 | 197 |
| 5.123% due 06/25/2046 •(m)  | 4430 | 2469 |
| 5.750% due 11/25/2035 (m)  | 667 | 643 |
| 6.000% due 04/25/2037 (m)  | 1054 | 946 |
| 6.467% due 05/25/2036 þ(m)  | 2923 | 2586 |
| **Washington Mutual MSC Mortgage Pass-Through Certificates Trust** <br>3.725% due 06/25/2033 ~ | 59 | 55 |
| **Wells Fargo Alternative Loan Trust**  |  |  |
| 5.750% due 07/25/2037  | 149 | 131 |
| 6.443% due 07/25/2037 ~(m)  | 1072 | 997 |
| 6.500% due 07/25/2037 (m)  | 2510 | 2204 |
| **Wells Fargo Commercial Mortgage Trust** <br>5.575% due 09/15/2040 ~ | 500 | 504 |
| **Wells Fargo Mortgage Loan Trust**  |  |  |
| 4.245% due 03/27/2037 ~(m)  | 2952 | 1621 |
| 6.085% due 04/27/2036 ~(m)  | 2292 | 2170 |
| **Wells Fargo Mortgage-Backed Securities Trust**  |  |  |
| 6.000% due 06/25/2037  | 42 | 39 |
| 6.470% due 09/25/2036 ~  | 3 | 3 |
| 6.502% due 10/25/2036 ~  | 3 | 3 |
| **Worldwide Plaza Trust** <br>3.715% due 11/10/2036 ~ | 8000 | 897 |
| **WSTN Trust**  |  |  |
| 0.341% due 07/05/2037 ~(a)  | 515000 | 1945 |
| 7.958% due 07/05/2037 ~(m)  | 11200 | 11395 |
| 8.748% due 07/05/2037 ~(m)  | 11200 | 11279 |
| 10.174% due 07/05/2037 ~(m)  | 16010 | 16251 |
| Total Non-Agency Mortgage-Backed Securities (Cost $2,580,222) |  | 2455657 |
| **ASSET-BACKED SECURITIES 17.0%**  |  |  |
| **AUTOMOBILE ABS OTHER 0.3%**  |  |  |
| **Ally Bank Auto Credit-Linked Notes** <br>11.395% due 09/15/2032 | 592 | 605 |
| **Exeter Automobile Receivables Trust**  |  |  |
| 0.000% due 07/15/2033 «(h)  | 27 | 12290 |
| 0.000% due 12/15/2033 «(h)  | 25 | 1425 |
| **Flagship Credit Auto Trust**  |  |  |
| 0.000% due 12/15/2027 «(h)  | 9 | 405 |
| 0.000% due 06/15/2029 «(h)  | 3 | 0 |
| **Huntington Bank Auto Credit-Linked Notes**  |  |  |
| 8.389% due 10/20/2032 •  | 444 | 449 |
| 11.889% due 10/20/2032 •  | 518 | 524 |
| **Santander Bank Auto Credit-Linked Notes**  |  |  |
| 7.762% due 06/15/2032  | 1040 | 1052 |
| 10.171% due 06/15/2032  | 2226 | 2273 |
| 13.030% due 06/15/2032  | 1932 | 1978 |
| **SBNA Auto Receivables Trust** <br>8.710% due 06/15/2033 | 900 | 918 |
|  |  | 21919 |
| **AUTOMOBILE SEQUENTIAL 0.3%**  |  |  |
| **CPS Auto Securitization Trust** <br>11.000% due 06/16/2032 « | 17003 | 17294 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HOME EQUITY OTHER 9.2%**  |  |  |
| **Aames Mortgage Investment Trust** <br>5.187% due 10/25/2035 •(m) | 2200 | 2090 |
| **ABFC Trust**  |  |  |
| 4.832% due 10/25/2033 •  | 132 | 130 |
| 5.217% due 07/25/2034 •(m)  | 264 | 264 |
| 5.247% due 06/25/2035 •(m)  | 3334 | 3167 |
| 5.322% due 03/25/2034 •  | 387 | 380 |
| 5.322% due 03/25/2035 •(m)  | 246 | 218 |
| 5.442% due 03/25/2035 •  | 415 | 317 |
| **ACE Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.492% due 12/25/2036 •(m)  | 20570 | 5166 |
| 4.977% due 05/25/2035 •(m)  | 187 | 186 |
| 5.232% due 08/25/2035 •(m)  | 5097 | 4304 |
| 5.262% due 05/25/2035 •(m)  | 887 | 715 |
| 5.367% due 07/25/2035 •(m)  | 17938 | 17348 |
| **Aegis Asset-Backed Securities Trust**  |  |  |
| 4.992% due 08/25/2035 •  | 145 | 143 |
| 5.232% due 08/25/2035 •  | 2225 | 352 |
| 5.247% due 06/25/2035 •  | 3000 | 906 |
| **Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates** <br>6.372% due 09/25/2034 •(m) | 740 | 729 |
| **Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 3.267% due 09/25/2032 •(m)  | 1148 | 1042 |
| 5.142% due 11/25/2035 •(m)  | 4300 | 4041 |
| 5.187% due 09/25/2035 •(m)  | 1557 | 1541 |
| 5.217% due 07/25/2035 •(m)  | 82 | 81 |
| 5.217% due 11/25/2035 •(m)  | 1200 | 1048 |
| 5.217% due 01/25/2036 •(m)  | 3996 | 3738 |
| 5.247% due 05/25/2035 •(m)  | 862 | 838 |
| 5.292% due 01/25/2036 •(m)  | 3900 | 3450 |
| 5.997% due 05/25/2034 •  | 126 | 124 |
| 5.997% due 08/25/2035 •(m)  | 6362 | 6205 |
| 7.122% due 08/25/2032 •  | 136 | 138 |
| **Argent Securities Trust**  |  |  |
| 4.422% due 09/25/2036 •(m)  | 7235 | 2334 |
| 4.472% due 06/25/2036 •(m)  | 6310 | 1721 |
| 4.512% due 04/25/2036 •  | 982 | 308 |
| 4.572% due 06/25/2036 •  | 3552 | 969 |
| 4.652% due 03/25/2036 •(m)  | 9569 | 5364 |
| **Argent Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 4.962% due 11/25/2035 •(m)  | 14851 | 13233 |
| 4.962% due 01/25/2036 •(m)  | 1089 | 1171 |
| 5.032% due 02/25/2036 •(m)  | 19112 | 15588 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.270% due 11/25/2035 •(m)  | 2439 | 2378 |
| 5.277% due 04/25/2035 •  | 63 | 70 |
| 5.292% due 05/25/2035 •(m)  | 829 | 820 |
| 5.352% due 04/25/2035 •(m)  | 900 | 829 |
| **Bear Stearns Asset-Backed Securities I Trust**  |  |  |
| 2.709% due 09/25/2034 •  | 68 | 68 |
| 4.552% due 12/25/2036 •(m)  | 7430 | 7560 |
| 4.808% due 04/25/2035 •(m)  | 1284 | 1289 |
| 5.201% due 12/25/2035 •(m)  | 2869 | 2817 |
| 5.292% due 10/25/2035 •(m)  | 457 | 457 |
| **Carrington Mortgage Loan Trust**  |  |  |
| 4.352% due 03/25/2035 •  | 525 | 403 |
| 4.692% due 12/26/2036 •(m)  | 13201 | 11618 |
| **CIT Mortgage Loan Trust** <br>6.897% due 10/25/2037 •  | 15000 | 14890 |
| **Citigroup Mortgage Loan Trust, Inc.**  |  |  |
| 4.472% due 05/25/2037 •  | 390 | 265 |
| 4.572% due 12/25/2036 •(m)  | 16075 | 6045 |
| 4.592% due 09/25/2036 •(m)  | 9610 | 7434 |
| 4.592% due 12/25/2036 •(m)  | 10346 | 5829 |
| 4.712% due 12/25/2036 •(m)  | 11778 | 4442 |
| 5.247% due 10/25/2035 •(m)  | 2298 | 1613 |
| **Countrywide Asset-Backed Certificates**  |  |  |
| 4.552% due 03/25/2037 •(m)  | 9726 | 8951 |
| 4.662% due 01/25/2046 •(m)  | 36059 | 29260 |
| 4.952% due 12/25/2036 •  | 252 | 209 |
| 5.172% due 03/25/2047 •(m)  | 860 | 678 |
| 5.262% due 05/25/2035 •  | 125 | 124 |
| 5.367% due 05/25/2035 •  | 430 | 424 |
| 5.372% due 05/25/2047 •(m)  | 4223 | 3576 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 4.366% due 10/25/2032 ~(m)  | 0 | 328 |
| 4.489% due 05/25/2036 •  | 820 | 641 |
| 4.672% due 06/25/2037 •(m)  | 15909 | 16059 |
| 4.752% due 03/25/2036 •(m)  | 12305 | 11271 |
| 4.752% due 05/25/2036 •(m)  | 3395 | 2928 |
| 4.772% due 11/25/2047 •(m)  | 3497 | 3151 |
| 4.857% due 04/25/2036 •(m)  | 8762 | 8356 |
| 5.382% due 08/25/2035 •(m)  | 799 | 792 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.442% due 04/25/2036 •(m)  | 3913 | 3503 |
| 6.297% due 11/25/2035 •(m)  | 6296 | 4570 |
| 6.867% due 09/25/2046 þ(m)  | 6151 | 4430 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>5.322% due 02/25/2031 •(m) | 610 | 597 |
| **EMC Mortgage Loan Trust** <br>7.647% due 04/25/2042 •(m) | 1665 | 1639 |
| **Encore Credit Receivables Trust**  |  |  |
| 4.962% due 07/25/2035 •  | 244 | 239 |
| 5.007% due 07/25/2035 •  | 270 | 253 |
| 5.322% due 07/25/2035 •  | 697 | 585 |
| **FBR Securitization Trust**  |  |  |
| 5.202% due 09/25/2035 •(m)  | 6500 | 5862 |
| 5.247% due 11/25/2035 •  | 3644 | 2108 |
| **Fieldstone Mortgage Investment Trust** <br>4.612% due 07/25/2036 •(m) | 3848 | 2092 |
| **Fremont Home Loan Trust**  |  |  |
| 4.422% due 01/25/2037 •(m)  | 2666 | 1234 |
| 4.752% due 02/25/2037 •  | 1069 | 332 |
| 4.947% due 01/25/2036 •(m)  | 4700 | 3937 |
| 5.232% due 04/25/2035 •(m)  | 4300 | 3745 |
| 5.337% due 06/25/2035 •  | 1185 | 1173 |
| **GMACM Home Equity Loan Trust** <br>6.749% due 12/25/2037 þ(m) | 471 | 465 |
| **GS Mortgage-Backed Securities Trust**  |  |  |
| 3.770% due 09/25/2055 ~(a)  | 281668 | 21094 |
| 9.245% due 09/25/2055 ~  | 8591 | 8591 |
| **GSAMP Trust**  |  |  |
| 4.332% due 01/25/2037 •(m)  | 2357 | 1447 |
| 4.362% due 01/25/2037 •  | 703 | 432 |
| 4.412% due 12/25/2036 •  | 739 | 395 |
| 4.522% due 12/25/2036 •(m)  | 3448 | 1707 |
| 4.592% due 04/25/2036 •  | 387 | 260 |
| 4.672% due 11/25/2036 •(m)  | 3080 | 1439 |
| 4.812% due 04/25/2036 •(m)  | 13792 | 9359 |
| 5.922% due 10/25/2034 •  | 97 | 99 |
| **Home Equity Mortgage Loan Asset-Backed Trust**  |  |  |
| 4.432% due 11/25/2036 •(m)  | 2397 | 2197 |
| 4.512% due 04/25/2037 •(m)  | 15138 | 10295 |
| 4.592% due 04/25/2037 •(m)  | 2119 | 1885 |
| 4.684% due 12/25/2031 þ  | 452 | 292 |
| 4.977% due 03/25/2036 •  | 1026 | 827 |
| **HSI Asset Securitization Corp. Trust**  |  |  |
| 4.462% due 01/25/2037 •(m)  | 25824 | 18523 |
| 4.492% due 12/25/2036 •  | 19086 | 4754 |
| 4.592% due 10/25/2036 •(m)  | 6224 | 2234 |
| 4.612% due 12/25/2036 •(m)  | 11691 | 2783 |
| **IXIS Real Estate Capital Trust** <br>5.247% due 09/25/2035 •(m) | 1423 | 1519 |
| **JP Morgan Mortgage Acquisition Corp.** <br>5.172% due 09/25/2035 •(m) | 2300 | 2089 |
| **JP Morgan Mortgage Acquisition Trust**  |  |  |
| 4.432% due 08/25/2036 •  | 5 | 2 |
| 4.572% due 07/25/2036 •(m)  | 2476 | 1150 |
| 4.592% due 07/25/2036 •  | 920 | 254 |
| 5.462% due 09/25/2029 þ(m)  | 2266 | 1363 |
| 5.888% due 10/25/2036 þ(m)  | 6209 | 3732 |
| **Lehman ABS Mortgage Loan Trust** <br>4.362% due 06/25/2037 •(m) | 3135 | 2091 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.652% due 02/25/2036 •(m)  | 16192 | 14285 |
| 4.812% due 05/25/2046 •(m)  | 7676 | 2279 |
| 4.977% due 11/25/2035 •(m)  | 48673 | 47135 |
| 5.187% due 08/25/2035 •(m)  | 3400 | 3113 |
| 5.397% due 04/25/2035 •(m)  | 6500 | 6363 |
| **MASTR Asset-Backed Securities Trust**  |  |  |
| 4.492% due 08/25/2036 •(m)  | 2507 | 887 |
| 4.572% due 03/25/2036 •(m)  | 4540 | 2718 |
| 4.612% due 06/25/2036 •(m)  | 3319 | 3090 |
| 4.632% due 02/25/2036 •(m)  | 5751 | 2097 |
| 4.752% due 06/25/2036 •  | 2449 | 834 |
| 4.812% due 12/25/2035 •(m)  | 13634 | 11450 |
| 4.842% due 01/25/2036 •  | 103 | 103 |
| 5.172% due 10/25/2035 •(m)  | 1553 | 1442 |
| 5.247% due 05/25/2035 •  | 139 | 149 |
| 5.277% due 03/25/2035 •  | 1366 | 1366 |
| 5.292% due 03/25/2035 •  | 763 | 611 |
| 5.322% due 05/25/2035 •(m)  | 1200 | 1198 |
| 5.352% due 03/25/2035 •  | 1707 | 1576 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 5.217% due 02/25/2036 •  | 529 | 531 |
| 5.307% due 02/25/2036 •  | 180 | 174 |
| **Morgan Stanley ABS Capital I, Inc. Trust**  |  |  |
| 4.342% due 10/25/2036 •  | 2010 | 884 |
| 4.372% due 11/25/2036 •  | 1078 | 635 |
| 4.392% due 09/25/2036 •  | 3087 | 1065 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.412% due 10/25/2036 •(m)  | 6784 | 2983 |
| 4.422% due 11/25/2036 •(m)  | 11755 | 6932 |
| 4.492% due 10/25/2036 •(m)  | 3269 | 1438 |
| 4.572% due 06/25/2036 •(m)  | 4201 | 2107 |
| 4.572% due 06/25/2036 •  | 424 | 373 |
| 4.572% due 09/25/2036 •(m)  | 6203 | 2139 |
| 4.602% due 02/25/2037 •(m)  | 4114 | 1817 |
| 5.307% due 01/25/2035 •(m)  | 6379 | 5907 |
| 5.307% due 03/25/2035 •(m)  | 859 | 780 |
| 5.367% due 01/25/2035 •(m)  | 927 | 808 |
| **Morgan Stanley Capital I, Inc. Trust** <br>4.632% due 03/25/2036 •  | 9 | 8 |
| **Morgan Stanley Home Equity Loan Trust** <br>4.502% due 04/25/2037 •(m) | 19562 | 10168 |
| **New Century Home Equity Loan Trust**  |  |  |
| 4.917% due 12/25/2035 •(m)  | 941 | 910 |
| 4.947% due 12/25/2035 •(m)  | 2195 | 1927 |
| 5.052% due 03/25/2035 •(m)  | 525 | 524 |
| 5.217% due 06/25/2035 •(m)  | 427 | 453 |
| 5.247% due 06/25/2035 •(m)  | 1067 | 1057 |
| 5.292% due 06/25/2035 •(m)  | 1342 | 1338 |
| 5.397% due 03/25/2035 •(m)  | 813 | 806 |
| 7.272% due 01/25/2033 •  | 169 | 148 |
| **Nomura Home Equity Loan, Inc. Home Equity Loan Trust**  |  |  |
| 4.832% due 07/25/2036 •(m)  | 3500 | 3009 |
| 4.932% due 10/25/2036 •  | 4047 | 734 |
| 5.187% due 05/25/2035 •(m)  | 1980 | 1559 |
| **NovaStar Mortgage Funding Trust** <br>4.612% due 11/25/2036 •  | 999 | 309 |
| **Option One Mortgage Loan Trust**  |  |  |
| 4.402% due 07/25/2037 •(m)  | 18161 | 11879 |
| 4.552% due 01/25/2037 •  | 233 | 151 |
| 4.552% due 01/25/2037 •(m)  | 6964 | 4092 |
| 4.602% due 04/25/2037 •(m)  | 1858 | 912 |
| 4.712% due 01/25/2037 •  | 1420 | 835 |
| 4.772% due 03/25/2037 •  | 454 | 225 |
| 5.662% due 01/25/2037 þ  | 1 | 1 |
| **Ownit Mortgage Loan Trust**  |  |  |
| 3.150% due 10/25/2035 þ(m)  | 3180 | 1789 |
| 5.172% due 10/25/2036 •  | 2412 | 2388 |
| **Park Place Securities, Inc.** <br>5.217% due 09/25/2035 •(m) | 2200 | 1970 |
| **Park Place Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 4.992% due 05/25/2035 •(m)  | 120 | 120 |
| 5.247% due 07/25/2035 •(m)  | 1600 | 1382 |
| 6.147% due 10/25/2034 •(m)  | 1195 | 1073 |
| **People's Choice Home Loan Securities Trust** <br>5.247% due 05/25/2035 •(m) | 900 | 616 |
| **RAAC Trust** <br>6.897% due 05/25/2046 •(m) | 17151 | 17017 |
| **Renaissance Home Equity Loan Trust** <br>5.612% due 04/25/2037 þ | 3152 | 808 |
| **Residential Asset Mortgage Products Trust**  |  |  |
| 5.022% due 04/25/2034 •(m)  | 830 | 834 |
| 5.142% due 04/25/2034 •(m)  | 248 | 250 |
| 5.847% due 04/25/2034 •(m)  | 993 | 997 |
| 6.252% due 04/25/2034 •(m)  | 1738 | 1827 |
| **Residential Asset Securities Corporation Trust**  |  |  |
| 4.532% due 11/25/2036 •(m)  | 3575 | 3335 |
| 4.612% due 10/25/2036 •(m)  | 2050 | 1906 |
| 4.752% due 08/25/2036 •(m)  | 7585 | 6742 |
| 4.767% due 04/25/2036 •(m)  | 6177 | 5335 |
| 4.932% due 12/25/2035 •(m)  | 5772 | 5095 |
| 5.217% due 12/25/2035 •(m)  | 1786 | 1372 |
| **Saxon Asset Securities Trust**  |  |  |
| 1.209% due 11/25/2035 •(m)  | 7747 | 5849 |
| 4.579% due 03/25/2035 •(m)  | 5096 | 2860 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.552% due 07/25/2036 •  | 2138 | 1840 |
| 4.592% due 07/25/2036 •  | 2547 | 841 |
| 4.732% due 02/25/2037 •  | 207 | 93 |
| 4.947% due 01/25/2035 •  | 5 | 5 |
| **Soundview Home Loan Trust**  |  |  |
| 4.422% due 06/25/2037 •(m)  | 2707 | 1807 |
| 4.552% due 06/25/2037 •(m)  | 4907 | 3276 |
| 4.632% due 02/25/2037 •(m)  | 6680 | 1787 |
| 4.792% due 02/25/2037 •(m)  | 7752 | 2083 |
| 5.202% due 11/25/2035 •(m)  | 3 | 3 |
| 5.222% due 10/25/2037 •(m)  | 3521 | 2731 |
| 5.247% due 11/25/2035 •(m)  | 1134 | 1124 |
| 5.372% due 09/25/2037 •(m)  | 1368 | 1155 |
| **Structured Asset Securities Corp.** <br>10.272% due 05/25/2032 •(m) | 3788 | 3493 |
| **UCFC Home Equity Loan Trust** <br>7.750% due 04/15/2030 ~ | 252 | 255 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Wells** **Fargo Home Equity Asset-Backed Securities Trust** <br>4.677% due 01/25/2037 •(m) | 9625 | 9796 |
|  |  | 656669 |
| **HOME EQUITY SEQUENTIAL 0.0%**  |  |  |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>6.072% due 08/25/2037 •  | 7 | 8 |
| **MANUFACTURING HOUSE ABS OTHER 0.3%**  |  |  |
| **Access Financial Manufactured Housing Contract Trust** <br>7.650% due 05/15/2049 | 200 | 1 |
| **Conseco Finance Securitizations Corp.**  |  |  |
| 8.060% due 09/01/2029 ~  | 2914 | 380 |
| 9.163% due 03/01/2033 ~  | 7684 | 7785 |
| 9.546% due 12/01/2033 ~  | 4497 | 4429 |
| **GreenPoint Manufactured Housing** <br>9.230% due 12/15/2029 ~ | 3850 | 3887 |
| **Mid-State Capital Corp. Trust** <br>6.742% due 10/15/2040 (m) | 1678 | 1704 |
| **Oakwood Mortgage Investors, Inc.** <br>8.490% due 10/15/2030 | 1133 | 1113 |
|  |  | 19299 |
| **MANUFACTURING HOUSE SEQUENTIAL 0.1%**  |  |  |
| **BCMSC Trust** <br>7.830% due 06/15/2030 ~ | 3549 | 239 |
| **Conseco Finance Corp.**  |  |  |
| 6.530% due 02/01/2031 ~  | 268 | 243 |
| 7.060% due 02/01/2031 ~  | 1164 | 1075 |
| 7.500% due 03/01/2030 ~  | 5892 | 1566 |
| **Conseco Finance Securitizations Corp.**  |  |  |
| 7.770% due 09/01/2031 þ  | 168 | 171 |
| 7.960% due 05/01/2031  | 1457 | 279 |
| 8.260% due 12/01/2030 ~  | 4584 | 771 |
| 8.850% due 12/01/2030 ~  | 5630 | 677 |
| **Oakwood Mortgage Investors, Inc.** <br>7.840% due 11/15/2029 ~ | 473 | 479 |
|  |  | 5500 |
| **WHOLE LOAN COLLATERAL 1.1%**  |  |  |
| **Bear Stearns Asset-Backed Securities I Trust**  |  |  |
| 6.000% due 12/25/2035  | 228 | 123 |
| 6.500% due 03/25/2037 þ(m)  | 8792 | 8024 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 4.938% due 10/25/2036 ~  | 107 | 83 |
| 5.037% due 07/25/2036 ~  | 5 | 5 |
| 5.125% due 10/25/2036 ~  | 2323 | 1008 |
| **Citigroup Mortgage Loan Trust, Inc.**  |  |  |
| 4.972% due 11/25/2046 •(m)  | 4267 | 3584 |
| 6.352% due 05/25/2036 þ  | 343 | 123 |
| 6.423% due 03/25/2036 þ  | 1291 | 610 |
| 6.851% due 05/25/2036 þ  | 1994 | 716 |
| **Countrywide Asset-Backed Certificates** <br>4.752% due 04/25/2036 •  | 292 | 266 |
| **First Franklin Mortgage Loan Trust**  |  |  |
| 4.842% due 02/25/2036 •(m)  | 5382 | 5085 |
| 5.217% due 09/25/2035 •(m)  | 5835 | 5420 |
| 5.247% due 05/25/2036 •(m)  | 13671 | 12449 |
| 5.322% due 03/25/2035 •(m)  | 2101 | 1989 |
| **GSAMP Trust** <br>6.147% due 06/25/2034 •(m) | 1253 | 1175 |
| **Lehman XS Trust**  |  |  |
| 4.247% due 05/25/2037 ~(m)  | 5493 | 4696 |
| 6.670% due 06/24/2046 þ  | 141 | 159 |
| **Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates** <br>5.322% due 04/25/2035 •(m) | 468 | 467 |
| **PRET LLC**  |  |  |
| 5.391% due 08/25/2055 þ  | 1680 | 1682 |
| 5.657% due 08/25/2055 þ  | 978 | 982 |
| 5.732% due 08/25/2055 þ  | 969 | 972 |
| 5.744% due 06/25/2055 þ  | 1441 | 1449 |
| 6.170% due 07/25/2051 þ  | 2177 | 2177 |
| 7.844% due 07/25/2051 þ  | 3023 | 3026 |
| 8.967% due 09/25/2051 þ  | 4236 | 4241 |
| **Residential Asset Mortgage Products Trust** <br>4.701% due 08/25/2033 •  | 265 | 264 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.772% due 05/25/2036 •(m)  | 13853 | 7498 |
| 4.872% due 11/25/2035 •(m)  | 8710 | 7486 |
| 4.932% due 08/25/2035 •(m)  | 1240 | 944 |
| 5.247% due 12/25/2034 •(m)  | 475 | 411 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Specialty** **Underwriting & Residential Finance Trust**  |  |  |
| 3.687% due 02/25/2037 þ  | 2313 | 750 |
| 4.004% due 06/25/2037 •(m)  | 2804 | 1411 |
| 4.972% due 03/25/2037 •  | 257 | 133 |
|  |  | 79408 |
| **OTHER ABS 5.7%**  |  |  |
| **ABSLT DE LLC** <br>12.840% due 05/20/2033 «~ | 57200 | 58132 |
| **Acacia CDO 5 Ltd.** <br>8.350% due 11/08/2039 •  | 8674 | 1915 |
| **Adagio VI CLO DAC** <br>0.000% due 04/30/2031 ~ | 1343 | 365 |
| **AIM Aviation Finance Ltd.** <br>6.213% due 02/15/2040 þ(m) | $867 | 832 |
| **Apex Credit CLO LLC** <br>0.000% due 10/20/2034 ~ | 20050 | 10300 |
| **C-BASS CBO XVI Corp.** <br>7.750% due 09/06/2041 •  | 98373 | 501 |
| **Carlyle Global Market Strategies CLO Ltd.** <br>0.000% due 04/17/2031 ~ | 2900 | 419 |
| **CIFC Funding Ltd.** <br>0.000% due 04/24/2030 ~ | 3390 | 564 |
| **College Avenue Student Loans Trust**  |  |  |
| 0.000% due 06/25/2054 «(h)  | 21 | 11306 |
| 6.610% due 06/25/2054  | 2647 | 2747 |
| 8.660% due 06/25/2054  | 3811 | 4072 |
| **Cologix Canadian Issuer LP** <br>7.740% due 01/25/2052 | 2000 | 1404 |
| **Cork Street CLO DAC** <br>0.000% due 11/27/2028 ~ | 1401 | 193 |
| **Coronado CDO Ltd.**  |  |  |
| 5.922% due 09/04/2038 •  | $22515 | 6538 |
| 6.000% due 09/04/2038  | 3567 | 1170 |
| **Deutsche Bank AG** <br>0.000% due 01/21/2035 «•  | 18900 | 18900 |
| **Dryden 123 CLO Ltd.** <br>0.000% due 04/15/2038 ~ | 8400 | 7862 |
| **Duke Funding VI Ltd.** <br>8.000% due 04/08/2039 •  | 7546 | 595 |
| **ECAF I Ltd.**  |  |  |
| 3.473% due 06/15/2040  | 522 | 452 |
| 4.947% due 06/15/2040  | 3454 | 3117 |
| **Euromax V ABS PLC** <br>2.343% due 11/10/2095 •  | 2616 | 2997 |
| **FAB U.K. Ltd.** <br>0.000% due 12/06/2045 ~ | 15806 | 4143 |
| **FREED ABS Trust** <br>0.000% due 09/20/2027 «(h) | $10 | 3 |
| **Glacier Funding CDO III Ltd.** <br>7.770% due 08/04/2035 •  | 31282 | 2504 |
| **GreenSky Home Improvement Issuer Trust** <br>8.750% due 10/27/2059 | 500 | 518 |
| **Hillcrest CDO I Ltd.** <br>4.731% due 12/10/2039 •  | 32573 | 5665 |
| **Hout Bay Corp.**  |  |  |
| 4.716% due 07/05/2041 •  | 109166 | 17773 |
| 4.916% due 07/05/2041 •  | 4871 | 5 |
| 5.046% due 07/05/2041 ^•(e)  | 1690 | 0 |
| **KGS-Alpha SBA COOF Trust** <br>1.058% due 04/25/2038 «~(a) | 497 | 10 |
| **Labrador Aviation Finance Ltd.** <br>4.300% due 01/15/2042 (m) | 2024 | 1974 |
| **LendingPoint Asset Securitization Trust** <br>5.990% due 10/15/2029 | 506 | 503 |
| **LendingPoint Pass-Through Trust**  |  |  |
| 0.000% due 03/15/2028 «(h)  | 1400 | 161 |
| 0.000% due 04/15/2028 «(h)  | 1700 | 243 |
| **Madison Park Funding XXIII Ltd.** <br>0.000% due 07/27/2047 ~ | 5600 | 1712 |
| **Man GLG U.S. CLO Ltd.** <br>0.000% due 07/15/2034 ~ | 6450 | 3391 |
| **Marble Point CLO XXIII Ltd.** <br>0.000% due 01/22/2052 ~ | 17150 | 7156 |
| **Margate Funding Ltd.**  |  |  |
| 7.830% due 12/04/2044 •  | 14352 | 2612 |
| 8.100% due 12/04/2044 ^•(e)  | 14026 | 0 |
| **Marlette Funding Trust**  |  |  |
| 0.000% due 07/16/2029 «(h)  | 16 | 1 |
| 0.000% due 09/17/2029 «(h)  | 35 | 3 |
| 0.000% due 03/15/2030 «(h)  | 33 | 49 |
| 0.000% due 09/16/2030 «(h)  | 9 | 142 |
| **National Collegiate V Commutation Trust** <br>0.000% due 03/25/2038 •(m) | 135030 | 20023 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **OCP** **CLO Ltd.** <br>0.000% due 07/20/2037 ~ | 11 | 3519 |
| **Pagaya AI Debt Grantor Trust**  |  |  |
| 0.000% due 04/15/2032 «~  | 700 | 383 |
| 5.617% due 04/15/2032 «  | 779 | 781 |
| 5.823% due 04/15/2032 «  | 450 | 451 |
| 6.261% due 04/15/2032 «  | 470 | 471 |
| 10.273% due 04/15/2032 «  | 580 | 567 |
| **Pagaya AI Debt Selection Trust** <br>3.270% due 05/15/2029 | 277 | 273 |
| **Palisades CDO Ltd.** <br>8.450% due 07/22/2039 •  | 6540 | 2471 |
| **Putnam Structured Product Funding Ltd.** <br>5.665% due 10/15/2038 •  | 689 | 368 |
| **Reach ABS Trust** <br>7.750% due 08/16/2032 | 500 | 513 |
| **Rockford Tower CLO Ltd.**  |  |  |
| 0.000% due 10/15/2029 ~  | 11667 | 2330 |
| 0.000% due 10/20/2030 ~  | 4967 | 743 |
| 0.000% due 10/20/2031 ~  | 4967 | 642 |
| 0.000% due 04/20/2034 ~  | 22000 | 8330 |
| **Segovia European CLO DAC** <br>0.000% due 04/15/2035 ~ | 1400 | 506 |
| **SLM Student Loan EDC Repackaging Trust** <br>0.000% due 10/28/2029 «(h) | $36 | 12337 |
| **SLM Student Loan Trust** <br>0.000% due 01/25/2042 «(h) | 31 | 5795 |
| **SMB Private Education Loan Trust**  |  |  |
| 0.000% due 10/15/2048 «(h)  | 8 | 1851 |
| 0.000% due 09/15/2054 «(h)  | 34396 | 40329 |
| 0.000% due 11/16/2054 «(h)  | 5 | 4441 |
| 0.000% due 02/16/2055 «(h)  | 9 | 9642 |
| **Soloso CDO Ltd.** <br>4.867% due 10/07/2037 •  | 17418 | 14196 |
| **South Coast Funding V Ltd.** <br>5.566% due 08/06/2039 •  | 3678 | 1158 |
| **South Coast Funding VII Ltd.**  |  |  |
| 0.454% due 01/06/2041 •  | 168577 | 31159 |
| 0.644% due 01/06/2041 •  | 10259 | 1 |
| 0.794% due 01/06/2041 •  | 2565 | 0 |
| **Start II Ltd.** <br>4.089% due 03/15/2044 (m) | 461 | 458 |
| **Stream Innovations Issuer Trust** <br>6.270% due 07/15/2044 | 334 | 348 |
| **Taberna Preferred Funding V Ltd.** <br>4.963% due 08/05/2036 •  | 11894 | 10823 |
| **Talon Funding Ltd.** <br>7.990% due 06/05/2035 •  | 676 | 109 |
| **Tropic CDO V Ltd.** <br>4.899% due 07/15/2036 •  | 3297 | 3174 |
| **Verde CDO Ltd.** <br>4.770% due 10/05/2045 •  | 240688 | 45954 |
|  |  | 407095 |
| Total Asset-Backed Securities (Cost $1,719,201) |  | 1207192 |
| **SOVEREIGN ISSUES 5.3%**  |  |  |
| **Argentina Bonar Bonds**  |  |  |
| 0.750% due 07/09/2030 þ(m)  | 25350 | 12986 |
| 4.125% due 07/09/2035 þ  | 21344 | 10040 |
| **Argentina Republic Government International Bonds**  |  |  |
| 0.750% due 07/09/2030 þ  | 400 | 271 |
| 1.000% due 07/09/2029 (m)  | 4241 | 3079 |
| 3.500% due 07/09/2041 þ(m)  | 17060 | 8311 |
| 4.125% due 07/09/2035 þ(m)  | 14400 | 7591 |
| 4.125% due 07/09/2046 þ  | 220 | 115 |
| 5.000% due 01/09/2038 þ(m)  | 76360 | 43067 |
| **Avenir Issuer IV Ireland DAC** <br>6.000% due 10/25/2027 | 6938 | 6696 |
| **Dominican Republic International Bonds**  |  |  |
| 10.500% due 03/15/2037 (m)  | 3584000 | 61730 |
| 10.750% due 06/01/2036  | 76600 | 1335 |
| **Ecuador Government International Bonds**  |  |  |
| 0.000% due 07/31/2030 (h)(m)  | $11400 | 8803 |
| 6.900% due 07/31/2030 þ(m)  | 17686 | 15758 |
| **Egypt Government International Bonds** <br>6.375% due 04/11/2031 (m) | 13100 | 14774 |
| **El Salvador Government International Bonds** <br>9.250% due 04/17/2030 (m) | $13500 | 14766 |
| **Ghana Government International Bonds**  |  |  |
| 0.000% due 07/03/2026 (h)(m)  | 182 | 176 |
| 0.000% due 01/03/2030 (h)(m)  | 548 | 471 |
| 5.000% due 07/03/2029 þ(m)  | 2756 | 2690 |
| 5.000% due 07/03/2035 þ(m)  | 3963 | 3350 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Peru** **Government Bonds**  |  |  |
| 5.350% due 08/12/2040  | 100 | 26 |
| 6.150% due 08/12/2032  | 5 | 1 |
| **Peru Government International Bonds**  |  |  |
| 5.400% due 08/12/2034  | 1 | 0 |
| 6.900% due 08/12/2037  | 15 | 4 |
| 6.950% due 08/12/2031  | 4 | 1 |
| **Romania Government International Bonds**  |  |  |
| 5.125% due 09/24/2031  | 3090 | 3624 |
| 5.250% due 05/30/2032  | 200 | 235 |
| 5.375% due 03/22/2031 (m)  | 2620 | 3135 |
| 5.625% due 02/22/2036 (m)  | 860 | 983 |
| 5.625% due 05/30/2037  | 3200 | 3597 |
| 5.875% due 07/11/2032  | 21200 | 25504 |
| 6.250% due 09/10/2034  | 53000 | 64216 |
| 6.375% due 09/18/2033 (m)  | 2600 | 3205 |
| **Russia Foreign Bonds - Eurobond**  |  |  |
| 5.100% due 03/28/2035 «  | $600 | 0 |
| 5.625% due 04/04/2042  | 10200 | 7140 |
| 5.875% due 09/16/2043  | 200 | 137 |
| **Turkiye Government Bonds**  |  |  |
| 40.854% (BISTREFI) due 09/06/2028 ~  | 1484300 | 34808 |
| 42.493% (BISTREFI) due 05/20/2026 ~  | 1700 | 41 |
| 42.493% (BISTREFI) due 08/19/2026 ~  | 1300 | 32 |
| 42.493% (BISTREFI) due 05/17/2028 ~  | 276200 | 6537 |
| **Ukraine Government International Bonds**  |  |  |
| 0.000% due 02/01/2030 þ(i)  | $605 | 319 |
| 0.000% due 02/01/2034 þ(i)  | 2262 | 942 |
| 0.000% due 02/01/2035 þ(i)  | 1912 | 932 |
| 0.000% due 02/01/2036 þ(i)  | 1593 | 775 |
| 4.500% due 02/01/2034 þ  | 3223 | 1810 |
| 4.500% due 02/01/2035 þ  | 3879 | 2143 |
| 4.500% due 02/01/2036 þ  | 3980 | 2169 |
| **Venezuela Government International Bonds** <br>9.250% due 09/15/2027 ^(e) | 734 | 179 |
| Total Sovereign Issues (Cost $368,426) |  | 378504 |
|  | SHARES |  |
| **COMMON STOCKS 1.8%**  |  |  |
| **COMMUNICATION SERVICES 0.6%**  |  |  |
| **Clear Channel Outdoor Holdings, Inc. (f)** | 4853248 | 7668 |
| **iHeartMedia, Inc. Class A (f)** | 2021190 | 5801 |
| **Promotora de Informaciones SA Class A (f)** | 4079279 | 1763 |
| **SES SA «(f)** | 1755353 | 20890 |
| **Uniti Group, Inc. (f)** | 959341 | 5871 |
|  |  | 41993 |
| **CONSUMER DISCRETIONARY 0.0%**  |  |  |
| **Caesars Entertainment, Inc. (f)** | 2 | 0 |
| **Desarrolladora Homex SAB de CV «(f)** | 719113 | 0 |
| **West Marine «(f)(k)** | 43000 | 272 |
|  |  | 272 |
| **CONSUMER STAPLES 0.0%**  |  |  |
| **Steinhoff International Holdings NV «(f)(k)** | 299163217 | 0 |
| **FINANCIALS 1.1%**  |  |  |
| **Banca Monte dei Paschi di Siena SpA** | 6139000 | 54344 |
| **Corestate Capital Holding SA «(f)(k)** | 843935 | 0 |
| **Intelsat SA «(f)(k)** | 1755353 | 0 |
| **MNSN Holdings, Inc. (f)(k)** | 25645 | 1539 |
| **UBS Group AG** | 12342 | 504 |
| **Unity Bancorp, Inc. «(f)** | 3783475 | 21267 |
| **XBP Global Holdings, Inc. (f)** | 53987 | 44 |
|  |  | 77698 |
| **INDUSTRIALS 0.1%**  |  |  |
| **Foresea Holdings SA «** | 263557 | 5710 |
| **Mcdermott International Ltd. (f)** | 4683 | 93 |
| **Westmoreland Mining Holdings «(f)(k)** | 238883 | 90 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Westmoreland** **Mining LLC «(f)(k)** | 240987 | 271 |
|  |  | 6164 |
| Total Common Stocks (Cost $193,115) |  | 126127 |
| **WARRANTS 0.1%**  |  |  |
| **CONSUMER DISCRETIONARY 0.0%**  |  |  |
| **West Marine - Exp. 09/11/2028 «** | 5580 | 0 |
| **FINANCIALS 0.1%**  |  |  |
| **Windstream Holdings II LLC - Exp. 10/25/2059 «** | 737041 | 4136 |
| Total Warrants (Cost $4,490) |  | 4136 |
| **PREFERRED SECURITIES 2.3%**  |  |  |
| **BANKING & FINANCE 0.9%**  |  |  |
| **ADLER Group SA** « | 10224514 | 0 |
| **AGFC Capital Trust I**<br>6.329% (US0003M + 1.750%) due 01/15/2067 ~(m) | 35500000 | 23999 |
| **American AgCredit Corp.**<br>5.250% due 06/15/2026 •(j)(m) | 10000000 | 9877 |
| **Capital Farm Credit ACA**<br>5.000% due 03/15/2026 •(j)(m) | 4300000 | 4270 |
| **Compeer Financial ACA**<br>4.875% due 08/15/2026 •(j)(m) | 1900000 | 1858 |
| **Windstream Holdings II LLC**<br>11.000% «(f) | 24136 | 24137 |
|  |  | 64141 |
| **INDUSTRIALS 1.4%**  |  |  |
| **Atlas Re Ltd.** « | 528 | 56139 |
| **Clover Holdings, Inc.**<br>0.000% «(k) | 157800 | 3103 |
| **OCP CLO Ltd.**<br>0.000% due 04/26/2036 ~ | 4645 | 1881 |
| **SVB Financial Trust**  |  |  |
| 0.000% due 11/07/2032 (h) | 167720 | 20 |
| 11.000% due 11/07/2032 | 29233 | 15932 |
| **Syniverse Holdings, Inc.**<br>12.500% «(k) | 22170889 | 21616 |
|  |  | 98691 |
| Total Preferred Securities (Cost $161,505) |  | 162832 |
| **REAL ESTATE INVESTMENT TRUSTS 0.3%**  |  |  |
| **REAL ESTATE 0.3%**  |  |  |
| **VICI Properties, Inc.** | 711293 | 23195 |
| Total Real Estate Investment Trusts (Cost $8,657) |  | 23195 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 3.0%**  |  |  |
| **REPURCHASE AGREEMENTS (l) 2.3%** |  | 166689 |
| **NIGERIA TREASURY BILLS 0.1%**  |  |  |
| 33.141% due 06/11/2026 - 06/12/2026 (g)(h) | 6754900 | 4007 |
| **U.S. TREASURY BILLS 0.6%**  |  |  |
| 4.147% due 10/09/2025 - 01/27/2026 (g)(h)(p) | $38766 | 38525 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total Short-Term Instruments (Cost $208,840) |  | <br> 209221 |
| Total Investments in Securities (Cost $9,914,274) |  | 8972352 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 14.1%**  |  |  |
| **COMMON STOCKS 4.4%**  |  |  |
| **AFFILIATED INVESTMENTS 4.4%**  |  |  |
| **AmSurg Corp. «(k)** | 3517243 | 158792 |
| **Incora New Equity «(k)** | 2316329 | 92976 |
| **Market Garden «(k)** | 61012050 | 62118 |
| **OI SA** | 24221572 | 2412 |
| **Sierra Hamilton Holder LLC «(k)** | 30337712 | 3 |
|  |  | 316301 |
| Total Common Stocks (Cost $328,186) |  | 316301 |
| **SHORT-TERM INSTRUMENTS 9.7%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 9.7%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 71093682 | 692381 |
| Total Short-Term Instruments (Cost $692,177) |  | 692381 |
| Total Investments in Affiliates (Cost $1,020,363) |  | 1008682 |
| Total Investments 140.4% (Cost $10,934,637) |  | $9981034 |
| **Financial Derivative Instruments (n)(o) (0.2)**%(Cost or Premiums, net $36,525) |  | (10338) |
| Other Assets and Liabilities, net (40.2)% |  | (2861212) |
| Net Assets 100.0% |  | $7109484 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| 0 | 44 | 85 | 130 | 144 | 179 | 207 |
| **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **µ** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** |
| **(c)** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** |
| **(d)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(e)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(f)** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** |
| **(g)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(h)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(i)** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** |
| **(j)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(k)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Acquisition<br>Date | Cost | Cost | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets |
| AmSurg Corp. | AmSurg Corp. | 11/02/2023 - 11/06/2023 | 146968 | 146968 | 158792 | 2.24 |
| Clover Holdings, Inc. | Clover Holdings, Inc. | 12/09/2024 - 03/10/2025 | 2367 | 2367 | 3103 | 0.04 |
| Corestate Capital Holding SA | Corestate Capital Holding SA | 08/22/2023 | 0 | 0 | 0 | 0.00 |
| Incora New Equity | Incora New Equity | 01/31/2025 | 112516 | 112516 | 92975 | 1.31 |
| Incora Top Holdco LLC 6.000% due 01/30/2033 | Incora Top Holdco LLC 6.000% due 01/30/2033 | 01/31/2025 - 08/01/2025 | 51205 | 51205 | 82844 | 1.17 |
| Intelsat SA | Intelsat SA | 09/05/2018 - 08/29/2025 | 53057 | 53057 | 0 | 0.00 |
| MNSN Holdings, Inc. | MNSN Holdings, Inc. | 03/16/2023 - 03/29/2023 | 285 | 285 | 1539 | 0.02 |
| Market Garden | Market Garden | 03/13/2024 | 61012 | 61012 | 62118 | 0.87 |
| Sierra Hamilton Holder LLC | Sierra Hamilton Holder LLC | 07/31/2017 | 7690 | 7690 | 3 | 0.00 |
| Steinhoff International Holdings NV | Steinhoff International Holdings NV | 06/30/2023 - 10/30/2023 | 0 | 0 | 0 | 0.00 |
| Syniverse Holdings, Inc. | Syniverse Holdings, Inc. | 05/12/2022 - 05/30/2025 | 21864 | 21864 | 21616 | 0.30 |
| Towd Point Mortgage Trust 0.000% due 10/25/2059 | Towd Point Mortgage Trust 0.000% due 10/25/2059 | 05/28/2025 | 117 | 117 | 0 | 0.00 |
| Ubisoft Entertainment SA 3.561% due 12/22/2025 | Ubisoft Entertainment SA 3.561% due 12/22/2025 | 03/11/2025 | 5927 | 5927 | 6389 | 0.10 |
| West Marine | West Marine | 09/12/2023 | 618 | 618 | 272 | 0.00 |
| Westmoreland Mining Holdings | Westmoreland Mining Holdings | 12/08/2014 - 03/26/2019 | 6949 | 6949 | 90 | 0.00 |
| Westmoreland Mining LLC | Westmoreland Mining LLC | 06/30/2023 | 1597 | 1597 | 271 | 0.00 |
|  |  |  | 472172 | 472172 | 430012 | 6.05%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(l)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| JPS | $166689 | &nbsp;&nbsp; U.S. Treasury Bonds 1.375% - 3.875% due 08/15/2040 - 11/15/2040 | &nbsp;&nbsp; U.S. Treasury Bonds 1.375% - 3.875% due 08/15/2040 - 11/15/2040 | (169268) | 166689 | 175775 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  | $**(169268)** | $**166689** | $**175775** |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **REVERSE** **REPURCHASE AGREEMENTS:** | **REVERSE** **REPURCHASE AGREEMENTS:** | **REVERSE** **REPURCHASE AGREEMENTS:** | **REVERSE** **REPURCHASE AGREEMENTS:** | **REVERSE** **REPURCHASE AGREEMENTS:** | **REVERSE** **REPURCHASE AGREEMENTS:** |
| Counterparty | Borrowing Rate<sup>(3)</sup> | Settlement Date | Maturity Date | Amount<br>Borrowed<sup>(3)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BCY | 4.500%  | 10/01/2025 | 10/01/2027 | $(14097) | $(14097) |
| BNY | 5.260  | 07/24/2025 | 01/23/2026 | (83478) | (84339) |
|  | 5.260  | 08/01/2025 | 02/02/2026 | (50307) | (50769) |
|  | 5.260  | 09/30/2025 | 03/27/2026 | (18273) | (18276) |
| BOS | 4.860  | 09/24/2025 | 01/23/2026 | (14689) | (14703) |
|  | 5.160  | 09/24/2025 | 01/23/2026 | (11008) | (11019) |
|  | 5.260  | 09/24/2025 | 01/23/2026 | (3046) | (3050) |
| BPS | 1.750  | 09/01/2025 | TBD<sup>(4)</sup> | (1050) | (1234) |
|  | 3.800  | 09/19/2025 | TBD<sup>(4)</sup> | $(1060) | (1061) |
|  | 4.380  | 09/19/2025 | TBD<sup>(4)</sup> | (3886) | (3892) |
|  | 4.480  | 09/19/2025 | TBD<sup>(4)</sup> | (12567) | (12586) |
|  | 4.550  | 09/24/2025 | 12/24/2025 | (1189) | (1190) |
|  | 4.630  | 09/12/2025 | 12/12/2025 | (900) | (902) |
|  | 4.660  | 09/12/2025 | 12/12/2025 | (3056) | (3064) |
|  | 4.707  | 09/24/2025 | 01/26/2026 | (7656) | (10305) |
|  | 4.870  | 07/14/2025 | 10/14/2025 | $(19695) | (19905) |
|  | 4.910  | 08/13/2025 | 02/11/2026 | (18696) | (18825) |
|  | 5.090  | 07/25/2025 | 01/22/2026 | (4905) | (4953) |
|  | 5.240  | 07/25/2025 | 01/22/2026 | (2129) | (2151) |
|  | 5.340  | 08/13/2025 | 02/11/2026 | (1219) | (1228) |
|  | 5.370  | 07/25/2025 | 01/22/2026 | (698) | (705) |
|  | 5.380  | 08/13/2025 | 02/11/2026 | (3986) | (4016) |
|  | 5.390  | 07/25/2025 | 01/22/2026 | (117996) | (119224) |
|  | 5.390  | 08/13/2025 | 02/11/2026 | (29036) | (29256) |
| BRC | 1.500  | 09/29/2025 | TBD<sup>(4)</sup> | (2689) | (3157) |
|  | 2.080  | 07/07/2025 | TBD<sup>(4)</sup> | (733) | (865) |
|  | 2.150  | 09/29/2025 | TBD<sup>(4)</sup> | (3737) | (4388) |
|  | 3.974  | 10/01/2025 | 01/05/2026 | $(334) | (334) |
|  | 4.080  | 09/19/2025 | TBD<sup>(4)</sup> | (2296) | (2299) |
|  | 4.300  | 09/19/2025 | TBD<sup>(4)</sup> | (3901) | (3906) |
|  | 4.350  | 09/19/2025 | TBD<sup>(4)</sup> | (1229) | (1231) |
|  | 4.500  | 09/26/2025 | 09/18/2027 | (15559) | (15568) |
|  | 4.590  | 09/22/2025 | 10/14/2025 | (3154) | (3158) |
|  | 4.730  | 09/17/2025 | 12/17/2025 | (19440) | (19475) |
|  | 4.790  | 07/07/2025 | 10/06/2025 | (7781) | (7870) |
|  | 4.983  | 10/01/2025 | 02/02/2026 | (61133) | (61133) |
|  | 5.113  | 09/26/2025 | 12/29/2025 | (20865) | (28081) |
|  | 5.160  | 09/02/2025 | 01/06/2026 | $(14559) | (14622) |
|  | 5.210  | 04/04/2025 | 10/01/2025 | (25591) | (26258) |
|  | 5.230  | 10/01/2025 | 12/30/2025 | (10788) | (10788) |
|  | 5.260  | 04/04/2025 | 10/01/2025 | (18350) | (18833) |
|  | 5.260  | 08/25/2025 | 12/23/2025 | (132480) | (133223) |
|  | 5.260  | 08/29/2025 | 10/01/2025 | (537) | (540) |
|  | 5.300  | 07/03/2025 | 10/01/2025 | (335) | (339) |
|  | 5.310  | 04/04/2025 | 10/01/2025 | (19195) | (19704) |
|  | 5.330  | 10/01/2025 | 12/30/2025 | (27822) | (27822) |
|  | 5.360  | 04/04/2025 | 10/01/2025 | (19407) | (19928) |
|  | 5.360  | 08/12/2025 | 12/10/2025 | (5599) | (5641) |
|  | 5.360  | 08/29/2025 | 10/01/2025 | (36956) | (37143) |
|  | 5.360  | 09/09/2025 | 01/07/2026 | (1717) | (1723) |
|  | 5.360  | 09/25/2025 | 01/26/2026 | (8411) | (8418) |
|  | 5.400  | 08/27/2025 | 12/01/2025 | (11651) | (11712) |
|  | 5.420  | 07/10/2025 | 10/10/2025 | (17512) | (17731) |
|  | 5.430  | 10/01/2025 | 12/30/2025 | (1183) | (1183) |
|  | 5.440  | 08/05/2025 | 11/05/2025 | (1400) | (1412) |
|  | 5.460  | 08/29/2025 | 10/01/2025 | (1189) | (1195) |
| BYR | 4.610  | 09/03/2025 | 11/03/2025 | (90250) | (90586) |
|  | 4.660  | 07/10/2025 | 10/10/2025 | (4577) | (4628) |
|  | 4.660  | 07/21/2025 | 10/21/2025 | (32769) | (33085) |
|  | 4.710  | 09/08/2025 | 01/08/2026 | (42626) | (42762) |
|  | 4.710  | 09/30/2025 | 10/01/2025 | (10111) | (10112) |
|  | 4.710  | 10/01/2025 | 01/08/2026 | (8305) | (8305) |
|  | 4.740  | 09/30/2025 | 10/21/2025 | (628) | (628) |
|  | 4.960  | 09/30/2025 | 01/08/2026 | (231) | (231) |
| CDC | 4.480  | 10/01/2025 | 01/05/2026 | (5243) | (5243) |
|  | 4.630  | 10/01/2025 | 01/23/2026 | (14136) | (14136) |
|  | 4.660  | 09/11/2025 | 01/09/2026 | (4149) | (4160) |
|  | 4.660  | 09/18/2025 | 01/16/2026 | (18647) | (18680) |
|  | 4.660  | 09/22/2025 | 01/20/2026 | (22160) | (22185) |
|  | 4.660  | 09/25/2025 | 01/23/2026 | (1553) | (1554) |
|  | 4.660  | 09/30/2025 | 01/23/2026 | (372) | (373) |
|  | 4.790  | 07/03/2025 | 10/01/2025 | (5240) | (5303) |
|  | 4.790  | 07/28/2025 | 10/28/2025 | (10618) | (10710) |
|  | 4.790  | 09/04/2025 | 10/28/2025 | (1745) | (1751) |
|  | 4.960  | 09/11/2025 | 01/09/2026 | (7217) | (7236) |
|  | 5.030  | 08/08/2025 | 10/08/2025 | (547) | (551) |
|  | 5.060  | 09/11/2025 | 01/09/2026 | (12014) | (12046) |
|  | 5.110  | 09/11/2025 | 01/09/2026 | (523) | (525) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | 5.130  | 08/08/2025 | 10/08/2025 | (3948) | (3978) |
|  | 5.160  | 08/11/2025 | 12/09/2025 | (465) | (469) |
|  | 5.210  | 09/11/2025 | 01/09/2026 | (1565) | (1569) |
| CEW | 5.575  | 04/24/2025 | 10/20/2025 | (2820) | (2889) |
| DBL | 2.626  | 07/09/2025 | TBD<sup>(4)</sup> | (3732) | (4408) |
|  | 2.656  | 07/09/2025 | TBD<sup>(4)</sup> | (5211) | (6156) |
|  | 4.400  | 09/19/2025 | TBD<sup>(4)</sup> | $(16094) | (16117) |
|  | 4.450  | 09/19/2025 | TBD<sup>(4)</sup> | (55636) | (55719) |
|  | 4.710  | 09/19/2025 | 10/17/2025 | (52608) | (52691) |
|  | 4.790  | 09/16/2025 | 11/14/2025 | (6455) | (6468) |
|  | 4.840  | 09/16/2025 | 11/14/2025 | (9861) | (9881) |
|  | 4.890  | 09/16/2025 | 11/14/2025 | (5992) | (6004) |
|  | 4.940  | 09/16/2025 | 11/14/2025 | (31129) | (31194) |
|  | 4.952  | 08/29/2025 | 10/31/2025 | (11038) | (11088) |
|  | 4.990  | 09/16/2025 | 11/14/2025 | (5976) | (5989) |
|  | 5.002  | 08/29/2025 | 10/31/2025 | (3473) | (3489) |
|  | 5.040  | 09/16/2025 | 11/14/2025 | (1185) | (1188) |
|  | 5.052  | 08/29/2025 | 10/31/2025 | (9542) | (9586) |
|  | 5.090  | 09/16/2025 | 11/14/2025 | (29845) | (29908) |
|  | 5.102  | 08/29/2025 | 10/31/2025 | (1722) | (1730) |
|  | 5.140  | 09/16/2025 | 11/14/2025 | (5231) | (5242) |
|  | 5.152  | 08/29/2025 | 10/31/2025 | (5385) | (5410) |
|  | 5.190  | 09/16/2025 | 11/14/2025 | (13769) | (13799) |
|  | 5.202  | 08/29/2025 | 10/31/2025 | (10741) | (10792) |
|  | 5.252  | 08/29/2025 | 10/31/2025 | (9258) | (9302) |
|  | 5.340  | 09/16/2025 | 11/14/2025 | (14641) | (14674) |
|  | 5.352  | 08/29/2025 | 10/31/2025 | (24945) | (25067) |
|  | 5.402  | 08/29/2025 | 10/31/2025 | (3077) | (3092) |
|  | 5.452  | 08/29/2025 | 10/31/2025 | (3754) | (3773) |
|  | 5.502  | 08/29/2025 | 10/31/2025 | (8608) | (8651) |
|  | 5.602  | 08/29/2025 | 10/31/2025 | (14685) | (14760) |
| DEU | 4.570  | 09/19/2025 | TBD<sup>(4)</sup> | (3142) | (3147) |
|  | 4.570  | 09/23/2025 | TBD<sup>(4)</sup> | (8769) | (8778) |
|  | 4.920  | 07/14/2025 | 10/14/2025 | (11483) | (11607) |
| GLM | 5.254  | 07/29/2025 | 04/29/2026 | (58514) | (59061) |
|  | 5.304  | 07/29/2025 | 04/29/2026 | (2799) | (2825) |
|  | 5.377  | 06/04/2025 | 03/04/2026 | (100664) | (102453) |
|  | 5.427  | 06/04/2025 | 03/04/2026 | (6607) | (6725) |
|  | 5.477  | 06/04/2025 | 03/04/2026 | (4043) | (4116) |
|  | 5.627  | 06/04/2025 | 03/04/2026 | (2677) | (2727) |
| IND | 4.560  | 09/04/2025 | 12/04/2025 | (3197) | (3208) |
|  | 4.680  | 09/29/2025 | 12/29/2025 | (73) | (73) |
|  | 4.710  | 09/23/2025 | 12/23/2025 | (2567) | (2570) |
|  | 4.760  | 09/23/2025 | 12/23/2025 | (2599) | (2602) |
|  | 4.780  | 09/23/2025 | 12/23/2025 | (902) | (903) |
|  | 4.850  | 09/30/2025 | 12/29/2025 | (658) | (658) |
|  | 4.970  | 07/11/2025 | 10/09/2025 | (1790) | (1810) |
|  | 5.020  | 07/28/2025 | 10/28/2025 | (14863) | (14998) |
| JML | 4.500  | 09/19/2025 | 10/31/2025 | (37421) | (37477) |
|  | 4.800  | 09/19/2025 | 10/31/2025 | (14605) | (14629) |
|  | 4.972  | 09/26/2025 | 12/29/2025 | (11466) | (15431) |
|  | 5.250  | 09/19/2025 | 10/31/2025 | $(218) | (218) |
| MBC | 4.667  | 09/17/2025 | 01/19/2026 | (10579) | (14253) |
|  | 4.717  | 09/17/2025 | 01/19/2026 | (6921) | (9325) |
| MEI | 2.530  | 09/26/2025 | 12/29/2025 | (2041) | (2397) |
|  | 2.580  | 09/17/2025 | 12/17/2025 | (4876) | (5731) |
|  | 2.620  | 09/17/2025 | 01/16/2026 | (12219) | (14361) |
|  | 4.520  | 09/26/2025 | 12/29/2025 | (1554) | (2091) |
|  | 4.570  | 09/26/2025 | 12/29/2025 | (800) | (1077) |
|  | 4.670  | 09/26/2025 | 11/26/2025 | (3177) | (4275) |
| MSB | 4.593  | 09/26/2025 | 10/02/2025 | (4875) | (6560) |
|  | 4.623  | 09/26/2025 | 10/02/2025 | (6005) | (8081) |
|  | 4.650  | 09/18/2025 | 10/02/2025 | (5657) | (7620) |
|  | 4.708  | 07/22/2025 | 01/21/2026 | (17466) | (23705) |
|  | 4.781  | 09/26/2025 | 03/24/2026 | (8758) | (11786) |
|  | 5.060  | 09/30/2025 | 03/30/2026 | $(1464) | (1464) |
|  | 5.160  | 09/30/2025 | 03/30/2026 | (9084) | (9085) |
|  | 5.210  | 07/10/2025 | 01/09/2026 | (1971) | (1995) |
|  | 5.210  | 08/19/2025 | 02/19/2026 | (1843) | (1855) |
|  | 5.260  | 08/05/2025 | 02/02/2026 | (30369) | (30631) |
|  | 5.310  | 07/10/2025 | 01/09/2026 | (20862) | (21125) |
|  | 5.310  | 09/30/2025 | 03/30/2026 | (37271) | (37277) |
|  | 5.360  | 09/30/2025 | 03/30/2026 | (18603) | (18606) |
| MSC | 5.310  | 09/30/2025 | 03/30/2026 | (5884) | (5885) |
| MYI | 1.750  | 09/26/2025 | TBD<sup>(4)</sup> | (1178) | (1383) |
| MZF | 5.280  | 09/17/2025 | 03/17/2026 | $(55998) | (56120) |
| NOM | 4.350  | 09/24/2025 | TBD<sup>(4)</sup> | (3916) | (3919) |
|  | 4.500  | 09/19/2025 | TBD<sup>(4)</sup> | (2384) | (2387) |
| NXN | 4.620  | 09/25/2025 | 10/01/2025 | (14890) | (14901) |
|  | 4.890  | 09/30/2025 | 01/16/2026 | (3088) | (3089) |
| RCE | 2.976  | 07/30/2025 | 01/29/2026 | (2084) | (2460) |
| RCY | 4.810  | 07/07/2025 | 10/06/2025 | $(3233) | (3270) |
| RTA | 4.760  | 09/18/2025 | 10/01/2025 | (17683) | (17714) |
|  | 5.130  | 09/18/2025 | 03/18/2026 | (6652) | (6665) |
|  | 5.140  | 09/10/2025 | 01/09/2026 | (736) | (739) |
|  | 5.160  | 08/22/2025 | 02/23/2026 | (19208) | (19321) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 6 | 37 | 52 | 80 | 116 | 133 | 160 | 185 | 202 |
|  |  |  | 5.160  | 09/04/2025 | 03/04/2026 |  | (12884) |  | (12936) |
|  |  |  | 5.210  | 09/04/2025 | 03/04/2026 |  | (2539) |  | (2550) |
|  |  |  | 5.210  | 09/08/2025 | 12/08/2025 |  | (6495) |  | (6518) |
|  |  |  | 5.210  | 09/15/2025 | 01/15/2026 |  | (2869) |  | (2876) |
|  |  |  | 5.280  | 07/30/2025 | 01/28/2026 |  | (28711) |  | (28986) |
|  |  |  | 5.280  | 09/30/2025 | 10/02/2025 |  | (5014) |  | (5014) |
|  |  |  | 5.310  | 09/10/2025 | 01/09/2026 |  | (13626) |  | (13670) |
|  |  |  | 5.360  | 09/18/2025 | 03/18/2026 |  | (13398) |  | (13425) |
|  |  |  | 5.370  | 07/30/2025 | 01/28/2026 |  | (7804) |  | (7880) |
|  |  |  | 5.380  | 07/30/2025 | 01/28/2026 |  | (20469) |  | (20669) |
|  |  |  | 5.390  | 09/10/2025 | 01/09/2026 |  | (1257) |  | (1261) |
|  |  |  | 5.410  | 07/30/2025 | 01/28/2026 |  | (5561) |  | (5615) |
| SBI | SBI | SBI | 5.425  | 07/28/2025 | 01/26/2026 |  | (24483) |  | (24723) |
|  |  |  | 5.475  | 07/28/2025 | 01/26/2026 |  | (19283) |  | (19474) |
|  |  |  | 5.525  | 07/28/2025 | 01/26/2026 |  | (4864) |  | (4912) |
|  |  |  | 5.575  | 07/28/2025 | 01/26/2026 |  | (2602) |  | (2628) |
| SGY | SGY | SGY | 4.860  | 09/30/2025 | 10/08/2025 |  | (16921) |  | (16923) |
| SOG | SOG | SOG | 4.290  | 09/19/2025 | TBD<sup>(4)</sup> |  | (1347) |  | (1349) |
|  |  |  | 4.350  | 09/19/2025 | TBD<sup>(4)</sup> |  | (29038) |  | (29080) |
|  |  |  | 4.370  | 09/19/2025 | TBD<sup>(4)</sup> |  | (10773) |  | (10789) |
|  |  |  | 4.470  | 09/19/2025 | TBD<sup>(4)</sup> |  | (53108) |  | (53187) |
|  |  |  | 4.470  | 09/29/2025 | TBD<sup>(4)</sup> |  | (11978) |  | (11981) |
|  |  |  | 4.560  | 09/24/2025 | 12/24/2025 |  | (13784) |  | (13797) |
|  |  |  | 4.560  | 09/25/2025 | 12/24/2025 |  | (377) |  | (377) |
|  |  |  | 4.820  | 07/07/2025 | 10/07/2025 |  | (1519) |  | (1537) |
|  |  |  | 4.860  | 07/08/2025 | 10/08/2025 |  | (19065) |  | (19283) |
|  |  |  | 4.860  | 09/25/2025 | 10/08/2025 |  | (4443) |  | (4446) |
|  |  |  | 5.060  | 08/01/2025 | 01/30/2026 |  | (9885) |  | (9972) |
|  |  |  | 5.160  | 09/22/2025 | 03/18/2026 |  | (15895) |  | (15915) |
|  |  |  | 5.260  | 06/13/2025 | 12/12/2025 |  | (3720) |  | (3781) |
|  |  |  | 5.260  | 08/01/2025 | 01/30/2026 |  | (4258) |  | (4297) |
|  |  |  | 5.310  | 08/01/2025 | 01/30/2026 |  | (848) |  | (856) |
|  |  |  | 5.310  | 08/07/2025 | 02/06/2026 |  | (22902) |  | (23094) |
|  |  |  | 5.520  | 08/01/2025 | 01/30/2026 |  | (25744) |  | (25985) |
| UBS | UBS | UBS | 2.070  | 06/11/2025 | TBD<sup>(4)</sup> | EUR | (2490) |  | (2942) |
|  |  |  | 2.070  | 06/23/2025 | TBD<sup>(4)</sup> |  | (2641) |  | (3119) |
|  |  |  | 2.150  | 06/11/2025 | TBD<sup>(4)</sup> |  | (8514) |  | (10063) |
|  |  |  | 2.200  | 06/11/2025 | TBD<sup>(4)</sup> |  | (8553) |  | (10110) |
|  |  |  | 2.536  | 09/03/2025 | 10/01/2025 |  | (6057) |  | (7126) |
|  |  |  | 2.762  | 09/03/2025 | 12/02/2025 |  | (215) |  | (253) |
|  |  |  | 2.809  | 09/03/2025 | 12/02/2025 |  | (12152) |  | (14298) |
|  |  |  | 2.912  | 09/03/2025 | 12/02/2025 |  | (3593) |  | (4228) |
|  |  |  | 4.650  | 09/03/2025 | 12/02/2025 | GBP | (2301) |  | (3106) |
|  |  |  | 4.780  | 07/03/2025 | 10/03/2025 | $ | (12580) |  | (12731) |
|  |  |  | 4.780  | 09/30/2025 | 10/03/2025 |  | (5478) |  | (5479) |
|  |  |  | 4.890  | 07/16/2025 | 10/02/2025 |  | (3979) |  | (4021) |
|  |  |  | 4.980  | 09/30/2025 | 01/05/2026 |  | (9945) |  | (9947) |
|  |  |  | 5.260  | 05/19/2025 | 11/19/2025 |  | (1392) |  | (1419) |
|  |  |  | 5.270  | 05/08/2025 | 10/27/2025 |  | (5861) |  | (5986) |
|  |  |  | 5.310  | 05/19/2025 | 11/19/2025 |  | (6896) |  | (7033) |
|  |  |  | 5.320  | 04/29/2025 | 10/27/2025 |  | (12628) |  | (12917) |
|  |  |  | 5.340  | 04/16/2025 | 10/16/2025 |  | (2794) |  | (2863) |
|  |  |  | 5.350  | 07/03/2025 | 10/03/2025 |  | (31143) |  | (31560) |
|  |  |  | 5.370  | 04/29/2025 | 10/27/2025 |  | (31757) |  | (32491) |
|  |  |  | 5.400  | 07/03/2025 | 10/03/2025 |  | (7271) |  | (7369) |
|  |  |  | 5.460  | 05/19/2025 | 11/19/2025 |  | (1680) |  | (1715) |
| WFS | WFS | WFS | 4.820  | 08/19/2025 | 11/19/2025 |  | (6032) |  | (6066) |
|  |  |  | 4.840  | 08/19/2025 | 11/19/2025 |  | (27188) |  | (27346) |
|  |  |  | 4.890  | 08/19/2025 | 11/19/2025 |  | (11846) |  | (11915) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  | **$** | **(2933361)** |
| **(m)** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $3,514,343 and cash of $14,806 have been pledged as collateral under the terms of master agreements as of September 30, 2025.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. |
| <sup>(3)</sup> | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended September 30, 2025 was $(958346) at a weighted average interest rate of 5.066%%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(4)</sup> | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. |
| **(n)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2026 | 102 | $(24560) | $390 | 390 | $0 | 0 | $(8) |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2026 | 95 | (22920) | 313 | 313 | 0 | 0 | (7) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 7 | 18 | 24 | 32 | 37 | 50 | 53 | 73 | 102 | 116 | 131 | 139 | 160 | 164 | 174 | 190 | 208 |
| 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 12/2025 | 12/2025 | 76 |  | (18232) | 357 | 357 | 357 | 0 | 0 | 0 |  | (1) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | $**1060** | **1060** | **1060** | $**0** | **0** | **0** | **$** | **(16)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive | 1-Day GBP-SONIO Compounded-OIS | 0.500% | Annual | 09/16/2030 | 09/16/2030 | GBP | 27000 | 27000 | 335 | 5116 | 5116 | $5451 | 5451 | 5451 | $0 | 0 | $(29) |
| Pay | 1-Day GBP-SONIO Compounded-OIS | 3.750 | Annual | 09/17/2030 | 09/17/2030 |  | 138900 | 138900 | (632) | (171) | (171) | (803) | (803) | (803) | 191 | 191 | 0 |
| Receive | 1-Day GBP-SONIO Compounded-OIS | 0.750 | Annual | 09/21/2052 | 09/21/2052 |  | 28300 | 28300 | (2278) | 25217 | 25217 | 22939 | 22939 | 22939 | 0 | 0 | (116) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.300 | Annual | 01/17/2026 | 01/17/2026 | $ | $15100 | 15100 | 7 | 298 | 298 | 305 | 305 | 305 | 0 | 0 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2026 | 12/18/2026 |  | 1244900 | 1244900 | 6094 | (9973) | (9973) | (3879) | (3879) | (3879) | 325 | 325 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.360 | Semi-Annual | 02/15/2027 | 02/15/2027 |  | 13450 | 13450 | (2) | 497 | 497 | 495 | 495 | 495 | 0 | 0 | (3) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2027 | 12/18/2027 |  | 1348200 | 1348200 | 13042 | (9415) | (9415) | 3627 | 3627 | 3627 | 622 | 622 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 0.500 | Semi-Annual | 06/16/2028 | 06/16/2028 |  | 660 | 660 | (31) | (22) | (22) | (53) | (53) | (53) | 0 | 0 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2028 | 12/18/2028 |  | 196000 | 196000 | 2649 | (1266) | (1266) | 1383 | 1383 | 1383 | 127 | 127 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 06/20/2029 | 06/20/2029 |  | 123500 | 123500 | (2337) | 836 | 836 | (1501) | (1501) | (1501) | 0 | 0 | (81) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2029 | 12/18/2029 |  | 275200 | 275200 | 4155 | (1422) | (1422) | 2733 | 2733 | 2733 | 157 | 157 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.250 | Annual | 06/18/2030 | 06/18/2030 |  | 1973200 | 1973200 | (18087) | 750 | 750 | (17337) | (17337) | (17337) | 882 | 882 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.500 | Annual | 12/15/2031 | 12/15/2031 |  | 98500 | 98500 | (2199) | 15235 | 15235 | 13036 | 13036 | 13036 | 0 | 0 | (19) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Semi-Annual | 12/15/2031 | 12/15/2031 |  | 16600 | 16600 | (225) | 2000 | 2000 | 1775 | 1775 | 1775 | 0 | 0 | (4) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.000 | Annual | 12/21/2032 | 12/21/2032 |  | 88000 | 88000 | 10651 | (508) | (508) | 10143 | 10143 | 10143 | 0 | 0 | (12) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2034 | 12/18/2034 |  | 1300 | 1300 | 28 | (22) | (22) | 6 | 6 | 6 | 0 | 0 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.850 | Annual | 12/21/2038 | 12/21/2038 |  | 108200 | 108200 | 418 | (331) | (331) | 87 | 87 | 87 | 64 | 64 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.750 | Semi-Annual | 03/20/2043 | 03/20/2043 |  | 1300 | 1300 | (4) | 248 | 248 | 244 | 244 | 244 | 2 | 2 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.750 | Semi-Annual | 12/16/2045 | 12/16/2045 |  | 3800 | 3800 | (44) | 819 | 819 | 775 | 775 | 775 | 6 | 6 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.500 | Semi-Annual | 06/20/2048 | 06/20/2048 |  | 3100 | 3100 | 256 | 547 | 547 | 803 | 803 | 803 | 6 | 6 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.250 | Semi-Annual | 03/12/2050 | 03/12/2050 |  | 20500 | 20500 | (367) | 6855 | 6855 | 6488 | 6488 | 6488 | 46 | 46 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2052 | 06/15/2052 |  | 68000 | 68000 | 16788 | 8683 | 8683 | 25471 | 25471 | 25471 | 180 | 180 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 12/21/2052 | 12/21/2052 |  | 45800 | 45800 | 11031 | 6872 | 6872 | 17903 | 17903 | 17903 | 125 | 125 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.500 | Annual | 12/21/2052 | 12/21/2052 |  | 92160 | 92160 | 786 | 6959 | 6959 | 7745 | 7745 | 7745 | 254 | 254 | 0 |
| Pay | 1-Year BRL-CDI | 11.250 | Maturity | 01/04/2027 | 01/04/2027 | BRL | 9400 | 9400 | 0 | (120) | (120) | (120) | (120) | (120) | 0 | 0 | (1) |
| Pay | 1-Year BRL-CDI | 11.275 | Maturity | 01/04/2027 | 01/04/2027 |  | 4700 | 4700 | 0 | (59) | (59) | (59) | (59) | (59) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 11.290 | Maturity | 01/04/2027 | 01/04/2027 |  | 4700 | 4700 | 0 | (59) | (59) | (59) | (59) | (59) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 11.731 | Maturity | 01/04/2027 | 01/04/2027 |  | 2400 | 2400 | 0 | (22) | (22) | (22) | (22) | (22) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 11.746 | Maturity | 01/04/2027 | 01/04/2027 |  | 10500 | 10500 | 0 | (96) | (96) | (96) | (96) | (96) | 0 | 0 | 0 |
| Receive | 1-Year BRL-CDI | 11.823 | Maturity | 01/04/2027 | 01/04/2027 |  | 599100 | 599100 | 0 | 4793 | 4793 | 4793 | 4793 | 4793 | 19 | 19 | 0 |
| Pay | 1-Year BRL-CDI | 11.901 | Maturity | 01/04/2027 | 01/04/2027 |  | 25100 | 25100 | 0 | (201) | (201) | (201) | (201) | (201) | 0 | 0 | (1) |
| Pay | 1-Year BRL-CDI | 12.047 | Maturity | 01/04/2027 | 01/04/2027 |  | 437000 | 437000 | 0 | (3043) | (3043) | (3043) | (3043) | (3043) | 0 | 0 | (13) |
| Receive | 6-Month EUR-EURIBOR | 0.150 | Annual | 03/18/2030 | 03/18/2030 | EUR | 20400 | 20400 | 373 | 2189 | 2189 | 2562 | 2562 | 2562 | 0 | 0 | (22) |
| Receive | 6-Month EUR-EURIBOR | 0.150 | Annual | 06/17/2030 | 06/17/2030 |  | 1200 | 1200 | (1) | 148 | 148 | 147 | 147 | 147 | 0 | 0 | (1) |
| Receive | 6-Month EUR-EURIBOR | 0.250 | Annual | 03/18/2050 | 03/18/2050 |  | 2500 | 2500 | 139 | 1247 | 1247 | 1386 | 1386 | 1386 | 0 | 0 | (11) |
| Receive | 6-Month EUR-EURIBOR | 0.500 | Annual | 06/17/2050 | 06/17/2050 |  | 500 | 500 | (16) | 272 | 272 | 256 | 256 | 256 | 0 | 0 | (2) |
| Receive | 6-Month EUR-EURIBOR | 0.500 | Annual | 09/21/2052 | 09/21/2052 |  | 34600 | 34600 | 2992 | 15552 | 15552 | 18544 | 18544 | 18544 | 0 | 0 | (165) |
| Receive<sup>(1)</sup> | 6-Month EUR-EURIBOR | 0.830 | Annual | 12/09/2052 | 12/09/2052 |  | 143700 | 143700 | 1990 | 16690 | 16690 | 18680 | 18680 | 18680 | 0 | 0 | (123) |
| Receive<sup>(1)</sup> | 6-Month EUR-EURIBOR | 3.000 | Annual | 03/18/2056 | 03/18/2056 |  | 13590 | 13590 | (183) | (67) | (67) | (250) | (250) | (250) | 0 | 0 | (106) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **$** | **95026** | **$** | **140354** | **140354** | **$** | **3006** | **$** | **(709)** |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** | **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** | **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** | **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** | **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** | **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** | **Cash** **of $102,807 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2025.** |
| <sup>(1)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(o)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Currency to<br>be Delivered | Currency to<br>be Received | Asset | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; AZD | &nbsp;&nbsp;&nbsp;&nbsp; AZD | 10/2025  | 4156 | $2987 | $1 | $0 |
|  |  | 11/2025  | $2987 | 4149 | 0 | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 11/2025  | 12525 | 10645 | 0 | (3) |
|  |  | 11/2025  | 2041 | $117 | 0 | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 10/2025  | 6277 | 881 | 0 | 0 |
|  |  | 10/2025  | 987721 | 59 | 0 | 0 |
|  |  | 10/2025  | 11372 | 269 | 0 | (2) |
|  |  | 10/2025  | $3627 | 3072 | 0 | (21) |
|  |  | 10/2025  | 141 | 2332423 | 0 | (1) |
|  |  | 10/2025  | 495 | 1801 | 1 | 0 |
|  |  | 10/2025  | 40 | 1694 | 1 | 0 |
|  |  | 12/2025  | 115785 | $349 | 2 | 0 |
|  |  | 12/2025  | $59 | 990561 | 1 | 0 |
|  |  | 05/2026  | 687 | 209 | 1 | 0 |
|  |  | 06/2026  | 494 | 151 | 2 | 0 |
|  |  | 07/2026  | 307 | 94 | 1 | 0 |
|  |  | 06/2027  | 239 | 72 | 0 | 0 |
|  |  | 05/2029  | 1047 | $3600 | 133 | 0 |
|  |  | 07/2029  | 128 | 440 | 16 | 0 |
|  |  | 05/2030  | 755 | 2600 | 90 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 10/2025  | 323691 | 7780 | 0 | (5) |
|  |  | 10/2025  | $4404 | 3757 | 7 | 0 |
|  |  | 10/2025  | 161 | 588 | 1 | 0 |
|  |  | 10/2025  | 54808 | 2340221 | 1187 | 0 |
|  |  | 11/2025  | 3757 | $4413 | 0 | (6) |
|  |  | 11/2025  | $29381 | 1281013 | 299 | 0 |
|  |  | 11/2025  | 19763 | $1122 | 0 | (18) |
|  |  | 12/2025  | $15608 | 686911 | 28 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BSH | &nbsp;&nbsp;&nbsp;&nbsp; BSH | 10/2025  | 898796 | $1044268 | 0 | (10964) |
|  |  | 02/2026  | 3520 | 1007 | 0 | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 10/2025  | 118 | 17 | 0 | 0 |
|  |  | 10/2025  | 248955 | 32018 | 16 | 0 |
|  |  | 10/2025  | 1020116 | 61 | 0 | 0 |
|  |  | 10/2025  | $14878 | 12702 | 39 | (4) |
|  |  | 10/2025  | 42 | 691342 | 0 | (1) |
|  |  | 10/2025  | 4902 | $283 | 0 | (1) |
|  |  | 12/2025  | $61 | 1023008 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; DUB | &nbsp;&nbsp;&nbsp;&nbsp; DUB | 10/2025  | 13451 | $1892 | 4 | 0 |
|  |  | 11/2025  | 47724 | 2726 | 0 | (28) |
| &nbsp;&nbsp;&nbsp;&nbsp; FAR | &nbsp;&nbsp;&nbsp;&nbsp; FAR | 10/2025  | 444 | 288 | 0 | (6) |
|  |  | 10/2025  | 5865 | 826 | 3 | 0 |
|  |  | 10/2025  | $290 | 444 | 4 | 0 |
|  |  | 10/2025  | 465 | 1697 | 2 | 0 |
|  |  | 11/2025  | 444 | $290 | 0 | (4) |
|  |  | 12/2025  | $1887 | 35753 | 50 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | 10/2025  | 462 | $65 | 0 | 0 |
|  |  | 10/2025  | 979950 | 59 | 0 | 0 |
|  |  | 10/2025  | $42 | 697642 | 0 | 0 |
|  |  | 11/2025  | 4173 | $66 | 1 | (1) |
|  |  | 12/2025  | $59 | 982300 | 0 | 0 |
|  |  | 01/2026  | 972872 | $15430 | 55 | 0 |
|  |  | 02/2026  | 124082 | 1941 | 0 | (9) |
|  |  | 03/2026  | 435901 | 6767 | 23 | (91) |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 10/2025  | 1053 | 198 | 0 | 0 |
|  |  | 10/2025  | $193 | 1053 | 5 | 0 |
|  |  | 10/2025  | 3004 | 4151 | 0 | (21) |
|  |  | 10/2025  | 3184 | 2716 | 4 | 0 |
|  |  | 10/2025  | 45 | 747253 | 0 | 0 |
|  |  | 10/2025  | 106 | 390 | 1 | 0 |
|  |  | 10/2025  | 6743 | 287819 | 153 | 0 |
|  |  | 11/2025  | 42261 | $2411 | 0 | (28) |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 10/2025  | 6845 | 963 | 2 | 0 |
|  |  | 10/2025  | 7056 | 8295 | 34 | (23) |
|  |  | 10/2025  | $682 | 4861 | 0 | 0 |
|  |  | 10/2025  | 7324 | 6214 | 0 | (29) |
|  |  | 10/2025  | 2344 | 1741 | 7 | (10) |
|  |  | 11/2025  | 4850 | $682 | 0 | 0 |
|  |  | 11/2025  | 3258 | 3835 | 2 | 0 |
|  |  | 11/2025  | 4783 | 6431 | 0 | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 10/2025  | 6910 | 971 | 1 | 0 |
|  |  | 10/2025  | $270 | 976 | 0 | (1) |
|  |  | 12/2025  | 9771 | $474 | 2 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; NGF | &nbsp;&nbsp;&nbsp;&nbsp; NGF | 10/2025  | $38 | 626595 | 0 | 0 |
|  |  | 10/2025  | 2452 | 106231 | 43 | 0 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 3 | 14 | 17 | 29 | 30 | 38 | 41 | 45 | 67 | 76 | 86 | 87 | 95 | 105 | 119 | 127 | 128 | 134 | 147 | 156 | 157 | 176 | 179 | 184 | 189 | 199 | 213 | 214 |
|  |  | 12/2025  | 12/2025  |  |  |  |  | 5850 | 5850 |  | 256548 | 256548 | 256548 | 256548 |  |  | 19 | 19 | 19 | 19 | 19 |  |  | 0 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 10/2025  | 10/2025  | CNH | CNH | CNH | CNH | 5026 | 5026 | $ | 707 | 707 | 707 | 707 |  |  | 2 | 2 | 2 | 2 | 2 |  |  | 0 | 0 | 0 | 0 |
|  |  | 10/2025  | 10/2025  | IDR | IDR | IDR | IDR | 789017 | 789017 |  | 47 | 47 | 47 | 47 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 |
|  |  | 10/2025  | 10/2025  | $ | $ | $ | $ | 253675 | 253675 | GBP | 189650 | 189650 | 189650 | 189650 |  |  | 1384 | 1384 | 1384 | 1384 | 1384 |  |  | 0 | 0 | 0 | 0 |
|  |  | 10/2025  | 10/2025  |  |  |  |  | 42 | 42 | IDR | 695177 | 695177 | 695177 | 695177 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | (1) | (1) | (1) | (1) |
|  |  | 11/2025  | 11/2025  | GBP | GBP | GBP | GBP | 189650 | 189650 | $ | 253720 | 253720 | 253720 | 253720 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | (1384) | (1384) | (1384) | (1384) |
|  |  | 12/2025  | 12/2025  | CZK | CZK | CZK | CZK | 2252 | 2252 |  | 110 | 110 | 110 | 110 |  |  | 1 | 1 | 1 | 1 | 1 |  |  | 0 | 0 | 0 | 0 |
|  |  | 12/2025  | 12/2025  | $ | $ | $ | $ | 47 | 47 | IDR | 791011 | 791011 | 791011 | 791011 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | 10/2025  | 10/2025  | BRL | BRL | BRL | BRL | 1056 | 1056 | $ | 198 | 198 | 198 | 198 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | (1) | (1) | (1) | (1) |
|  |  | 10/2025  | 10/2025  | $ | $ | $ | $ | 199 | 199 | BRL | 1056 | 1056 | 1056 | 1056 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 |
|  |  | 10/2025  | 10/2025  |  |  |  |  | 1044330 | 1044330 | EUR | 888036 | 888036 | 888036 | 888036 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | (1731) | (1731) | (1731) | (1731) |
|  |  | 10/2025  | 10/2025  |  |  |  |  | 17023 | 17023 | GBP | 12522 | 12522 | 12522 | 12522 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | (183) | (183) | (183) | (183) |
|  |  | 11/2025  | 11/2025  | EUR | EUR | EUR | EUR | 888036 | 888036 | $ | 1046425 | 1046425 | 1046425 | 1046425 |  |  | 1739 | 1739 | 1739 | 1739 | 1739 |  |  | 0 | 0 | 0 | 0 |
|  |  | 12/2025  | 12/2025  | $ | $ | $ | $ | 198 | 198 | BRL | 1071 | 1071 | 1071 | 1071 |  |  | 1 | 1 | 1 | 1 | 1 |  |  | 0 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SSB | &nbsp;&nbsp;&nbsp;&nbsp; SSB | 10/2025  | 10/2025  | GBP | GBP | GBP | GBP | 203107 | 203107 | $ | 273771 | 273771 | 273771 | 273771 |  |  | 613 | 613 | 613 | 613 | 613 |  |  | 0 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 10/2025  | 10/2025  | $ | $ | $ | $ | 269 | 269 | PLN | 976 | 976 | 976 | 976 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 |
|  |  | 10/2025  | 10/2025  |  |  |  |  | 284 | 284 | ZAR | 4902 | 4902 | 4902 | 4902 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 |
|  |  | 10/2025  | 10/2025  | ZAR | ZAR | ZAR | ZAR | 4904 | 4904 | $ | 284 | 284 | 284 | 284 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | 0 | 0 | 0 | 0 |
|  |  | 11/2025  | 11/2025  |  |  |  |  | 21497 | 21497 |  | 1219 | 1219 | 1219 | 1219 |  |  | 0 | 0 | 0 | 0 | 0 |  |  | (21) | (21) | (21) | (21) |
|  |  | 12/2025  | 12/2025  | HUF | HUF | HUF | HUF | 82229 | 82229 |  | 248 | 248 | 248 | 248 |  |  | 2 | 2 | 2 | 2 | 2 |  |  | 0 | 0 | 0 | 0 |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **$** | $**5983** | **5983** | **5983** | **5983** | **5983** | **$** | **$** | $**(14606)** | **(14606)** | **(14606)** | **(14606)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>September 30, 2025<sup>(2)</sup> | Implied<br>Credit Spread at<br>September 30, 2025<sup>(2)</sup> | Implied<br>Credit Spread at<br>September 30, 2025<sup>(2)</sup> |  |  | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset | Asset | Liability | Liability |
| BPS | Petroleos Mexicanos  | Petroleos Mexicanos  | 1.000% | 1.000% | 1.000% | Quarterly | Quarterly | 12/20/2028 | 2.159% | 2.159% | 2.159% | $ | $ | 3000 | $(580) | (580) | (580) | (580) | $477 | 477 | 477 | $ | $0 | 0 | 0 | $(103) | (103) |
| BRC | Egypt Government International Bonds  | Egypt Government International Bonds  | 1.000 | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2028 | 3.236 | 3.236 | 3.236 |  |  | 22600 | (3907) | (3907) | (3907) | (3907) | 2444 | 2444 | 2444 |  | 0 | 0 | 0 | (1463) | (1463) |
|  | Egypt Government International Bonds  | Egypt Government International Bonds  | 1.000 | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2029 | 3.441 | 3.441 | 3.441 |  |  | 6900 | (1476) | (1476) | (1476) | (1476) | 924 | 924 | 924 |  | 0 | 0 | 0 | (552) | (552) |
| DUB | Eskom « | Eskom « | 4.650 | 4.650 | 4.650 | Quarterly | Quarterly | 06/30/2029 | —◆ | —◆ | —◆ |  |  | 22100 | 0 | 0 | 0 | 0 | 1331 | 1331 | 1331 |  | 1331 | 1331 | 1331 | 0 | 0 |
|  | Petroleos Mexicanos « | Petroleos Mexicanos « | 4.750 | 4.750 | 4.750 | Monthly | Monthly | 07/06/2026 | —◆ | —◆ | —◆ |  |  | 2176 | 0 | 0 | 0 | 0 | 28 | 28 | 28 |  | 28 | 28 | 28 | 0 | 0 |
|  | Petroleos Mexicanos « | Petroleos Mexicanos « | 4.850 | 4.850 | 4.850 | Monthly | Monthly | 07/06/2026 | —◆ | —◆ | —◆ |  |  | 1177 | 0 | 0 | 0 | 0 | 16 | 16 | 16 |  | 16 | 16 | 16 | 0 | 0 |
| GST | Eutelsat SA  | Eutelsat SA  | 5.000 | 5.000 | 5.000 | Quarterly | Quarterly | 12/20/2025 | 0.733 | 0.733 | 0.733 | EUR | EUR | 400 | (17) | (17) | (17) | (17) | 22 | 22 | 22 |  | 5 | 5 | 5 | 0 | 0 |
|  | Soft Bank Group,Inc.  | Soft Bank Group,Inc.  | 1.000 | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2026 | 0.872 | 0.872 | 0.872 | $ | $ | 4800 | (41) | (41) | (41) | (41) | 46 | 46 | 46 |  | 5 | 5 | 5 | 0 | 0 |
| MYC | Petroleos Mexicanos  | Petroleos Mexicanos  | 1.000 | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2028 | 2.159 | 2.159 | 2.159 |  |  | 3700 | (722) | (722) | (722) | (722) | 596 | 596 | 596 |  | 0 | 0 | 0 | (126) | (126) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $(6743) | (6743) | (6743) | (6743) | $5884 | 5884 | 5884 | $ | $1385 | 1385 | 1385 | $(2244) | (2244) |
| **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Index/Tranches | Index/Tranches | Index/Tranches | Index/Tranches | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset | Asset | Liability | Liability |
| GST | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | 0.320% | Monthly | 07/25/2045 | 07/25/2045 | 07/25/2045 | $ | $3932 | 3932 | $(783) | (783) | (783) | (783) | $449 | 449 | 449 | $ | $0 | 0 | 0 | $(334) | (334) |
|  | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | 0.090 | Monthly | 08/25/2037 | 08/25/2037 | 08/25/2037 |  | 1305 | 1305 | (1301) | (1301) | (1301) | (1301) | 1280 | 1280 | 1280 |  | 0 | 0 | 0 | (21) | (21) |
| UAG | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | 0.170 | Monthly | 05/25/2046 | 05/25/2046 | 05/25/2046 |  | 20679 | 20679 | (1) | (1) | (1) | (1) | (3266) | (3266) | (3266) |  | 0 | 0 | 0 | (3267) | (3267) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $(2085) | (2085) | (2085) | (2085) | $(1537) | (1537) | (1537) | $ | $0 | 0 | 0 | $(3622) | (3622) |
| **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| Counterparty | Underlying Reference | Underlying Reference | Underlying Reference | Underlying Reference | Financing Rate | Financing Rate | Financing Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset | Asset | Liability | Liability |
| BPS | AP Core Holdings II, LLC  | AP Core Holdings II, LLC  | AP Core Holdings II, LLC  | AP Core Holdings II, LLC  | 0.000% | 0.000% | 0.000% | Monthly | Monthly | 09/01/2027 | 09/01/2027 | 09/01/2027 | 465 | 465 |  | 0 | 0 | 0 |  | 213 | 213 |  |  | 213 | 213 |  | 0 |
| BPS | Clover Holdings SPV III LLC  | Clover Holdings SPV III LLC  | Clover Holdings SPV III LLC  | Clover Holdings SPV III LLC  | 0.000% | 0.000% | 0.000% | Monthly | Monthly | 12/09/2027 | 12/09/2027 | 12/09/2027 | 462 | 462 |  | 0 | 0 | 0 |  | 516 | 516 |  |  | 516 | 516 |  | 0 |
| BPS | Veritas US Inc.  | Veritas US Inc.  | Veritas US Inc.  | Veritas US Inc.  | 0.000% | 0.000% | 0.000% | Monthly | Monthly | 12/31/2025 | 12/31/2025 | 12/31/2025 | 1082 | 1082 |  | 0 | 0 | 0 |  | 1347 | 1347 |  |  | 1347 | 1347 |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 0 | 0 | 0 | $ | 2076 | 2076 | $ | $ | 2076 | 2076 | $ | 0 | 0 |
| **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | Pay/Receive<sup>(5)</sup> | Underlying<br>Reference | Underlying<br>Reference | # of Shares | # of Shares | # of Shares | # of Shares | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount |  |  | Premiums<br>Paid/(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  |  | Asset | Asset |  | Liability | Liability |
| &nbsp;&nbsp; MYC | Receive<sup>(5)</sup> | Agile Group Holdings Ltd. « | Agile Group Holdings Ltd. « | N/A | N/A | N/A | N/A | Maturity | Maturity | 01/28/2036 | 01/28/2036 | CNY | CNY | $ | 25 | 25 | 25 | $ | (1616) | (1616) | $ | $ | 0 | 0 | $ | (1591) | (1591) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **(8803)** | **(8803)** | **(8803)** | **$** | **4807** | **4807** | **$** | **$** | **3461** | **3461** | **$** | **(7457)** | **(7457)** |
| **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** | **Securities with an aggregate market value of $15,219 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2025.** |
| Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. | Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation. |

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<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <sup>(</sup><sup>1)</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(5)</sup> | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of September 30, 2025 in valuing the Fund's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 09/30/2025 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | $0 | $1254517 | $1023526 | $2278043 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 273661 | 0 | 273661 |
| Industrials | Industrials | 0 | 1233620 | 327645 | 1561265 |
| Utilities | Utilities | 0 | 140250 | 0 | 140250 |
| Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 8860 | 0 | 8860 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| Arizona | Arizona | 0 | 892 | 0 | 892 |
| Michigan | Michigan | 0 | 3062 | 0 | 3062 |
| West Virginia | West Virginia | 0 | 33223 | 0 | 33223 |
| U.S. Government Agencies | U.S. Government Agencies | 0 | 106232 | 0 | 106232 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 2447561 | 8096 | 2455657 |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |
| Automobile ABS Other | Automobile ABS Other | 0 | 7799 | 14120 | 21919 |
| Automobile Sequential | Automobile Sequential | 0 | 0 | 17294 | 17294 |
| Home Equity Other | Home Equity Other | 0 | 656669 | 0 | 656669 |
| Home Equity Sequential | Home Equity Sequential | 0 | 8 | 0 | 8 |
| Manufacturing House ABS Other | Manufacturing House ABS Other | 0 | 19299 | 0 | 19299 |
| Manufacturing House Sequential | Manufacturing House Sequential | 0 | 5500 | 0 | 5500 |
| Whole Loan Collateral | Whole Loan Collateral | 0 | 79408 | 0 | 79408 |
| Other ABS | Other ABS | 0 | 241097 | 165998 | 407095 |
| Sovereign Issues | Sovereign Issues | 0 | 378504 | 0 | 378504 |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | 21103 | 0 | 20890 | 41993 |
| Consumer Discretionary | Consumer Discretionary | 0 | 0 | 272 | 272 |
| Financials | Financials | 1583 | 54848 | 21267 | 77698 |
| Industrials | Industrials | 93 | 0 | 6071 | 6164 |
| Warrants | Warrants | Warrants | Warrants | Warrants | Warrants |
| Financials | Financials | 0 | 0 | 4136 | 4136 |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 0 | 40004 | 24137 | 64141 |
| Industrials | Industrials | 0 | 17833 | 80858 | 98691 |
| Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts |
| Real Estate | Real Estate | 23195 | 0 | 0 | 23195 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Repurchase Agreements | Repurchase Agreements | 0 | 166689 | 0 | 166689 |
| Nigeria Treasury Bills | Nigeria Treasury Bills | 0 | 4007 | 0 | 4007 |
| U.S. Treasury Bills | U.S. Treasury Bills | 0 | 38525 | 0 | 38525 |
|  |  | $45974 | $7212068 | $1714310 | $8972352 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Affiliated Investments | Affiliated Investments | 2412 | 0 | 313889 | 316301 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | 692381 | 0 | 0 | 692381 |
|  |  | $694793 | $0 | $313889 | $1008682 |
| Total Investments | Total Investments | $740767 | $7212068 | $2028199 | $9981035 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 3006 | 0 | 3006 |
| Over the counter | Over the counter | 0 | 8069 | 1375 | 9444 |
|  |  | $0 | $11075 | $1375 | $12450 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | (725) | 0 | (725) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 11 | 13 | 20 | 35 | 42 | 57 | 69 | 74 | 83 | 88 | 106 | 114 | 123 | 135 | 150 | 159 | 169 | 194 | 203 | 209 |
| Over the counter | Over the counter | Over the counter | Over the counter | Over the counter | Over the counter | 0 | 0 | 0 | 0 | (16850) | (16850) | (16850) | (5213) | (5213) | (5213) |  | (22063) |  |  |
|  |  |  |  |  |  | $0 | 0 | 0 | 0 | $(17575) | (17575) | (17575) | $(5213) | (5213) | (5213) | $ | (22788) |  |  |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | $0 | 0 | 0 | 0 | $(6500) | (6500) | (6500) | $(3838) | (3838) | (3838) | $ | (10338) |  |  |
| Totals | Totals | Totals | Totals | Totals | Totals | $740767 | 740767 | 740767 | 740767 | $7205568 | 7205568 | 7205568 | $2024361 | 2024361 | 2024361 | $ | 9970696 |  |  |
| **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2025:** |
| Beginning<br>Balance<br>at 06/30/2025 | Beginning<br>Balance<br>at 06/30/2025 | Net<br>Purchases<sup>(1)</sup> | Net<br>Sales/Settlements<sup>(1)</sup> | Net<br>Sales/Settlements<sup>(1)</sup> | Accrued<br>Discounts/<br>(Premiums) | Accrued<br>Discounts/<br>(Premiums) | Realized<br>Gain/(Loss) | Realized<br>Gain/(Loss) | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(2)</sup> | Transfers into<br>Level 3 | Transfers into<br>Level 3 | Transfers into<br>Level 3 | Transfers out<br>of Level 3 | Transfers out<br>of Level 3 | Ending<br>Balance<br>at 09/30/2025 | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>09/30/2025<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>09/30/2025<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>09/30/2025<sup>(2)</sup> |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | $694936 | 694936 | 18886 | $(33147) | (33147) | 1493 | 1493 | $(1053) | (1053) | (12071) | (12071) | $363125 | 363125 | $(8643) | (8643) | (8643) | 1023526 | $ | (11635) |
| Corporate Bonds & Notes |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Banking & Finance | 2009 | 2009 | 0 | (923) | (923) | 0 | 0 | 0 | 0 | (18) | (18) | 0 | 0 | (1068) | (1068) | (1068) | 0 |  | 0 |
| Industrials | 169595 | 169595 | 144712 | 0 | 0 | 361 | 361 | 0 | 0 | 12977 | 12977 | 0 | 0 | 0 | 0 | 0 | 327645 |  | 12976 |
| Non-Agency Mortgage-Backed Securities | 195225 | 195225 | 8100 | 0 | 0 | 98 | 98 | (328) | (328) | 777 | 777 | 0 | 0 | (195776) | (195776) | (195776) | 8096 |  | (4) |
| Asset-Backed Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Automobile ABS Other | 15176 | 15176 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (1056) | (1056) | 0 | 0 | 0 | 0 | 0 | 14120 |  | (1056) |
| Automobile Sequential | 17379 | 17379 | 0 | (97) | (97) | 0 | 0 | 0 | 0 | 12 | 12 | 0 | 0 | 0 | 0 | 0 | 17294 |  | 14 |
| Other ABS | 169669 | 169669 | 0 | (1936) | (1936) | 40 | 40 | (10542) | (10542) | 8767 | 8767 | 0 | 0 | 0 | 0 | 0 | 165998 |  | 112 |
| Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | 61862 | 61862 | 0 | (55754) | (55754) | 0 | 0 | 30645 | 30645 | (15863) | (15863) | 0 | 0 | 0 | 0 | 0 | 20890 |  | 20890 |
| Consumer Discretionary | 272 | 272 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 272 |  | 0 |
| Financials | 60657 | 60657 | 23081 | (60999) | (60999) | 0 | 0 | 0 | 0 | 67 | 67 | 0 | 0 | (1539) | (1539) | (1539) | 21267 |  | (62367) |
| Industrials | 6117 | 6117 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (46) | (46) | 0 | 0 | 0 | 0 | 0 | 6071 |  | (46) |
| Warrants |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | 12301 | 12301 | 0 | (11087) | (11087) | 0 | 0 | 2929 | 2929 | (4143) | (4143) | 0 | 0 | 0 | 0 | 0 | 0 |  | 0 |
| Financials | 28 | 28 | 4490 | (160) | (160) | 0 | 0 | (43339) | (43339) | 43117 | 43117 | 0 | 0 | 0 | 0 | 0 | 4136 |  | (353) |
| Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Banking & Finance | 0 | 0 | 24137 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 24137 |  | 0 |
| Industrials | 77463 | 77463 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 3395 | 3395 | 0 | 0 | 0 | 0 | 0 | 80858 |  | 3396 |
|  | $1482689 | 1482689 | 223406 | $164103 | 164103 | 1992 | 1992 | $(21688) | (21688) | 35915 | 35915 | $363125 | 363125 | $(207026) | (207026) | (207026) | 1714310 | $ | (38073) |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Affiliated Investments | 314038 | 314038 | 0 | (17197) | (17197) | 0 | 0 | 0 | 0 | 17048 | 17048 | 0 | 0 | 0 | 0 | 0 | 313889 |  | 16778 |
| **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** |
| Over the counter | $1334 | 1334 | 0 | $(6) | (6) | 0 | 0 | $0 | 0 | 47 | 47 | $0 | 0 | $0 | 0 | 0 | 1375 | $ | 47 |
| **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** |
| Over the counter | $(5442) | (5442) | 226 | $(427) | (427) | 0 | 0 | $8 | 8 | 422 | 422 | $0 | 0 | $0 | 0 | 0 | (5213) | $ | 422 |
| Totals | $1792619 | 1792619 | 223632 | $(181733) | (181733) | 1992 | 1992 | $(21680) | (21680) | 53432 | 53432 | $363125 | 363125 | $(207026) | (207026) | (207026) | 2024361 | $ | (20826) |
| <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Ending<br>Balance<br>at 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs |  | Input Value(s) | Input Value(s) | Weighted Average | Weighted Average |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | Loan Participations and Assignments | 134755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | X | 16.290 | 16.290 |  |  |
|  |  |  | 1098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Spread | &nbsp;&nbsp;&nbsp;&nbsp; Discount Spread | &nbsp;&nbsp;&nbsp;&nbsp; Discount Spread | &nbsp;&nbsp;&nbsp;&nbsp; Discount Spread | &nbsp;&nbsp;&nbsp;&nbsp; Discount Spread |  | 5.080 | 5.080 |  |  |
|  |  |  | 287278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 3.620 - 50.000 | 3.620 - 50.000 | 7.795 | 7.795 |
|  |  |  | 103929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote |  | 72.500 - 101.750 | 72.500 - 101.750 | 87.702 | 87.702 |
|  |  |  | 68697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price |  | 97.500 - 100.000 | 97.500 - 100.000 | 99.581 | 99.581 |
|  |  |  | 427769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote |  | 40.500 - 122.000 | 40.500 - 122.000 | 104.754 | 104.754 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Industrials | Industrials | Industrials | 154085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | X/% | 0.970/10.000 | 0.970/10.000 |  |  |
|  |  |  | 32620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote |  | 62.500 - 71.000 | 62.500 - 71.000 | 64.925 | 64.925 |
|  |  |  | 140940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price |  | 100.000 | 100.000 |  |  |

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------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) September 30, 2025 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| 1 | 4 | 28 | 40 | 96 | 162 | 203 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 8096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proxy pricing | &nbsp;&nbsp;&nbsp;&nbsp; Base Price | 100.000 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |
| Automobile ABS Other | Automobile ABS Other | 14120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 10.000 - 16.000 | 10.778 |
| Automobile Sequential | Automobile Sequential | 17294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 10.420 |  |
| Other ABS | Other ABS | 88957 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 5.878 - 20.000 | 11.710 |
|  |  | 58141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 9.640 - 13.000 | 11.710 |
|  |  | 18900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | 100.000 |  |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | 20890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 7.930 |  |
| Consumer Discretionary | Consumer Discretionary | 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | 0.500/20.750 |  |
| Financials | Financials | 21267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference instrument | &nbsp;&nbsp;&nbsp;&nbsp; Stock Price w/Liquidity Discount | 8.150 |  |
| Industrials | Industrials | 6071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | $0.375 - 21.667 | 19.400 |
| Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants |
| Financials | Financials | 4136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Option Pricing Model | &nbsp;&nbsp;&nbsp;&nbsp; Volatility | 62.500 |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 24137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | $1000.000 |  |
| Industrials | Industrials | 3103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | 12.250 |  |
|  |  | 21616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 13.622 |  |
|  |  | 56139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sum of the Parts | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 4.054 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Affiliated Investments | Affiliated Investments | 158792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | 16.290 |  |
|  |  | 92976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies/Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple/Discount Rate | 0.970/10.000 |  |
|  |  | 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expected Recovery | &nbsp;&nbsp;&nbsp;&nbsp; Price | $0.000<sup>(3)</sup> |  |
|  |  | 62118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sum of the Parts | &nbsp;&nbsp;&nbsp;&nbsp; Discount rate/mortality assumption | 15.323/2015 ANB VBT Mortality Table |  |
| **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** |
| Over the counter | Over the counter | 1375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | 0.939 - 6.009 | 5.891 |
| **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** |
| Over the counter | Over the counter | (5213) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | (18.912) - 98.500 | 53.155 |
| Total | Total | $2024361 |  |  |  |  |
| <sup>(1)</sup> | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
| <sup>(2)</sup> | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at September 30, 2025 may be due to an investment no longer held or categorized as Level 3 at period end. |
| <sup>(3)</sup> | Input Value is 0.0001. | Input Value is 0.0001. | Input Value is 0.0001. | Input Value is 0.0001. | Input Value is 0.0001. | Input Value is 0.0001. |

---

------

Notes to Financial Statements

**1** **. BASIS FOR CONSOLIDATION**

Each of the Funds' subsidiaries was formed as a wholly owned subsidiary acting as an investment vehicle for the Fund in order to effect certain investments for the Fund consistent with the Fund's investment objectives and policies in effect from time to time. Each Fund's investment portfolio has been consolidated and includes the portfolio holdings of the Fund and its subsidiaries. Accordingly, the consolidated financial statements include the accounts of each Fund and its subsidiaries. All inter-company transactions and balances have been eliminated. This structure was established so that certain investments could be held by a separate legal entity from the Fund. See the table below for details regarding the structure, incorporation and relationship as of period end of the subsidiaries.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Subsidiary** | &nbsp;&nbsp; **Date of Formation** | &nbsp;&nbsp; **Subsidiary % of Consolidated Fund Net Assets**<sup>†</sup> |
| &nbsp;&nbsp;&nbsp; PCILS I LLC | &nbsp;&nbsp;&nbsp; 03/07/2013 | &nbsp;&nbsp;&nbsp; 0.0% |
| &nbsp;&nbsp;&nbsp; PDILS I LLC | &nbsp;&nbsp;&nbsp; 03/12/2013 | &nbsp;&nbsp;&nbsp; 0.0% |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than 0.01%.

**2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS**

**(a) Investment Valuation Policies** The net asset value ("NAV") of the Fund's shares, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to the Fund or class, less any liabilities, as applicable, by the total number of shares outstanding.

On each day that the New York Stock Exchange ("NYSE") is open, the Fund's shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) ("NYSE Close"). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, the Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. The Fund generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, the Fund may calculate its NAV as of the NYSE Close for such day or such other time that the Fund may determine.

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC ("PIMCO") to be the primary exchange. If market value pricing is used, a foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close if the NYSE Close occurs before the end of trading on the foreign exchange.

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee ("Valuation Designee") for the Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee's policies and procedures govern the Valuation Designee's selection and application of methodologies for determining and calculating the fair value of Fund portfolio investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, "Pricing Sources").

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, exchange-traded funds ("ETFs"), exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures, are valued at the settlement price determined by the relevant exchange. Swap agreements and swaptions are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of the Fund's assets that are invested in one or more open-end management investment companies (other than ETFs), the Fund's NAV will be calculated based on the NAVs of such investments. Open-end management investment companies may include affiliated funds.

If a foreign (non-U.S.) equity security's value has materially changed after the close of the security's primary exchange or principal market but before the NYSE Close, the security may be valued at fair value. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument ("zero trigger") between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV. An alternative exchange rate may be obtained from a Pricing Source or an exchange rate may otherwise be determined if believed to be more reflective of the rates at which the Fund may transact.

------

Notes to Financial Statements (Cont.)

Fair valuation may require subjective determinations about the value of a security. While the Fund's and Valuation Designee's policies and procedures are intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

**(b) Fair Value Hierarchy** U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2 or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments.

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Sources (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Sources or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between fair value Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and, if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

**(c) Valuation Techniques and the Fair Value Hierarchy**

**Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value** The valuation methods (or "techniques") and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities, non-U.S. bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Sources that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

------

Notes to Financial Statements (Cont.)

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Sources (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indexes, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indexes, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Option Pricing Model is a commonly accepted method of allocating enterprise value across a capital structure. The method may be utilized when a capital structure includes multiple instruments with varying rights and preferences, there is no short term exit horizon, the nature of an exit event is unknown, or if the enterprise value is not sufficient to cover outstanding debt and preferred claims. The Option Pricing Model can also be used as a method to estimate enterprise value by 'back-solving' if there are recent indicative transactions for securities with the same issuer. The Option Pricing Model uses Black-Scholes option pricing, a generally accepted option model typically used to value call options, puts, warrants and convertible preferred securities. Significant changes in unobservable inputs would result in direct changes in the fair value of the security. These securities are categorized as level 3 of the fair value hierarchy.

The Sum-of-the-Parts model is typically used when an investment or subject company has two or more separate and distinct assets that would each require its own valuation methodology, typically an income or market approach. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

**3. FEDERAL INCOME TAX MATTERS**

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the "Code") and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

------

Notes to Financial Statements (Cont.)

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of September 30, 2025, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

The Fund files U.S. federal, state and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

**4. INVESTMENTS IN AFFILIATES**

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund. A copy of each affiliate fund's shareholder report is available at the U.S Securities and Exchange Commission ("SEC") website at www.sec.gov, on the Fund's website at www.pimco.com, or upon request, as applicable. The table below shows the Fund's transactions in and earnings from investments in the affiliated funds for the period ended September 30, 2025 (amounts in thousands<sup>†</sup>):

**Investment in PIMCO Short-Term Floating NAV Portfolio III**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Market Value<br>06/30/2025** | **Purchases at<br>Cost** | **Proceeds from<br>Sales** | **Net<br>Realized<br>Gain (Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Market Value<br>09/30/2025** | **Dividend<br>Income**<sup>(1)</sup> | **Realized Net<br>Capital<br>Gain<br>Distributions**<sup>(1)</sup> |
| $634957 | $989760 | $(932500) | $(17) | $181 | $692381 | $9333 | $0 |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

<sup>(1)</sup> The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

An affiliate includes any company in which a Fund owns 5% or more of the company's outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers for the period ended September 30, 2025 (amounts in thousands<sup>†</sup>, except number of shares).

**PIMCO Dynamic Income Fund**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Security Name** | &nbsp;&nbsp; **Market Value at 06/30/2025** | &nbsp;&nbsp; **Purchases at cost** | &nbsp;&nbsp; **Proceeds from Sale** | &nbsp;&nbsp; **Net Realized Gain/(Loss)** | &nbsp;&nbsp; **Change in Unrealized Appreciation (Depreciation)** | &nbsp;&nbsp; **Market Value at 09/30/2025** | &nbsp;&nbsp; **Dividend Income** | &nbsp;&nbsp; **Shares Held at 09/30/2025** |
| &nbsp;&nbsp; Amsurg Equity | $&nbsp;&nbsp; 158792 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; 158792 | $&nbsp;&nbsp; 0 | &nbsp;&nbsp; 3517243 |
| &nbsp;&nbsp; Incora New Equity | &nbsp;&nbsp; 78258 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 14718 | &nbsp;&nbsp; 92976 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 2316329 |
| &nbsp;&nbsp; Market Garden Dogwood LLC | &nbsp;&nbsp; 76985 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; (17197) | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 2330 | &nbsp;&nbsp; 62118 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 61012050 |
| &nbsp;&nbsp; Oi SA | &nbsp;&nbsp; 2853 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; (441) | &nbsp;&nbsp; 2412 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 24221572 |
| &nbsp;&nbsp; Sierra Hamilton Holder LLC | &nbsp;&nbsp; 3 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 3 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 30337712 |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** |  | (Unaudited) |
| **Counterparty Abbreviations:** | **Counterparty Abbreviations:** |  |  |  |  |
| **AZD** | Australia and New Zealand Banking Group | **FAR** | Wells Fargo Bank National Association | **NGF** | Nomura Global Financial Products, Inc. |
| **BCY** | Barclays Capital, Inc. | **GLM** | Goldman Sachs Bank USA | **NOM** | Nomura Securities International, Inc. |
| **BNY** | Bank of New York Mellon | **GST** | Goldman Sachs International | **NXN** | Natixis New York |
| **BOA** | Bank of America N.A. | **IND** | Crédit Agricole Corporate and Investment Bank <br> S.A. | **RCE** | Royal Bank of Canada Europe Limited |
| **BOS** | BofA Securities, Inc. | **JML** | JP Morgan Securities Plc | **RCY** | Royal Bank of Canada |
| **BPS** | BNP Paribas S.A. | **JPM** | JP Morgan Chase Bank N.A. | **RTA** | RBC (Barbados) Trading Bank Corp. |
| **BRC** | Barclays Bank PLC | **JPS** | J.P. Morgan Securities LLC | **SBI** | Citigroup Global Markets Ltd. |
| **BSH** | Banco Santander S.A. - New York Branch | **MBC** | HSBC Bank Plc | **SCX** | Standard Chartered Bank, London |
| **BYR** | The Bank of Nova Scotia - Toronto | **MEI** | Merrill Lynch International | **SGY** | Societe Generale, NY |
| **CBK** | Citibank N.A. | **MSB** | Morgan Stanley Bank, N.A | **SOG** | Societe Generale Paris |
| **CDC** | Natixis Securities Americas LLC | **MSC** | Morgan Stanley & Co. LLC. | **SSB** | State Street Bank and Trust Co. |
| **CEW** | Canadian Imperial Bank of Commerce World Markets | **MYC** | Morgan Stanley Capital Services LLC | **UAG** | UBS AG Stamford |
| **DBL** | Deutsche Bank AG London | **MYI** | Morgan Stanley & Co. International PLC | **WFS** | Wells Fargo Securities, LLC |
| **DEU** | Deutsche Bank Securities, Inc. | **MZF** | Mizuho Securities USA LLC | **UBS** | UBS Securities LLC |
| **DUB** | Deutsche Bank AG |  |  |  |  |
| **Currency Abbreviations:** | **Currency Abbreviations:** |  |  |  |  |
| **AUD** | Australian Dollar | **EUR** | Euro | **MXN** | Mexican Peso |
| **BRL** | Brazilian Real | **GBP** | British Pound | **NGN** | Nigerian Naira |
| **CAD** | Canadian Dollar | **HKD** | Hong Kong Dollar | **PEN** | Peruvian New Sol |
| **CNH** | Chinese Renminbi (Offshore) | **HUF** | Hungarian Forint | **PLN** | Polish Zloty |
| **CNY** | Chinese Renminbi (Mainland) | **IDR** | Indonesian Rupiah | **TRY** | Turkish New Lira |
| **CZK** | Czech Koruna | **JPY** | Japanese Yen | **USD (or $)** | United States Dollar |
| **DOP** | Dominican Peso | **KWD** | Kuwaiti Dinar | **ZAR** | South African Rand |
| **Index/Spread Abbreviations:** | **Index/Spread Abbreviations:** |  |  |  |  |
| **ABX.HE** | Asset-Backed Securities Index - Home Equity | **EUR003M** | 3 Month EUR Swap Rate | **PENAAA** | Penultimate AAA Sub-Index |
| **BISTREFI** | Turkish Lira Overnight Reference Rate | **EUR006M** | 6 Month EUR Swap Rate | **SOFR** | Secured Overnight Financing Rate |
| **BP0003M** | 3 Month GBP-LIBOR | **EUR012M** | 12 Month EUR Swap Rate | **SONIO** | Sterling Overnight Interbank Average Rate |
| **BNMMDTSC** | Dreyfus Treasury Securites Cash Management Fund Yield | **GSMMUSTI** | Goldman Sachs Money Market US Treasury <br> Instrument Index | **TSFR1M** | Term SOFR 1-Month |
| **BRMMUSDF** | BlackRock Money Market US Treasury Fund Index | **JMMMUSTF** | JP Morgan Money Market US Treasury Fund Index | **TSFR3M** | Term SOFR 3-Month |
| **CDOR06** | 6 month CDN Swap Rate | **JY0003M** | 3 Month JPY-LIBOR | **TSFR6M** | Term SOFR 6-Month |
| **EUR001M** | 1 Month EUR Swap Rate | **MSMMUSTF** | MSILF Money Market US Treasury Fund Index | **US0003M** | ICE 3-Month USD LIBOR |
| **Municipal Bond or Agency Abbreviations:** | **Municipal Bond or Agency Abbreviations:** |  |  |  |  |
| **ACA** | American Capital Access Holding Ltd. |  |  |  |  |
| **Other Abbreviations:** | **Other Abbreviations:** |  |  |  |  |
| **ABS** | Asset-Backed Security | **DAC** | Designated Activity Company | **REMIC** | Real Estate Mortgage Investment Conduit |
| **ALT** | Alternate Loan Trust | **EBITDA** | Earnings before Interest, Taxes, Depreciation and Amoritization | **TBA** | To-Be-Announced |
| **BRL-CDI** | Brazil Interbank Deposit Rate | **EURIBOR** | Euro Interbank Offered Rate | **TBD** | To-Be-Determined |
| **CDO** | Collateralized Debt Obligation | **OIS** | Overnight Index Swap | **TBD%** | Interest rate to be determined when loan settles or at the time of funding |
| **CLO** | Collateralized Loan Obligation | **PIK** | Payment-in-Kind |  |  |

---

## 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 Dynamic Income Fund

- **b. Investment Company Act file number:** 811-22673

- **c. CIK number of Registrant:** 0001510599

- **d. LEI of Registrant:** F0MWMXS5YG3P711FB044

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $10461832751.88

**Total Liabilities:** $3360297066.43

**Net Assets:** $7101535685.45

**Delayed Delivery Securities:** $140940000.00

**Cash Not Reported:** $55859272.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 160374.321800 | **1-Year:** 44571.107300 | **5-Year:** 128976.734000 | **10-Year:** 6334.802400 | **30-Year:** -50861.854600

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

- **3-Month:** 657608.874200 | **1-Year:** 418107.128500 | **5-Year:** 956034.855600 | **10-Year:** 470764.385800 | **30-Year:** 39841.750300

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 2.43%                | 3.55%                | 1.94%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6668055.59              | $-17344309.11                              |
| Month 2  | $25866495.26             | $-8804863.92                               |
| Month 3  | $13372216.89             | $17300668.69                               |

### Schedule of Portfolio Investments

| Name                                                                       | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A       | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4267000 | PA      | $3584231.36    | 0.05%             | 2046-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1           | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184007 | PA      | $165383.23     | 0.00%             | 2035-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1315041 | PA      | $1227012.87    | 0.02%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-8R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A          | CUSIP: 12650NAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6233389 | PA      | $5252794.33    | 0.07%             | 2037-11-25      | Floating      | 32.99%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 LI                                     | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12039079 | PA      | $2870735.33    | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 E 144A                   | CUSIP: 20048FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10004200 | PA      | $9223144.59    | 0.13%             | 2038-12-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                       | MFT TRUST MOFT 2020 ABC A 144A                              | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     556000 | PA      | $456351.46     | 0.01%             | 2042-02-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-935.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-629.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3              | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5835206 | PA      | $5419951.27    | 0.08%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                        | PASTOR IM FTH/FTA IMPAS 4 A REGS                            | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   14532880 | PA      | $15287187.21   | 0.22%             | 2044-03-22      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-126372.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2599358 | PA      | $-2602108.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A Z 144A           | CUSIP: ACI2S8TX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3784000 | PA      | $4083096.56    | 0.06%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8              | CUSIP: ACI1PP9T8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $21500.00      | 0.00%             | 2030-08-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1          | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600347 | PA      | $1524152.53    | 0.02%             | 2036-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                               | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |  299163217 | NS      | $351.23        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A       | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978104 | PA      | $981742.19     | 0.01%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15558580 | PA      | $-15568197.55  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                                       | VNO MORTGAGE TRUST VNDO 2016 350P E 144A                    | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4814000 | PA      | $4637323.79    | 0.07%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN 2011-RR3 TRUST                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR3 A5 144A       | CUSIP: 94987VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2952256 | PA      | $1621183.73    | 0.02%             | 2037-03-27      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                               | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                        | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165392 | PA      | $102822.18     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2              | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3018682 | PA      | $2777059.08    | 0.04%             | 2035-06-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 XS 144A         | CUSIP: 12656TAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  237261658 | PA      | $7645519.67    | 0.11%             | 2060-01-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                              | SUBCALIDORA 2 2024 EUR TERM LOAN                            | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   52304000 | PA      | $61714583.59   | 0.87%             | 2029-08-14      | Floating      | 7.75%                 | No            |                  3 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X D1A REGS                         | CUSIP: G3299TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8666547 | PA      | $9566314.20    | 0.13%             | 2045-06-13      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                    | TGS ASA SR SECURED 144A 01/30 8.5                           | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |    1400000 | PA      | $1443369.28    | 0.02%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                     | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3             | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5751144 | PA      | $2097027.51    | 0.03%             | 2036-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5             | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        | 3584000000 | PA      | $61729839.20   | 0.87%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2295638 | PA      | $-2298759.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/35 VAR               | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    3963372 | PA      | $3350367.64    | 0.05%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | ENVALIOR FINANCE GMBH EUR TERM LOAN B1                      | CUSIP: D255LZAB1<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |   16200000 | PA      | $18005209.26   | 0.25%             | 2030-03-29      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                      | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A            | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4584001 | PA      | $770832.84     | 0.01%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-2Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3875151.34   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $155.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12566832 | PA      | $-12585598.97  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A3           | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1367808 | PA      | $1155254.49    | 0.02%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1              | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5381664 | PA      | $5085452.63    | 0.07%             | 2036-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3915900 | PA      | $-3919212.20   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BRUCETON MILLS ASSOCIATES LLC                                              | PURIS TERM LOAN                                             | CUSIP: BA0005TS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15074483 | PA      | $14346968.94   | 0.20%             | 2030-07-01      | Floating      | 9.81%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A             | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     792964 | PA      | $670238.35     | 0.01%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1            | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7570533 | PA      | $2435410.81    | 0.03%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 M 144A                       | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1572115 | PA      | $1518002.51    | 0.02%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR            | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   71240679 | PA      | $71240679.00   | 1.00%             | 2030-01-31      | Fixed         | 12.39%                | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 SC                                     | CUSIP: 3137F8UF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2994555 | PA      | $435832.01     | 0.01%             | 2051-01-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B3 144A             | CUSIP: 59981TAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1532000 | PA      | $1075166.49    | 0.02%             | 2059-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                    | FREDDIE MAC FHR 5009 NI                                     | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12884172 | PA      | $2173848.45    | 0.03%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-86.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10142395.70   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1             | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     889215 | PA      | $399237.22     | 0.01%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95            | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197377.48     | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC CAD TERM LOAN                           | CUSIP: BA000FPR7<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    1799407 | PA      | $1306484.30    | 0.02%             | 2032-01-30      | Floating      | 7.68%                 | No            |                  3 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2              | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125523 | PA      | $124471.56     | 0.00%             | 2034-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     185146 | PA      | $231894.91     | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A7                      | CUSIP: 126694JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22992 | PA      | $11708.72      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |     300000 | PA      | $355103.36     | 0.01%             | 2029-01-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A        | CUSIP: 05955DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1091433 | PA      | $1095004.13    | 0.02%             | 2035-06-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A         | CUSIP: 61692AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18590000 | PA      | $390585.20     | 0.01%             | 2036-12-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M5             | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3996000 | PA      | $3737607.85    | 0.05%             | 2036-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC F 144A                                  | CUSIP: 05608GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5723264.40    | 0.08%             | 2034-04-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                       | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   11419792 | PA      | $12425671.42   | 0.17%             | 2046-06-21      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13852959 | PA      | $7498173.05    | 0.11%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797RW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     111000 | PA      | $110183.11     | 0.00%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 1A1                    | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1557675 | PA      | $1218929.64    | 0.02%             | 2047-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18603189 | PA      | $-18605958.40  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P D 144A                    | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2397120.75    | 0.03%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                              | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                     | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19111737 | PA      | $15587997.23   | 0.22%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                       | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR               | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1119030.00    | 0.02%             | 2026-03-31      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -12151626 | PA      | $-14297763.30  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2689125 | PA      | $-3157427.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 07/33 6.375               | CUSIP: ACI2YQ766<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    1100000 | PA      | $1331678.12    | 0.02%             | 2033-07-17      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A          | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534234 | PA      | $495907.07     | 0.01%             | 2046-02-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1             | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2526412 | PA      | $1972104.77    | 0.03%             | 2046-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                                | PRIME MORTGAGE TRUST PRIME 2006 1 3A1                       | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1127437 | PA      | $817719.61     | 0.01%             | 2036-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME E 144A        | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $347238.99     | 0.00%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| LONG WALK REINSURANCE LTD                                                  | LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR              | CUSIP: 54289CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    5800000 | PA      | $5906140.00    | 0.08%             | 2031-01-30      | Floating      | 14.17%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.25000 06/18/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17330738.92  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-21524.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1               | CUSIP: 02660TEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1990042 | PA      | $1785117.06    | 0.03%             | 2045-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -215397 | PA      | $-253430.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A R 144A                 | CUSIP: ACI2C6QT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   20785000 | PA      | $8165397.94    | 0.11%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATEGIC GAMING MANAGEMENT LLC                                            | STRATEGIC GAMING COMMITMENT PIK TERM LOAN                   | CUSIP: BA000LSD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   21000000 | PA      | $21000000.00   | 0.30%             | 2030-06-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA A 144A                            | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $979686.10     | 0.01%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A         | CUSIP: 17315XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     815598 | PA      | $410692.27     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1              | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136134 | PA      | $42882.23      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4           | CUSIP: 751151AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2773753 | PA      | $1065302.76    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-C                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1                | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1133484 | PA      | $1113068.09    | 0.02%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2021-2A                                                    | APEX CREDIT CLO LLC APEXC 2021 2A SUB 144A                  | CUSIP: 58406DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20050000 | PA      | $10299740.14   | 0.15%             | 2034-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $263300.00     | 0.00%             | 2027-06-06      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1               | CUSIP: 878048AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     204402 | PA      | $65736.52      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                    | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115096 | PA      | $58470.29      | 0.00%             | 2035-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.25         | CUSIP: ACI2L7PT2<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      23218 | PA      | $3569.77       | 0.00%             | 2027-09-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                          | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                 | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184694 | PA      | $182337.18     | 0.00%             | 2047-04-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A           | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     958769 | PA      | $1006253.17    | 0.01%             | 2037-03-26      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A            | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     467198 | PA      | $435730.33     | 0.01%             | 2036-11-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5                | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11413135 | PA      | $2380945.38    | 0.03%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11650678 | PA      | $-11711844.29  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M6             | CUSIP: 57643LHB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1706699 | PA      | $1575940.03    | 0.02%             | 2035-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2562035.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AN 144A                        | CUSIP: 83743YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  158546223 | PA      | $29304574.07   | 0.41%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1346692 | PA      | $-1348617.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                     | FIRST BRANDS 2021 TERM LOAN                                 | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1348621 | PA      | $490324.89     | 0.01%             | 2027-03-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4            | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495897 | PA      | $260639.55     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A          | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $14932531.50   | 0.21%             | 2032-07-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-11                                                    | LEHMAN XS TRUST LXS 2006 11 2A4                             | CUSIP: 52522WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141183 | PA      | $158797.61     | 0.00%             | 2046-06-24      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -4875469 | PA      | $-6561117.70   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3            | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11690521 | PA      | $2783415.91    | 0.04%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5384676 | PA      | $-5410104.27   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A                 | CUSIP: ACI2C6QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   39972000 | PA      | $50543493.30   | 0.71%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1             | CUSIP: 05950TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15021 | PA      | $13405.60      | 0.00%             | 2046-10-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP D 144A                          | CUSIP: 05490TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7790000 | PA      | $5580950.75    | 0.08%             | 2033-08-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP A 144A                          | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28700000 | PA      | $26533150.00   | 0.37%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                             | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36440 | PA      | $12336874.26   | 0.17%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   91806000 | PA      | $88086938.94   | 1.24%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1              | CUSIP: 05953LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2510179 | PA      | $2227307.06    | 0.03%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM C 144A          | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $1797507.78    | 0.03%             | 2036-12-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-496.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                              | PENNYMAC CORP COMPANY GUAR 03/26 5.5                        | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7684600.00    | 0.11%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                  | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12376 | PA      | $12051.11      | 0.00%             | 2035-07-25      | Floating      | 5.46%                 | 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        |     510372 | PA      | $496719.31     | 0.01%             | 2033-07-05      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A2 144A        | CUSIP: 69363JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2176760 | PA      | $2176541.33    | 0.03%             | 2051-07-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                       | GSAMP TRUST GSAMP 2004 AR1 M4                               | CUSIP: 36228F6S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1252521 | PA      | $1175246.80    | 0.02%             | 2034-06-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15895051 | PA      | $-15915476.54  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3           | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2266261 | PA      | $1362843.55    | 0.02%             | 2029-09-25      | Variable      | 5.46%                 | 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        |    9610441 | PA      | $7434140.02    | 0.10%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25         | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14170000 | PA      | $12254286.85   | 0.17%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                    | FREDDIE MAC FHR 3213 LS                                     | CUSIP: 31397AZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     396798 | PA      | $55595.77      | 0.00%             | 2036-09-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS              | CUSIP: 38375GSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     656738 | PA      | $32394.79      | 0.00%             | 2040-12-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1            | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43866 | PA      | $41872.04      | 0.00%             | 2045-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2002-AR1                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2             | CUSIP: 03072SDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1147647 | PA      | $1041760.13    | 0.01%             | 2032-09-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     734000 | PA      | $178985.90     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                           | FINASTRA USA INC 2023 REVOLVER                              | CUSIP: 953PAWII3<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |      90484 | PA      | $91087.11      | 0.00%             | 2029-09-13      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                      | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5630274 | PA      | $676840.59     | 0.01%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9084015 | PA      | $-9085317.05   | -0.13%            |  |  |  | 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        |     300000 | PA      | $311640.00     | 0.00%             | 2028-02-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                   | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1084574 | PA      | $1025327.30    | 0.01%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1391577 | PA      | $-1419025.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1               | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3591915 | PA      | $3044883.32    | 0.04%             | 2047-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                               | DBGS MORTGAGE TRUST DBGS 2018 5BP B 144A                    | CUSIP: 33830CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1479200.00    | 0.02%             | 2033-06-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2            | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56941 | PA      | $55624.18      | 0.00%             | 2034-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF B 144A         | CUSIP: 61691KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12300000 | PA      | $12072104.37   | 0.17%             | 2034-11-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M5                | CUSIP: 126673VT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     697252 | PA      | $585490.63     | 0.01%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18273247 | PA      | $-18275917.37  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                    | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1             | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1239683 | PA      | $943947.16     | 0.01%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR31                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR31 A5            | CUSIP: 45667QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     457936 | PA      | $433108.71     | 0.01%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P F 144A         | CUSIP: 61772WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18000000 | PA      | $15565898.70   | 0.22%             | 2038-12-15      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6              | CUSIP: 93936JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1054231 | PA      | $946190.72     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-802597.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                            | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                   | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1401211 | PA      | $632316.28     | 0.01%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                               | SIERRA HAMILTON HOLDER LLC                                  | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   30337712 | NS      | $3033.77       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                      | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3            | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1284446 | PA      | $1288916.89    | 0.02%             | 2035-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14689312 | PA      | $-14703107.48  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                 | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1194876 | PA      | $1072898.69    | 0.02%             | 2034-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300B 144A           | CUSIP: 08163DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $136258.00     | 0.00%             | 2054-04-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | X CORP TERM LOAN                                            | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   90682705 | PA      | $89083061.93   | 1.25%             | 2029-10-26      | Floating      | 10.96%                | 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      | $2060738.37    | 0.03%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $981.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $639900.00     | 0.01%             | 2032-01-07      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4904850 | PA      | $-4953119.42   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INVEST TR 2004-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1                | CUSIP: 02660TBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6839277 | PA      | $6505938.49    | 0.09%             | 2044-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20         | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524631 | PA      | $432913.59     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/26 6            | CUSIP: ACI2L7N56<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      23163 | PA      | $3485.57       | 0.00%             | 2026-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                           | HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1                   | CUSIP: 40431TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1371081 | PA      | $1238415.00    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $891.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14641387 | PA      | $-14673964.07  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1             | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5350223 | PA      | $2631390.87    | 0.04%             | 2036-03-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2793524 | PA      | $-2863138.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A6                | CUSIP: 22942JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136675 | PA      | $61951.09      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                       | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR               | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $781865.00     | 0.01%             | 2031-05-27      | Floating      | 21.90%                | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A      | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $161401.10     | 0.00%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4              | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2448806 | PA      | $833795.62     | 0.01%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                      | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000            | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18028954 | PA      | $6290302.08    | 0.09%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-406.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -899846 | PA      | $-902044.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                 | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1354008 | PA      | $1314587.09    | 0.02%             | 2025-11-30      | Floating      | 6.41%                 | No            |                  3 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B5 144A             | CUSIP: 59981TBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1265000 | PA      | $692586.11     | 0.01%             | 2059-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3          | CUSIP: 12668AV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121531 | PA      | $58624.90      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                              | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                      | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22042 | PA      | $3168.82       | 0.00%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B              | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   67477096 | PA      | $67540523.99   | 0.95%             | 2030-12-18      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2           | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170246 | PA      | $81566.53      | 0.00%             | 2037-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                              | COREWEAVE INC COMPANY GUAR 144A 02/31 9                     | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    7800000 | PA      | $8003806.20    | 0.11%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1           | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458251 | PA      | $407132.22     | 0.01%             | 2036-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                        | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |  116310000 | PA      | $120431793.78  | 1.70%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R7                              | MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A           | CUSIP: 61765PAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8900920 | PA      | $6528449.46    | 0.09%             | 2035-06-26      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3077088 | PA      | $-3092323.82   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -27188392 | PA      | $-27345571.45  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B14                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A           | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $41815.83      | 0.00%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1          | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24247 | PA      | $17228.30      | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $27898.92      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1             | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387298 | PA      | $379945.12     | 0.01%             | 2034-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED REGS 01/29 4.125                | CUSIP: ACI1RJK00<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $101591.72     | 0.00%             | 2029-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                 | FANNIE MAE FNR 2006 113 BQ                                  | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30125 | PA      | $1295.28       | 0.00%             | 2036-11-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M5             | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2298088 | PA      | $1612909.73    | 0.02%             | 2035-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15186619 | PA      | $-15208862.20  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1            | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     621164 | PA      | $519409.78     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-S6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6               | CUSIP: 126684AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          4 | PA      | $3.96          | 0.00%             | 2034-03-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251021                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $48789.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD 2020-18A                                               | OCP CLO LTD OCP 2020 18A PREF 144A                          | CUSIP: 67570T105<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      10500 | PA      | $3518977.88    | 0.05%             | 2037-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251028                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4662.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1             | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     554164 | PA      | $586565.92     | 0.01%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A D 144A                | CUSIP: 19424RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3811000 | PA      | $4071697.55    | 0.06%             | 2054-06-25      | Fixed         | 8.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1            | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1174128 | PA      | $1034321.23    | 0.01%             | 2047-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3753872 | PA      | $-3772631.34   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7112.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/31 VAR                    | CUSIP: 92335TAB5<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    4600000 | PA      | $4753640.00    | 0.07%             | 2031-03-10      | Floating      | 16.57%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $196.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                       | CLARITEV CORP SR SECURED 144A 03/31 6.75                    | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26159426 | PA      | $20338953.72   | 0.29%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                           | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3             | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $163000.00     | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                            | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   85882917 | PA      | $56682725.22   | 0.80%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1             | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63195 | PA      | $63267.23      | 0.00%             | 2044-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1              | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730655 | PA      | $680800.82     | 0.01%             | 2035-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-10                                              | LEHMAN MORTGAGE TRUST LMT 2007 10 1A1                       | CUSIP: 52522QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299682 | PA      | $292569.06     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                            | LAVENDER TRUST LTS 2010 RR2A A4 144A                        | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3395001 | PA      | $1525957.82    | 0.02%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                        | PRET 2025 NPL10 LLC 10/55 5.2498                            | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8100000 | PA      | $8096452.93    | 0.11%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2005-2                                           | IMPAC SECURED ASSETS CORP. IMSA 2005 2 A2D                  | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     772540 | PA      | $687987.62     | 0.01%             | 2036-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2020-2            | FREDDIE MAC   SLST SLST 2020 2 MRR 144A                     | CUSIP: 35564CGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  254612116 | PA      | $175890327.01  | 2.48%             | 2060-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2023 EUR TERM LOAN B14                     | CUSIP: F6628DAP9<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    1493161 | PA      | $1662475.09    | 0.02%             | 2028-08-15      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   25349744 | PA      | $13029558.01   | 0.18%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4             | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442114 | PA      | $167752.81     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM D 144A          | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8800000 | PA      | $8403726.32    | 0.12%             | 2036-12-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                                  | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                     | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3390000 | PA      | $563948.94     | 0.01%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                             | COUNTRYWIDE HOME LOANS CWHL 2005 22 2A1                     | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634090 | PA      | $524985.34     | 0.01%             | 2035-11-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A           | CUSIP: 61758VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209298 | PA      | $202973.18     | 0.00%             | 2035-09-26      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| HILLCREST CDO I LTD 2004-1A                                                | HILLCREST CDO LTD HILLC 2004 1A A1A 144A                    | CUSIP: 43147XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32572913 | PA      | $5665015.86    | 0.08%             | 2039-12-10      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 XS 144A         | CUSIP: 12657GAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  213321104 | PA      | $6373778.61    | 0.09%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                         | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   78209153 | PA      | $78168484.57   | 1.10%             | 2030-12-19      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -10578710 | PA      | $-14252836.32  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1             | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232695 | PA      | $150779.90     | 0.00%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                    | FREDDIE MAC FHR 3868 SA                                     | CUSIP: 3137AAEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     503258 | PA      | $48150.54      | 0.00%             | 2041-05-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M4            | CUSIP: 83611PBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2829 | PA      | $2828.79       | 0.00%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C                | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9129 | PA      | $7686.40       | 0.00%             | 2036-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |    4260000 | PA      | $4486419.00    | 0.06%             | 2031-05-13      | Floating      | 16.71%                | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 11/31 4.625                       | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    4800000 | PA      | $4308247.25    | 0.06%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | DRILLCO HLDG LUX S A COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |     237203 | NS      | $5139398.41    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14889841 | PA      | $-14901330.99  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF A 144A         | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2430335 | PA      | $2409288.96    | 0.03%             | 2034-11-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A           | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24507 | PA      | $1425391.71    | 0.02%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B1 144A                           | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22514800 | PA      | $6538432.94    | 0.09%             | 2038-09-04      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 12/30 VAR                | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     824000 | PA      | $866312.40     | 0.01%             | 2030-12-07      | Floating      | 13.93%                | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                        | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A         | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18810000 | PA      | $16659236.39   | 0.23%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/30 0.875           | CUSIP: ACI235LV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $729846.25     | 0.01%             | 2030-01-31      | Fixed         | 0.88%                 | 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        |     425556 | PA      | $391118.37     | 0.01%             | 2037-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO B 144A                  | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9990000 | PA      | $7735490.77    | 0.11%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-386.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1049580 | PA      | $-1234055.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED REGS 06/27 10                            | CUSIP: P7354FAD8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   23469664 | PA      | $15489978.24   | 0.22%             | 2027-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A        | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9525516 | PA      | $8668219.88    | 0.12%             | 2036-08-05      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 14A6 144A                      | CUSIP: 05532WGU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1998463 | PA      | $1602081.48    | 0.02%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| YINSON PRODUCTION FINANCIAL SERVICES PTE LTD                               | YINSON PRODUCTION FINANC SR SECURED 144A REGS 05/29 9.6     | CUSIP: ACI2NT341<br>LEI: 254900TYMSC94RS33U73 | Long             | DBT              | CORP              | SG        |    8900000 | PA      | $9424577.66    | 0.13%             | 2029-05-03      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1400000 | PA      | $-1412058.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1553930 | PA      | $-2091166.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2129040 | PA      | $-2150595.35   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                         | BX TRUST BX 2021 BXMF E 144A                                | CUSIP: 05609RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1212039 | PA      | $1211312.08    | 0.02%             | 2026-10-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A           | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148027 | PA      | $150780.71     | 0.00%             | 2037-03-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| UNICORN BAY (HONG KONG) INVESTMENTS LIMITED                                | UNICORN BAY HKD FIXED TERM LOAN A                           | CUSIP: BA00077Z7<br>LEI: N/A                  | Long             | LON              | CORP              | HK        |  299434931 | PA      | $38959112.81   | 0.55%             | 2026-12-31      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    7200000 | PA      | $5040000.00    | 0.07%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR              | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    3223001 | PA      | $1809715.06    | 0.03%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 WI                                     | CUSIP: 3137FURL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9846220 | PA      | $1756070.34    | 0.02%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA B 144A               | CUSIP: 647622AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6425000 | PA      | $6347777.93    | 0.09%             | 2032-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1B 144A                         | CUSIP: 83743YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      47526 | PA      | $8784.40       | 0.00%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | ENDURANCE INTERNATIONAL GROUP NON COOP TERM LOAN            | CUSIP: 29279UAB2<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   67928187 | PA      | $49247935.71   | 0.69%             | 2028-02-10      | Floating      | 7.84%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A         | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252352 | PA      | $208883.18     | 0.00%             | 2036-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75                 | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   11420000 | PA      | $12309195.46   | 0.17%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 2A5          | CUSIP: 02146VAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8376326 | PA      | $2464739.75    | 0.03%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR4                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA            | CUSIP: 939345AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4430203 | PA      | $2468576.28    | 0.03%             | 2046-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $518.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-8R                                      | NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A         | CUSIP: 65540QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2980113 | PA      | $2632650.19    | 0.04%             | 2035-09-26      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6606767 | PA      | $-6725280.26   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1           | CUSIP: 02150QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65234 | PA      | $58467.26      | 0.00%             | 2037-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-485L                                | GS MORTGAGE SECURITIES TRUST GSMS 2017 485L B 144A          | CUSIP: 36252CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1501000 | PA      | $1398429.17    | 0.02%             | 2037-02-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1              | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990321 | PA      | $373164.00     | 0.01%             | 2047-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                           | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $418700.00     | 0.01%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2015-5                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 5 3A2 144A         | CUSIP: 17323XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4355071 | PA      | $4090191.48    | 0.06%             | 2034-08-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $6970312.50    | 0.10%             | 2036-12-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                     | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1               | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     847506 | PA      | $816118.63     | 0.01%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                            | BEAR STEARNS ALT A TRUST BALTA 2006 7 1AE4 144A             | CUSIP: 073875BJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3067390 | PA      | $1502379.60    | 0.02%             | 2046-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A1            | CUSIP: 45667WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85785 | PA      | $82447.03      | 0.00%             | 2036-11-25      | Floating      | 4.69%                 | 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        |   10000000 | NS      | $9876700.00    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/34 1.25            | CUSIP: ACI236111<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $243691.43     | 0.00%             | 2034-01-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1             | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |    4079279 | NS      | $1762455.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2           | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6679835 | PA      | $1787149.13    | 0.03%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED REGS 01/28 3.375                | CUSIP: ACI1FL2Y4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   19500000 | PA      | $19746064.58   | 0.28%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AV 144A                        | CUSIP: 83743YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9983006 | PA      | $1845188.89    | 0.03%             | 2041-01-06      | Floating      | 0.45%                 | 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        |    1136441 | PA      | $1151305.19    | 0.02%             | 2040-08-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                  | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1491601 | PA      | $1328656.11    | 0.02%             | 2036-09-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                     | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                 | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     497088 | PA      | $9941.77       | 0.00%             | 2038-04-25      | Variable      | 1.06%                 | No            |                  3 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18150000 | PA      | $18034168.52   | 0.25%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2            | CUSIP: 12668ATS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7229834 | PA      | $293146.98     | 0.00%             | 2035-12-25      | Floating      | 0.82%                 | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                         | MH SUB I LLC 2024 TERM LOAN B4                              | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    4962500 | PA      | $4577906.25    | 0.06%             | 2031-12-31      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8514450 | PA      | $-10062809.53  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4863619 | PA      | $-4912138.87   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-63                                                         | FANNIE MAE FNR 2011 63 CS                                   | CUSIP: 31397USG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1281442 | PA      | $133266.16     | 0.00%             | 2041-07-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7270579 | PA      | $-7368731.77   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                     | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  252535088 | PA      | $15386659.87   | 0.22%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP COMPANY GUAR 07/26 7.75                       | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57800000 | PA      | $57327275.76   | 0.81%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260615                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $700.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                           | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  153997711 | PA      | $4619931.33    | 0.07%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 02/28 VAR                        | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    3700000 | PA      | $3733485.00    | 0.05%             | 2028-02-22      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $17361.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6099.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M6             | CUSIP: 57643LHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     763116 | PA      | $611158.99     | 0.01%             | 2035-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/36 8.375                       | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1890000 | PA      | $1953141.40    | 0.03%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B4 144A               | CUSIP: 89178BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $2446049.20    | 0.03%             | 2059-10-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM4 B3 144A       | CUSIP: 36272UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4711455 | PA      | $4334538.60    | 0.06%             | 2065-10-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                      | CLOVER HOLDINGS 2 LLC REVOLVER                              | CUSIP: 18914DAD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6574791 | PA      | $6556578.83    | 0.09%             | 2029-12-10      | Floating      | 0.24%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A            | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634843 | PA      | $528095.80     | 0.01%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                 | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4016000 | PA      | $3965715.22    | 0.06%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5992099 | PA      | $-6004307.54   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1              | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418144 | PA      | $405503.08     | 0.01%             | 2046-09-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2007-HF1                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2007 HF1 4A1             | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10521432 | PA      | $4122598.10    | 0.06%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-IRON                                     | BX TRUST BX 2021 IRON E 144A                                | CUSIP: 05608JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1877660 | PA      | $1813469.34    | 0.03%             | 2038-02-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -100663676 | PA      | $-102452766.08 | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C          | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79152 | PA      | $59384.26      | 0.00%             | 2046-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 07/30 7.5                 | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    5200000 | PA      | $5461180.40    | 0.08%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                          | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A1 144A        | CUSIP: 81377AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2137534 | PA      | $1840038.93    | 0.03%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SECURITIES NO.1 PLC                                     | LANSDOWNE MORTGAGE SECURITIES LANSD 1 M1 REGS               | CUSIP: B12GGNII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     900000 | PA      | $892140.04     | 0.01%             | 2045-06-15      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 3A1                     | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6060 | PA      | $5666.91       | 0.00%             | 2034-12-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30368943 | PA      | $-30630520.84  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38             | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21087 | PA      | $19700.15      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A1             | CUSIP: 17307GK98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159548 | PA      | $149579.64     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4           | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4907065 | PA      | $3275865.04    | 0.05%             | 2037-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                 | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $543275.00     | 0.01%             | 2031-05-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1185000 | PA      | $-1187488.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X RESD REGS                        | CUSIP: B2428WII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       5718 | PA      | $1105504.38    | 0.02%             | 2045-06-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2021-3                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 C 144A           | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     277030 | PA      | $272923.43     | 0.00%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1188697 | PA      | $-1189748.58   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                         | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A2              | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6206247 | PA      | $2259677.31    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                             | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000         | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    4677000 | PA      | $3524937.98    | 0.05%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2              | CUSIP: 03072SQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4041063.03    | 0.06%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MARINE ONE HOLDCO LLC                                                      | WEST MARINE NEW COMMON STOCK EQTYWM9A9                      | CUSIP: 902LVFII8<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      43000 | NS      | $271664.07     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A       | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3977141 | PA      | $2347572.59    | 0.03%             | 2037-06-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15          | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95131 | PA      | $60987.78      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-4                                                   | JP MORGAN REREMIC JPMRR 2009 4 4A2 144A                     | CUSIP: 46633JBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3825408 | PA      | $1169041.67    | 0.02%             | 2036-04-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |    2351000 | PA      | $2292471.86    | 0.03%             | 2027-09-01      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                  | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 3382300000 | PA      | $2005732.64    | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10491000 | PA      | $10411444.75   | 0.15%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6             | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18520 | PA      | $18240.38      | 0.00%             | 2033-03-25      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B3 144A          | CUSIP: 26844QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22284097 | PA      | $21971651.68   | 0.31%             | 2068-02-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   21344000 | PA      | $10240087.08   | 0.14%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                   | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                      | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3635119 | PA      | $3121006.37    | 0.04%             | 2037-03-27      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A22                     | CUSIP: 126694KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18990 | PA      | $7046.65       | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                    | FREDDIE MAC FHR 5000 IA                                     | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5108630 | PA      | $812509.66     | 0.01%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4010779 | PA      | $-4047613.77   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP LLC / COGENT FINANCE INC                       | COGENT COMMS GRP / FIN COMPANY GUAR 144A 06/27 7            | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5755000 | PA      | $5744518.42    | 0.08%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI E 144A                            | CUSIP: 92943AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16010000 | PA      | $16250870.45   | 0.23%             | 2037-07-05      | Variable      | 10.17%                | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5             | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3449924.01    | 0.05%             | 2036-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                     | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        | 1484300000 | PA      | $34808387.50   | 0.49%             | 2028-09-06      | Fixed         | 46.96%                | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |   35292955 | PA      | $33894958.80   | 0.48%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR              | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    2262170 | PA      | $941628.26     | 0.01%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                  | HILTON USA TRUST HILT 2016 SFP A 144A                       | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $838490.50     | 0.01%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/46 7.75            | CUSIP: ACI2ML745<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $383485.31     | 0.01%             | 2046-04-30      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/28 6.75         | CUSIP: ACI2L7Q61<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      69993 | PA      | $10848.92      | 0.00%             | 2028-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST 2006-1                                                     | MID STATE TRUST MDST 2006 1 M2 144A                         | CUSIP: 59548PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1678472 | PA      | $1703845.05    | 0.02%             | 2040-10-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4              | CUSIP: 41161PSY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     696681 | PA      | $629448.68     | 0.01%             | 2035-06-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2869016 | PA      | $-2875991.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B6 144A             | CUSIP: 59981TBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267170 | PA      | $575829.29     | 0.01%             | 2059-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 D 144A            | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     444062 | PA      | $449049.28     | 0.01%             | 2032-10-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A3             | CUSIP: 23242NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3394713 | PA      | $2927760.92    | 0.04%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                   | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18126 | PA      | $17124.16      | 0.00%             | 2035-08-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3             | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6964116 | PA      | $4092474.07    | 0.06%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     219532 | PA      | $115473.88     | 0.00%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR GOVT                                                           | REPUBLIC OF EL SALVADOR REPUBLIC OF EL SALVADOR             | CUSIP: 283875CE0<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |   14900000 | PA      | $16296875.00   | 0.23%             | 2030-04-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -76 | NC      | $357293.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-13                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A        | CUSIP: 74928GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2920752 | PA      | $1551842.19    | 0.02%             | 2035-09-26      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MTGE SEC INC 2004-1                                               | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 1 1A1               | CUSIP: 251563CG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51274 | PA      | $52217.08      | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A            | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10300000 | PA      | $7658147.85    | 0.11%             | 2049-01-15      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 B5 144A               | CUSIP: 89177JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46176990 | PA      | $5975140.92    | 0.08%             | 2058-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-42                                                  | FANNIE MAE FNR 2019 42 SK                                   | CUSIP: 3136B5VS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134108 | PA      | $15502.53      | 0.00%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 G 144A       | CUSIP: 46654PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22700000 | PA      | $22848212.84   | 0.32%             | 2038-11-15      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLDING COMMON STOCK                      | CUSIP: ACI2J2G58<br>LEI: 529900GNB86RB7HRX793 | Long             | EC               | CORP              | LU        |     843935 | NS      | $0.99          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. COMMON STOCK                                        | CUSIP: B7XL4M900<br>LEI: 254900YEMWCRRAGD4978 | Long             | EC               | CORP              | BR        |   24221572 | NS      | $2412031.22    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                        | IMPAC CMB TRUST IMM 2004 8 1A                               | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13563 | PA      | $13440.61      | 0.00%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3              | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3152205 | PA      | $807934.33     | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 31A1                  | CUSIP: 07386HP54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6228709 | PA      | $2532832.91    | 0.04%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                   | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $897284.00     | 0.01%             | 2036-11-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3              | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524839 | PA      | $524136.26     | 0.01%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T C 144A                    | CUSIP: 23307CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6193000 | PA      | $5985700.47    | 0.08%             | 2036-12-10      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 XA 144A               | CUSIP: 89178BBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4984063 | PA      | $4256063.14    | 0.06%             | 2059-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260302                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-90704.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1970725 | PA      | $-1995124.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                    | C BASS LTD CBCL 16A A 144A                                  | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   98372552 | PA      | $501208.15     | 0.01%             | 2041-09-06      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22901748 | PA      | $-23093836.61  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1             | CUSIP: 61748HHP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134046 | PA      | $118361.22     | 0.00%             | 2035-01-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12883870 | PA      | $-12935952.83  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                       | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11113345 | PA      | $13461877.57   | 0.19%             | 2045-09-13      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6323.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3176625 | PA      | $-4274958.60   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R4                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R4 1A2 144A        | CUSIP: 05958SAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4212343 | PA      | $3564963.81    | 0.05%             | 2036-05-26      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-2                                          | CONSECO FINANCE SECURITIZATION CNF 2002 2 M2                | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7684206 | PA      | $7785301.30    | 0.11%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805A 144A       | CUSIP: 17328CBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $1081465.20    | 0.02%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                            | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A        | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $503867.80     | 0.01%             | 2040-09-15      | Variable      | 5.58%                 | 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        |     300000 | PA      | $357692.15     | 0.01%             | 2027-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                        | SAXON ASSET SECURITIES TRUST SAST 2004 1 M2                 | CUSIP: 805564PP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5095850 | PA      | $2860155.82    | 0.04%             | 2035-03-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS11                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1            | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3906045 | PA      | $3132418.79    | 0.04%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |    4260000 | PA      | $4490040.00    | 0.06%             | 2031-05-13      | Floating      | 15.46%                | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC JPY TERM LOAN                           | CUSIP: BA000FPQ9<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |  192401273 | PA      | $1316591.65    | 0.02%             | 2032-01-30      | Floating      | 6.00%                 | No            |                  3 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR              | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1911693 | PA      | $931950.34     | 0.01%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED REGS 02/28 4            | CUSIP: ACI1LBML5<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    5125000 | PA      | $2174422.50    | 0.03%             | 2028-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                     | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   51205463 | PA      | $82843533.89   | 1.17%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4                 | CUSIP: 70069FKH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1970194.16    | 0.03%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -43314421 | PA      | $-43451731.21  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST                             | LENDINGPOINT ASSET SECURITIZAT LDPT 2022 B B 144A           | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     505666 | PA      | $502793.48     | 0.01%             | 2029-10-15      | Fixed         | 5.99%                 | 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        |     976280 | PA      | $962886.38     | 0.01%             | 2037-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A             | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334796 | PA      | $289677.50     | 0.00%             | 2047-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11483209 | PA      | $-11607189.70  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                     | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4               | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2090004.84    | 0.03%             | 2035-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3154317 | PA      | $-3157936.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                             | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                     | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1069428 | PA      | $332348.23     | 0.00%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO III LTD 2005-3A                                        | GLACIER FUNDING CDO GLCR 2005 3A A1 144A                    | CUSIP: 37638XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31282418 | PA      | $2504001.14    | 0.04%             | 2035-08-04      | Floating      | 7.77%                 | 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        |     468662 | PA      | $395687.38     | 0.01%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.50 9/20/23-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $803001.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC    | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   48093781 | PA      | $7514582.64    | 0.11%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                              | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                        | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86742 | PA      | $78727.53      | 0.00%             | 2034-02-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM3 B3 144A       | CUSIP: 36274TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4634426 | PA      | $4212452.71    | 0.06%             | 2065-11-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |     411497 | PA      | $401593.87     | 0.01%             | 2027-09-01      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2641470 | PA      | $-3118958.31   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   41945134 | PA      | $42551450.91   | 0.60%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                             | COUNTRYWIDE HOME LOANS CWHL 2007 10 A18                     | CUSIP: 12545CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141333 | PA      | $61340.66      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                             | GRAY TELEVISION INC 2024 TERM LOAN B                        | CUSIP: 389376BC7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |     243301 | PA      | $243782.81     | 0.00%             | 2029-05-23      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5             | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6289251 | PA      | $5248667.76    | 0.07%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                      | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1           | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1072136 | PA      | $997479.24     | 0.01%             | 2037-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                       | TALON FUNDING LTD TALON 1A A 144A                           | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     675547 | PA      | $108650.32     | 0.00%             | 2035-06-05      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3           | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6182973 | PA      | $5454991.68    | 0.08%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -6921123 | PA      | $-9325098.83   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A             | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1977940 | PA      | $1808302.44    | 0.03%             | 2046-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                       | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN C 144A       | CUSIP: 19521DAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2000000 | PA      | $1403578.36    | 0.02%             | 2052-01-25      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/28 VAR                   | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     800000 | PA      | $851160.00     | 0.01%             | 2028-06-06      | Floating      | 16.19%                | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                               | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A        | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3134892 | PA      | $2090981.10    | 0.03%             | 2037-06-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 01/28 5.5                  | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    9800000 | PA      | $8673000.00    | 0.12%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1739468.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A        | CUSIP: 12642YGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4635854 | PA      | $4207182.85    | 0.06%             | 2037-07-26      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8000 | PA      | $1851270.59    | 0.03%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC-3136                                                           | FREDDIE MAC FHR 3136 NS                                     | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101809 | PA      | $9453.20       | 0.00%             | 2036-04-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2          | CUSIP: 07387UCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227584 | PA      | $122618.42     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                       | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $267675.00     | 0.00%             | 2031-04-30      | Floating      | 12.30%                | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-36                                                         | FANNIE MAE FNR 2020 36 NI                                   | CUSIP: 3136B95E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14475473 | PA      | $2578167.16    | 0.04%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR              | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     605369 | PA      | $319332.15     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 X 144A                | CUSIP: 59980XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45184578 | PA      | $2711.07       | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS C 144A         | CUSIP: 61692AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453000 | PA      | $55141.02      | 0.00%             | 2036-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A4                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154230 | PA      | $523179.46     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14161132 | PA      | $-14173640.61  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1          | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2004792 | PA      | $1830667.26    | 0.03%             | 2046-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                  | SEQUOIA MORTGAGE TRUST SEMT 10 B1                           | CUSIP: 81743VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50338 | PA      | $43146.66      | 0.00%             | 2027-10-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M5               | CUSIP: 00764MFF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $906094.50     | 0.01%             | 2035-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A R 144A                | CUSIP: 19424R108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21173 | PA      | $11306041.11   | 0.16%             | 2054-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                       | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A     | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  140940000 | PA      | $140940000.00  | 1.98%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $679028.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1            | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50823 | PA      | $50921.09      | 0.00%             | 2034-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000            | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     182224 | PA      | $176301.05     | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP D 144A          | CUSIP: 12651QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3121000 | PA      | $3106720.49    | 0.04%             | 2032-07-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                              | PURPLE RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $743470.00     | 0.01%             | 2027-06-07      | Floating      | 13.09%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B5 144A               | CUSIP: 59980YAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2905605 | PA      | $1660894.60    | 0.02%             | 2066-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8            | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     324561 | PA      | $154325.51     | 0.00%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B           | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390369 | PA      | $264800.95     | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1158.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-56.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                 | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TA 144A      | CUSIP: 05492TBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $997717.38     | 0.01%             | 2053-02-15      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                          | VERUS SECURITIZATION TRUST VERUS 2024 5 B2 144A             | CUSIP: 92540HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1003298.00    | 0.01%             | 2069-06-25      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-AR5                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A           | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1729795 | PA      | $1013406.02    | 0.01%             | 2036-07-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A           | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76969 | PA      | $74434.59      | 0.00%             | 2045-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFX 144A      | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8955000 | PA      | $8519003.44    | 0.12%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D            | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1291421 | PA      | $609795.46     | 0.01%             | 2036-03-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| TRANSNET                                                                   | TRANSNET SOC LTD 2015 ZAR TERM LOAN                         | CUSIP: BA000FR04<br>LEI: 378900B07CD6F01EA796 | Long             | LON              | CORP              | ZA        |  147214286 | PA      | $8423604.84    | 0.12%             | 2028-03-02      | Floating      | 11.12%                | No            |                  3 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000            | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     548027 | PA      | $470737.57     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                    | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A          | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124384 | PA      | $1069833.22    | 0.02%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-10H                                                   | LEHMAN XS TRUST LXS 2007 10H 1A3                            | CUSIP: 525237AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22505398 | PA      | $16252158.12   | 0.23%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-47.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HLDG S A COMMON STOCK                               | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      26354 | NS      | $571003.34     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7            | CUSIP: 466285AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36290 | PA      | $45896.53      | 0.00%             | 2036-11-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LN TR 2007-HE2                                   | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6            | CUSIP: 36186LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471163 | PA      | $465060.44     | 0.01%             | 2037-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-14R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A         | CUSIP: 12639GAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10119787 | PA      | $4490999.76    | 0.06%             | 2037-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260115                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $55256.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8            | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    2471654 | PA      | $1175247.99    | 0.02%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 X 144A             | CUSIP: 59982HBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   63125589 | PA      | $2704559.06    | 0.04%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P E 144A                    | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8861000 | PA      | $8424600.18    | 0.12%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 4A1              | CUSIP: 863579U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21309443 | PA      | $12037422.99   | 0.17%             | 2036-03-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A        | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6870000 | PA      | $6287447.36    | 0.09%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11007793 | PA      | $-11018773.10  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A           | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24000000 | PA      | $20749440.00   | 0.29%             | 2038-11-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A12               | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122909 | PA      | $55711.26      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                   | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528      | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     612413 | PA      | $614607.17     | 0.01%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC DELAYED DRAW TERM LOAN                       | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    2808952 | PA      | $2808951.97    | 0.04%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A           | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $300196.92     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251107                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $117746.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A              | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61929 | PA      | $57146.77      | 0.00%             | 2034-06-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | ARAB REPUBLIC OF EGYPT SR UNSECURED REGS 04/31 6.375        | CUSIP: ACI1B3V91<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   13100000 | PA      | $14773781.57   | 0.21%             | 2031-04-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $883.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRETM 2025-RPL3 CERT TRUST                                                 | PRETM 2025 RPL3 TR PRETM 2025 RPL3 CERT 144A                | CUSIP: 69382TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16013839 | PA      | $13767630.30   | 0.19%             | 2065-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED REGS 10/29 4.25                 | CUSIP: ACI20QTK8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   14800000 | PA      | $15093184.40   | 0.21%             | 2029-10-15      | Fixed         | 4.25%                 | 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        |     145088 | PA      | $143497.18     | 0.00%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2004-6A                                                   | DUKE FUNDING LTD DUKEF 2004 6A A1S 144A                     | CUSIP: 264407AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7545721 | PA      | $594934.83     | 0.01%             | 2039-04-08      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF B 144A             | CUSIP: 04410RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     598000 | PA      | $598037.38     | 0.01%             | 2035-04-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A         | CUSIP: 17324MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3623632 | PA      | $3477513.02    | 0.05%             | 2036-02-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-88                                                  | FANNIE MAE FNR 2007 88 MI                                   | CUSIP: 31396XUW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203802 | PA      | $14809.97      | 0.00%             | 2037-09-25      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI               | CUSIP: 38378HFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143542 | PA      | $14567.92      | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20251202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $502.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2022-DNA1                                          | FREDDIE MAC   STACR STACR 2022 DNA1 B2 144A                 | CUSIP: 35564KQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3800000 | PA      | $4033118.60    | 0.06%             | 2042-01-25      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3               | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19916902 | PA      | $1775032.13    | 0.02%             | 2036-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1             | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417766 | PA      | $385926.55     | 0.01%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A B 144A                           | CUSIP: 83743YAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2564774 | PA      | $256.48        | 0.00%             | 2041-01-06      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4                | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       1000 | PA      | $278.97        | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-73                                                  | FANNIE MAE FNR 2008 73 SC                                   | CUSIP: 31397L6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     323582 | PA      | $24472.32      | 0.00%             | 2038-08-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A2             | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159031 | PA      | $138862.14     | 0.00%             | 2034-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR12                                                   | BCAP LLC TRUST BCAP 2013 RR12 1A5 144A                      | CUSIP: 05490CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3905957 | PA      | $3480130.29    | 0.05%             | 2035-05-26      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 2A4              | CUSIP: 65536QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3009268.85    | 0.04%             | 2036-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875            | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     800000 | PA      | $88000.00      | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                         | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2              | CUSIP: 31659EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3848146 | PA      | $2091578.47    | 0.03%             | 2036-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4876230 | PA      | $-5730691.70   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1                | CUSIP: 045427AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36059482 | PA      | $29260163.84   | 0.41%             | 2046-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A                 | CUSIP: ACI2C6PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11991000 | PA      | $19547160.38   | 0.28%             | 2062-10-16      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                 | DESARROLLADORA HOMEX SAB DE COMMON STOCK                    | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     719113 | NS      | $39.27         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT SA                                                                | SES S A COMMON STOCK                                        | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    1755353 | NS      | $20890018.97   | 0.29%             |  |  |  | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A Z 144A           | CUSIP: ACI2S8TP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3433000 | PA      | $3735081.38    | 0.05%             | 2050-06-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                   | FANNIE MAE FNR 2020 2 S                                     | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5426146 | PA      | $706268.86     | 0.01%             | 2059-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-59273.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST D 144A       | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3030000 | PA      | $79537.50      | 0.00%             | 2036-12-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4              | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427040 | PA      | $453137.71     | 0.01%             | 2035-06-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251007                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $153348.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                             | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                      | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1184789 | PA      | $1172835.50    | 0.02%             | 2035-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR11                                                   | BCAP LLC TRUST BCAP 2009 RR11 7A2 144A                      | CUSIP: 05532FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2167384 | PA      | $1448115.77    | 0.02%             | 2036-02-26      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HUF BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $1680.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A       | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $24240.00      | 0.00%             | 2036-12-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T A 144A                    | CUSIP: 23307CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22961000 | PA      | $22608913.73   | 0.32%             | 2036-12-10      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BOI FINANCE BV                                                             | BOI FINANCE BV 02/27 7.5                                    | CUSIP: ACI23L5Y2<br>LEI: 724500ZH3H2YACBUNF38 | Long             | DBT              | MUN               | NL        |   10000000 | PA      | $12081958.01   | 0.17%             | 2027-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CORK STREET CLO DESIGNATED ACTIVITY CO 1A                                  | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A            | CUSIP: ACI0QPJC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400594 | PA      | $192884.45     | 0.00%             | 2028-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A G 144A          | CUSIP: 80290CCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1932005 | PA      | $1978205.39    | 0.03%             | 2032-06-15      | Fixed         | 13.03%                | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                   | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     916489 | PA      | $1048944.75    | 0.01%             | 2050-12-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C            | CUSIP: 17309BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342875 | PA      | $123265.20     | 0.00%             | 2036-05-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A         | CUSIP: 17315MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3912664 | PA      | $1773142.54    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                          | FREDDIE MAC   SCRT SCRT 2019 3 BXS                          | CUSIP: 35563PMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2120966 | PA      | $956221.52     | 0.01%             | 2058-10-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                 | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1211000 | PA      | $1197641.77    | 0.02%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22159690 | PA      | $-22185340.31  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2            | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456846 | PA      | $457289.60     | 0.01%             | 2035-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 08/26 4.45            | CUSIP: ACI1XQPZ5<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $27750.00      | 0.00%             | 2026-08-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 2A1              | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18415657 | PA      | $8986264.29    | 0.13%             | 2036-03-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B           | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16075465 | PA      | $6045411.68    | 0.09%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                             | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488624 | PA      | $474707.21     | 0.01%             | 2034-06-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3            | CUSIP: 76114GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167362 | PA      | $64293.10      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/33 7.125           | CUSIP: ACI2ML877<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $189479.59     | 0.00%             | 2033-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1              | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2826759 | PA      | $1672118.48    | 0.02%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A       | CUSIP: 94987TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2292071 | PA      | $2170496.96    | 0.03%             | 2036-04-27      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-22209.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7231362 | PA      | $2928701.67    | 0.04%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1            | CUSIP: 02151JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698574 | PA      | $592243.53     | 0.01%             | 2047-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE2                                    | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE2 M5             | CUSIP: 45071KBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1423205 | PA      | $1518715.02    | 0.02%             | 2035-09-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4           | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2476247 | PA      | $1149571.31    | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251020                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2697.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A      | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     993216 | PA      | $996604.15     | 0.01%             | 2034-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2080.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY SR SECURED 144A 09/31 9.875         | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25352000 | PA      | $25735499.70   | 0.36%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                            | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2             | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     708845 | PA      | $654669.22     | 0.01%             | 2037-02-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24945003 | PA      | $-25067373.08  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 R                    | CUSIP: 33844X108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3330 | PA      | $0.00          | 0.00%             | 2029-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 XS 144A               | CUSIP: 59980YAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   65816840 | PA      | $299249.43     | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B4 144A               | CUSIP: 59980XAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2759118 | PA      | $1817860.31    | 0.03%             | 2058-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORPORATION                                                    | QUIDELORTHO CORP TERM LOAN                                  | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |   15300000 | PA      | $15239488.50   | 0.21%             | 2032-08-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     238883 | NS      | $89581.05      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CHARLES RIVER RE LTD                                                       | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR            | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $265287.50     | 0.00%             | 2031-05-10      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                             | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9568649 | PA      | $5364024.96    | 0.08%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                       | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3              | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19562256 | PA      | $10167766.43   | 0.14%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                 | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     926731 | PA      | $807974.50     | 0.01%             | 2035-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A           | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $78421.32      | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -546560 | PA      | $-550683.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -5656549 | PA      | $-7620101.88   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1            | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3525308 | PA      | $3222103.48    | 0.05%             | 2035-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                        | IMPAC CMB TRUST IMM 2005 7 A1                               | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68019 | PA      | $61640.03      | 0.00%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B2 144A          | CUSIP: 26844QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7689300 | PA      | $7642293.77    | 0.11%             | 2068-02-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| COMISION EJECUTIVA HIDROELECTRICA DEL RIO LEMPA                            | COMISION EJ HI RIO LEMPA GOVT GUARANT 144A 01/33 8.65       | CUSIP: 200444AA5<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | CORP              | SV        |    3900000 | PA      | $4082910.00    | 0.06%             | 2033-01-24      | Fixed         | 8.65%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA 2024 TERM LOAN A                          | CUSIP: BA000C8P7<br>LEI: 549300VVURQQYU45PR87 | Long             | LON              | NUSS              | KE        |    5000000 | PA      | $5011345.25    | 0.07%             | 2028-04-05      | Floating      | 12.65%                | No            |                  3 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-3                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 3A SUB 144A               | CUSIP: 77341TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4966667 | PA      | $743245.18     | 0.01%             | 2030-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3            | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5771833 | PA      | $5094787.52    | 0.07%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1            | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13301 | PA      | $11639.88      | 0.00%             | 2037-03-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1            | CUSIP: 76113ACB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6176706 | PA      | $5335200.52    | 0.08%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     385330 | PA      | $313402.33     | 0.00%             | 2027-06-30      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6895817 | PA      | $-7033129.84   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                      | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2743739 | PA      | $2254632.46    | 0.03%             | 2035-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1             | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8710070 | PA      | $7485771.08    | 0.11%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-10                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 10 1A2              | CUSIP: 61748HRT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151331 | PA      | $97995.72      | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MARICOPA COUNTY INDUSTRIAL DEV                                             | MARICOPA CNTY AZ INDL DEV AUTH MAREDU 10/29 FIXED 7.375     | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     850000 | PA      | $892105.52     | 0.01%             | 2029-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1             | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3241928 | PA      | $2294490.31    | 0.03%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35444.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI E 144A          | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $408450.00     | 0.01%             | 2032-11-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIII LTD                                                 | MARBLE POINT CLO XXIII LTD. MP23 2021 4A SUB 144A           | CUSIP: 566068AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17150000 | PA      | $7155785.19    | 0.10%             | 2052-01-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/33 6.375                       | CUSIP: ACI2JSF94<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2600000 | PA      | $3205310.94    | 0.05%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN  | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   79200000 | PA      | $81490183.63   | 1.15%             | 2029-05-30      | Floating      | 6.78%                 | No            |                  3 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13765338 | PA      | $12113497.44   | 0.17%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5              | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     861749 | PA      | $838441.15     | 0.01%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $251.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4            | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3112776.16    | 0.04%             | 2035-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A B 144A                                | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1690000 | PA      | $169.00        | 0.00%             | 2041-07-05      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5            | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134000 | PA      | $1123593.17    | 0.02%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6              | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20468 | PA      | $18624.26      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B5 144A               | CUSIP: 59980XAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1379060 | PA      | $818021.45     | 0.01%             | 2058-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   76360418 | PA      | $43067275.75   | 0.61%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $18680315.03   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| WINDSTREAM PARENT INC                                                      | NEW WINDSTREAM PREFERRED STOCK                              | CUSIP: 990AAJEB9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      24136 | NS      | $24136490.00   | 0.34%             |  |  |  | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A62            | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35867 | PA      | $29179.14      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251021                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $135105.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                 | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     858728 | PA      | $779741.93     | 0.01%             | 2035-03-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -11466300 | PA      | $-15431463.02  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                         | FANNIE MAE FNR 2007 53 SL                                   | CUSIP: 31396WCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132406 | PA      | $9111.13       | 0.00%             | 2037-06-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A               | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     646000 | PA      | $866111.76     | 0.01%             | 2049-12-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 1A1             | CUSIP: 07384MW40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14120 | PA      | $13897.52      | 0.00%             | 2034-09-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-10964107.74  | -0.15%            |  |  |  | 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        |   14345000 | PA      | $14224903.66   | 0.20%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-CES2                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 CES2 B3 144A       | CUSIP: 36273BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8591263 | PA      | $8591263.00    | 0.12%             | 2055-09-25      | Variable      | 9.24%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 B3 144A            | CUSIP: 92541AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4080000 | PA      | $3692852.47    | 0.05%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED 02/34 6.5                  | CUSIP: 005048II6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $381202.38     | 0.01%             | 2034-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 E 144A           | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $518519.40     | 0.01%             | 2059-10-27      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3519000 | PA      | $3511103.75    | 0.05%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A       | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4223199 | PA      | $3576276.97    | 0.05%             | 2047-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3200000 | PA      | $3596614.98    | 0.05%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-WMC1                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 WMC1 M4           | CUSIP: 46626LBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2089276.07    | 0.03%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $929.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -36956104 | PA      | $-37144457.13  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                       | EUROSAIL PLC ESAIL 2007 1X D1A REGS                         | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7067000 | PA      | $7257852.11    | 0.10%             | 2045-03-13      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| CIRCOR                                                                     | CIRCOR INTERNATIONAL INC 2023 REVOLVER                      | CUSIP: 948FVPII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1065517 | PA      | $1097952.97    | 0.02%             | 2029-06-20      | Floating      | 0.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2609300.32    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                    | FREDDIE MAC FHR 4120 WS                                     | CUSIP: 3137AVJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     296105 | PA      | $27792.26      | 0.00%             | 2042-09-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 X 144A              | CUSIP: 59981TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   28898314 | PA      | $557399.35     | 0.01%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805C 144A       | CUSIP: 17328CBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510800 | PA      | $273638.21     | 0.00%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 BXS 144A                     | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1579722 | PA      | $1199318.68    | 0.02%             | 2060-09-25      | Fixed         | 13.06%                | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA 2022 EUR TERM LOAN                 | CUSIP: BA000G3F5<br>LEI: 969500I7C8V1LBIMSM05 | Long             | LON              | CORP              | FR        |    7589318 | PA      | $8642936.51    | 0.12%             | 2025-12-21      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251014                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $10479.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3           | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46897 | PA      | $42528.01      | 0.00%             | 2035-07-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2010-2                                          | ASG RESECURITIZATION TRUST ASG 2010 2 M30 144A              | CUSIP: 001990BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6866787 | PA      | $5790314.53    | 0.08%             | 2037-01-28      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B3 144A         | CUSIP: 12657GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11267947 | PA      | $6703818.87    | 0.09%             | 2060-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 6A2 144A          | CUSIP: 12645KES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1034719 | PA      | $907683.10     | 0.01%             | 2036-05-27      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1             | CUSIP: 61749CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137593 | PA      | $24366.50      | 0.00%             | 2036-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BX-2021-SDMF                                                               | BX TRUST BX 2021 SDMF F 144A                                | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11599702 | PA      | $11562635.83   | 0.16%             | 2034-09-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3             | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249615 | PA      | $221297.91     | 0.00%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A        | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20073000 | PA      | $13806508.49   | 0.19%             | 2059-07-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9860742 | PA      | $-9880627.53   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6              | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |    6937742 | PA      | $6695619.58    | 0.09%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A      | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52025000 | PA      | $7619061.25    | 0.11%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                         | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487         | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $188285.93     | 0.00%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1            | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51499 | PA      | $48150.50      | 0.00%             | 2035-11-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1188942 | PA      | $-1195111.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2009-R7                                                     | JEFFERIES + CO JMAC 2009 R7 10A2 144A                       | CUSIP: 47233AAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3441601 | PA      | $884188.65     | 0.01%             | 2036-12-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1353625.00    | 0.02%             | 2032-06-07      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6031740 | PA      | $-6066466.07   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -537488 | PA      | $-540178.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1                                   | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12           | CUSIP: 46627MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468265 | PA      | $309437.48     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 1999-D                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1                | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     472950 | PA      | $479366.32     | 0.01%             | 2029-11-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4             | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1857933 | PA      | $911797.28     | 0.01%             | 2037-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                       | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    9265829 | PA      | $12527518.51   | 0.18%             | 2045-09-13      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22             | CUSIP: 007037BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066144 | PA      | $991978.93     | 0.01%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251106                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $16619.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1              | CUSIP: 86361BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2255570 | PA      | $533442.37     | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP D 144A       | CUSIP: 46651WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1712000 | PA      | $290281.24     | 0.00%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3886125 | PA      | $-3891798.74   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M3              | CUSIP: 03072SQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1048394.40    | 0.01%             | 2035-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3900750 | PA      | $-3906341.07   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6202562 | PA      | $2138815.09    | 0.03%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1J 144A                  | CUSIP: 56659NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14026000 | PA      | $0.14          | 0.00%             | 2044-12-04      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A3           | CUSIP: 94985GBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1313176 | PA      | $1153201.71    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    1755353 | NS      | $1.76          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4               | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4046952 | PA      | $733985.51     | 0.01%             | 2036-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 X 144A                | CUSIP: 89177JAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  503078786 | PA      | $50.31         | 0.00%             | 2058-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-182593.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                              | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A         | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14900000 | PA      | $14303468.07   | 0.20%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A         | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     449700 | PA      | $450980.02     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     600000 | PA      | $78000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC G 144A                                  | CUSIP: 05608GAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3747647.60    | 0.05%             | 2034-04-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21877199 | PA      | $-21915830.74  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                 | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111D 144A            | CUSIP: 05609MCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7850000 | PA      | $7229032.03    | 0.10%             | 2055-02-17      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1           | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348228 | PA      | $238563.58     | 0.00%             | 2036-11-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5884385 | PA      | $-5885253.37   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                         | FANNIE MAE FNR 2008 10 LI                                   | CUSIP: 31396YKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     581403 | PA      | $69586.90      | 0.00%             | 2038-03-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2307.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2007-A                                      | AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A         | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4652680 | PA      | $677688.50     | 0.01%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH E 144A       | CUSIP: 46654EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1778909.80    | 0.03%             | 2038-06-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $304622.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6455039 | PA      | $-6467922.40   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                          | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2             | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5195 | PA      | $4821.70       | 0.00%             | 2035-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE    | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   17727949 | PA      | $5636922.93    | 0.08%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED REGS 03/29 10.5                   | CUSIP: ACI2L69P0<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |   61000000 | PA      | $76581834.92   | 1.08%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3             | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2923064 | PA      | $2586201.79    | 0.04%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                             | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33014 | PA      | $49015.06      | 0.00%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                           | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |   18769557 | PA      | $26884421.72   | 0.38%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                          | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   18500000 | PA      | $22562917.35   | 0.32%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 E 144A            | CUSIP: 44644NAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     517550 | PA      | $524449.25     | 0.01%             | 2032-10-20      | Floating      | 11.89%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $612677.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-D                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2              | CUSIP: 05946XNF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70113 | PA      | $68465.84      | 0.00%             | 2035-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| QLIK TECHNOLOGIES (PROJECT ALPHA INTERMEDIATE HOLDING INC)                 | PROJECT ALPHA INTMDT HLDNG INC 2024 1ST LIEN TERM LOAN B    | CUSIP: 74339DAN8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       5721 | PA      | $5743.64       | 0.00%             | 2030-10-26      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7667.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-18018.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2567185 | PA      | $-2569871.96   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A            | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36364 | PA      | $31030.60      | 0.00%             | 2036-08-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5             | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1751630 | PA      | $1459599.20    | 0.02%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                      | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |   30300000 | PA      | $30537930.14   | 0.43%             | 2029-12-18      | Floating      | 7.54%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1              | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15648 | PA      | $15473.13      | 0.00%             | 2036-12-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                 | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                      | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    4636951 | PA      | $4933002.43    | 0.07%             | 2050-12-28      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2677500 | PA      | $-2727299.72   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                  | CAESARS ENTERTAINMENT INC COMMON STOCK                      | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |          2 | NS      | $54.05         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-2                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 2A SUB 144A               | CUSIP: 77340HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11666667 | PA      | $2329879.72    | 0.03%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR10-I                                                 | BCAP LLC TRUST BCAP 2012 RR10 1A2 144A                      | CUSIP: 05541HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6816665 | PA      | $5490205.84    | 0.08%             | 2037-02-26      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2040804 | PA      | $-2396844.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                   | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3360000 | PA      | $2914475.09    | 0.04%             | 2038-12-15      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $511025.00     | 0.01%             | 2032-03-13      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B3 144A               | CUSIP: 59980XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2759118 | PA      | $1995800.51    | 0.03%             | 2058-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2           | CUSIP: 32051GPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54596 | PA      | $2528.51       | 0.00%             | 2035-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20468824 | PA      | $-20668702.10  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1           | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1968402 | PA      | $1866239.13    | 0.03%             | 2035-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GSMBS 2025 NQM4 B3 144A                                     | CUSIP: 990AAURY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4711455 | PA      | $4304518.67    | 0.06%             | 2065-10-25      | Fixed         | 7.51%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC STRIPS 259                                                     | FREDDIEMAC STRIP FHS 259 S17                                | CUSIP: 31325TCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     910520 | PA      | $105210.67     | 0.00%             | 2039-04-15      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-567.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 01/29 5.125                | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    6436000 | PA      | $5538982.50    | 0.08%             | 2029-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                        | GSAMP TRUST GSAMP 2004 WF M2                                | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97376 | PA      | $98988.67      | 0.00%             | 2034-10-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                  | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1374877 | PA      | $1082924.33    | 0.02%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                   | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12324332 | PA      | $11151441.69   | 0.16%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BX-2021-SDMF                                                               | BX TRUST BX 2021 SDMF D 144A                                | CUSIP: 12434CAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1043973 | PA      | $1039878.05    | 0.01%             | 2034-09-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO S.? R.L. EO 01/31 6.25                   | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |   57660800 | PA      | $17789651.71   | 0.25%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2            | CUSIP: 02150PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4834796 | PA      | $4361764.07    | 0.06%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13397530 | PA      | $-13424574.67  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                                    | FREDDIE MAC FHR 4020 PI                                     | CUSIP: 3137AMLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11701 | PA      | $112.89        | 0.00%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20300509                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $90066.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22715000 | PA      | $21352556.57   | 0.30%             | 2029-02-15      | Fixed         | 6.50%                 | 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        |    2300000 | PA      | $2385100.00    | 0.03%             | 2028-01-07      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| ZF NORTH AMERICA CAPITAL INC                                               | ZF NA CAPITAL COMPANY GUAR 144A 03/31 7.5                   | CUSIP: 98877DAH8<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6062280.16    | 0.09%             | 2031-03-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2301219 | PA      | $-3105987.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A           | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15850000 | PA      | $5301481.06    | 0.07%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1              | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199764 | PA      | $487.56        | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A            | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3575407 | PA      | $3334907.96    | 0.05%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                             | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                     | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2665746 | PA      | $1233958.81    | 0.02%             | 2037-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-85                                                  | FANNIE MAE FNR 2012 85 PI                                   | CUSIP: 3136A7E73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     452360 | PA      | $34813.38      | 0.00%             | 2032-08-25      | Fixed         | 3.50%                 | 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        |   25312000 | PA      | $23019654.16   | 0.32%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                           | BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22                 | CUSIP: 073866BH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45312796 | PA      | $19275691.75   | 0.27%             | 2036-07-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5013680 | PA      | $-5014422.30   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75         | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |   53205509 | PA      | $46500707.18   | 0.65%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 X 144A           | CUSIP: 26844QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  221048198 | PA      | $3445721.41    | 0.05%             | 2068-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2016-787S                                              | COMM MORTGAGE TRUST COMM 2016 787S A 144A                   | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4948712.00    | 0.07%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2                | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244020 | PA      | $239430.58     | 0.00%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -732824 | PA      | $-864623.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2601614 | PA      | $-2627803.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                              | SLM STUDENT LOAN TRUST SLMA 2007 4 R                        | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30999 | PA      | $5794934.98    | 0.08%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                             | ARGENT SECURITIES INC. ARSI 2006 W3 A2B                     | CUSIP: 040104SQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982456 | PA      | $307812.84     | 0.00%             | 2036-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2          | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5340 | PA      | $5305.41       | 0.00%             | 2036-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  830470000 | PA      | $56017423.08   | 0.79%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $519275.00     | 0.01%             | 2032-03-13      | Floating      | 12.21%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3719579 | PA      | $-3781119.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                      | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B E 144A         | CUSIP: 63874EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5880000 | PA      | $3165222.23    | 0.04%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1             | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153058 | PA      | $140204.21     | 0.00%             | 2034-10-25      | Floating      | 4.02%                 | 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        |    2010169 | PA      | $883962.14     | 0.01%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.15000 06/17/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $146612.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A E 144A          | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1040310 | PA      | $1051715.72    | 0.01%             | 2032-06-15      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-22819.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVANTI SECURITY HOLDINGS LLC                                               | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                    | CUSIP: 46583VAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11912869 | PA      | $12277700.35   | 0.17%             | 2029-06-01      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251010                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5330.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13769322 | PA      | $-13799098.16  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                           | FINASTRA USA INC 2023 TERM LOAN                             | CUSIP: 953PAVII5<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |     385673 | PA      | $388243.81     | 0.01%             | 2029-09-13      | Floating      | 11.29%                | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                              | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |   55021089 | PA      | $0.55          | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251208                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $18196.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                      | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331628 | PA      | $295797.85     | 0.00%             | 2036-07-26      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3                | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        138 | PA      | $328031.65     | 0.00%             | 2032-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SCRIPPS (E.W. SCRIPPS COMPANY)                                             | EW SCRIPPS CO SR SECURED 144A 08/30 9.875                   | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |    8700000 | PA      | $8174198.71    | 0.12%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A5           | CUSIP: 12668BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     695446 | PA      | $571059.17     | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.2* 9/12/23-26Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6488068.03    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                       | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |   10224514 | NS      | $12.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26804370 | PA      | $-26844576.56  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 AIOS 144A     | CUSIP: 617941AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   56445341 | PA      | $280411.99     | 0.00%             | 2070-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV5              | CUSIP: 126670PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820345 | PA      | $640712.72     | 0.01%             | 2036-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7780610 | PA      | $-7869642.02   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3           | CUSIP: 74924UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2050163 | PA      | $1905533.52    | 0.03%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-9790.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                               | ACE SECURITIES CORP. ACE 2005 HE5 M5                        | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5096544 | PA      | $4303749.01    | 0.06%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                               | YINSON BORONIA PRODUCTIO SR SECURED REGS 07/42 8.947        | CUSIP: N9733XAA5<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |     480734 | PA      | $535851.52     | 0.01%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17903001.54   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1             | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235415 | PA      | $135258.95     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251003                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $496428.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN   | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  147517284 | PA      | $170594874.13  | 2.40%             | 2029-12-31      | Floating      | 7.49%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5          | CUSIP: 02146XAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666959 | PA      | $260646.97     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-551.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE    | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  172312022 | PA      | $62797899.41   | 0.88%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                          | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                       | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3137741.34    | 0.04%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 X 144A                | CUSIP: 89178WAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   63850381 | PA      | $588927.18     | 0.01%             | 2060-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3            | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2137239 | PA      | $1834274.37    | 0.03%             | 2035-10-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M5               | CUSIP: 126670LT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3913049 | PA      | $3502538.81    | 0.05%             | 2036-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $15621.06      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1464258 | PA      | $-1464463.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 7A4 144A                       | CUSIP: 05532VBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1844011 | PA      | $1550084.19    | 0.02%             | 2036-06-26      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR C 144A           | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2020000 | PA      | $1952828.13    | 0.03%             | 2038-11-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $22939399.19   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 10/28 11.75        | CUSIP: 650929AA0<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   13109000 | PA      | $9307390.00    | 0.13%             | 2028-10-15      | Fixed         | 11.75%                | No            |                  3 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN D                 | CUSIP: 953BAHII7<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |    1100000 | PA      | $910276.11     | 0.01%             | 2029-02-16      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6526.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -3737370 | PA      | $-4388377.60   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    6139000 | NS      | $54344527.52   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 02/27 8.125                | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   20600000 | PA      | $19708333.53   | 0.28%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A          | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26136001 | PA      | $30733561.63   | 0.43%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                   | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1749660 | PA      | $1910998.26    | 0.03%             | 2050-12-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11038285 | PA      | $-11088387.19  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                        | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3            | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25824196 | PA      | $18522983.18   | 0.26%             | 2037-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  110504303 | PA      | $108130118.51  | 1.52%             | 2027-05-13      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1234.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 VAR             | CUSIP: ACI1Q6J43<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   17685601 | PA      | $15757870.49   | 0.22%             | 2030-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-58747.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A     | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  102616825 | PA      | $396444.71     | 0.01%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                                     | FIRST BRANDS GROUP LLC 2022 INCREMENTAL TERM LOAN           | CUSIP: 31935HAG2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6823234 | PA      | $2486216.05    | 0.04%             | 2027-03-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2025-1                                       | CPS AUTO TRUST CPS 2025 1 A 144A                            | CUSIP: 22411GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17003157 | PA      | $17294420.68   | 0.24%             | 2032-06-16      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1384341.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                 | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7        | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    3500000 | PA      | $1068533.00    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                   | SEQUOIA MORTGAGE TRUST SEMT 9 2A                            | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137669 | PA      | $134499.14     | 0.00%             | 2032-09-20      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                  | FANNIE MAE FNR 2012 46 LS                                   | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2133852 | PA      | $2191192.11    | 0.03%             | 2041-01-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1          | CUSIP: 12668AA62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315386 | PA      | $43135.87      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PATTERSON CO (PARADIGM PARENT LLC)                                         | PARADIGM PARENT LLC 1ST LIEN TERM LOAN                      | CUSIP: 69902BAB5<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |    5200000 | PA      | $4679194.00    | 0.07%             | 2032-04-16      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM4 X 144A        | CUSIP: 36272UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  348983455 | PA      | $15269101.03   | 0.22%             | 2065-10-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14             | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317627 | PA      | $245156.28     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 3.00000 03/18/26-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-249836.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                    | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   70787219 | PA      | $689396730.17  | 9.71%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                  | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11041888 | PA      | $3247390.31    | 0.05%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-961.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                           | CONSECO FINANCIAL CORP GT 1999 5 A6                         | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5892073 | PA      | $1566295.09    | 0.02%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A            | CUSIP: 021455AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5857772 | PA      | $5499840.21    | 0.08%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29038024 | PA      | $-29080129.19  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A      | CUSIP: 46645WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2544000.00    | 0.04%             | 2033-07-05      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                   | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5                | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2914061 | PA      | $380434.69     | 0.01%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $495208.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1IO2                      | CUSIP: 31393UNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15170104 | PA      | $595689.04     | 0.01%             | 2043-08-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24483474 | PA      | $-24723301.03  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 2A2 144A                       | CUSIP: 05532VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4899148 | PA      | $2673555.07    | 0.04%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -95 | NC      | $313188.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3             | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453608 | PA      | $225365.60     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3             | CUSIP: 542514RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16192322 | PA      | $14285146.67   | 0.20%             | 2036-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                  | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625          | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $241604.88     | 0.00%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20861732 | PA      | $-21124827.41  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2             | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528763 | PA      | $530738.30     | 0.01%             | 2036-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2007-1                                      | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A          | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97330 | PA      | $92934.32      | 0.00%             | 2037-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP1                                                       | RAAC SERIES RAAC 2007 RP1 M2 144A                           | CUSIP: 74977YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17151000 | PA      | $17017307.96   | 0.24%             | 2046-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-2A                                             | MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A                | CUSIP: 57108R101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8800 | PA      | $142287.76     | 0.00%             | 2030-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000          | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   11400000 | PA      | $8803222.50    | 0.12%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3473280 | PA      | $-3489204.20   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4            | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13201000 | PA      | $11618473.36   | 0.16%             | 2036-12-26      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17512171 | PA      | $-17731004.58  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | NEW WINDSTREAM WARRANTS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     737041 | NC      | $4136422.24    | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 XS 144A             | CUSIP: 59981TBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25580970 | PA      | $136282.62     | 0.00%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                            | BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1                  | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7189017 | PA      | $2437800.75    | 0.03%             | 2035-09-25      | Floating      | 4.65%                 | 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        |    1000000 | PA      | $1059394.00    | 0.01%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     405000 | PA      | $441186.02     | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR12                                                   | BCAP LLC TRUST BCAP 2012 RR12 3A3 144A                      | CUSIP: 05542BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1177624 | PA      | $1073764.14    | 0.02%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 F 144A       | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1504474.20    | 0.02%             | 2038-11-15      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8410569 | PA      | $-8418026.53   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                            | BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1                  | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182676 | PA      | $129542.39     | 0.00%             | 2035-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251128                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $36362.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260521                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $646.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7               | CUSIP: 1266732N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6295664 | PA      | $4569672.16    | 0.06%             | 2035-11-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2            | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17376 | PA      | $17401.62      | 0.00%             | 2034-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A               | CUSIP: 225470M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4009052 | PA      | $2099622.39    | 0.03%             | 2036-04-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D                | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4113912 | PA      | $1817428.41    | 0.03%             | 2037-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A2D                              | CUSIP: 3622MAAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3448332 | PA      | $1707141.59    | 0.02%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS (1261229 BC LTD)                                         | BAUSCH HEALTH COMPANIES INC 2025 TERM LOAN B                | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |   36309000 | PA      | $35866393.29   | 0.51%             | 2030-10-08      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/33 8.875                       | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    3500000 | PA      | $3796126.36    | 0.05%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR               | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    2756138 | PA      | $2690166.78    | 0.04%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY                              | MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0    | CUSIP: 594751AL3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   23000000 | PA      | $3062192.40    | 0.04%             | 2046-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -46296357 | PA      | $-46721538.00  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMBS 2025-CES2                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 CES2 XS 144A       | CUSIP: 36273BAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  281668263 | PA      | $21094150.30   | 0.30%             | 2055-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1              | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235476 | PA      | $197832.66     | 0.00%             | 2046-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS SPV III LLC                                                | CLOVER HOLDINGS SPV III LLC 2024 USD TERM LOAN              | CUSIP: BA000CCJ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     725734 | PA      | $747506.03     | 0.01%             | 2027-12-09      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                 | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1381594.08    | 0.02%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4             | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250168 | PA      | $1263499.26    | 0.02%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5398.19       | 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        |    6500000 | PA      | $6769100.00    | 0.10%             | 2027-01-07      | Floating      | 17.18%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1774865.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1            | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7512531 | PA      | $5293744.20    | 0.07%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 07/29 5.25                | CUSIP: ACI2YQ7R0<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    1300000 | PA      | $1557088.80    | 0.02%             | 2029-07-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                           | FREDDIE MAC FHR 3384 SM                                     | CUSIP: 31397PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     611199 | PA      | $54818.01      | 0.00%             | 2037-05-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1               | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26325638 | PA      | $2376686.47    | 0.03%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4            | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7584567 | PA      | $6741723.93    | 0.09%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A         | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2368043 | PA      | $2154919.58    | 0.03%             | 2036-08-05      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9884536 | PA      | $-9971964.92   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1519032 | PA      | $-1536522.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1228818 | PA      | $-1230599.66   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -334553 | PA      | $-338986.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507        | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1350169 | PA      | $1439206.01    | 0.02%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M6              | CUSIP: 542514KW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6363345.95    | 0.09%             | 2035-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-8646.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                              | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                     | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7234835 | PA      | $2334040.37    | 0.03%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE1                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1             | CUSIP: 57643LPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13634195 | PA      | $11450423.96   | 0.16%             | 2035-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ESKOM GG LOAN SNR EM SP DUB                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1330897.24    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -55636184 | PA      | $-55718711.49  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10345519 | PA      | $5829220.09    | 0.08%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 XS 144A        | CUSIP: 64832BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  553388113 | PA      | $22548628.76   | 0.32%             | 2064-09-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1           | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6003452 | PA      | $5914049.64    | 0.08%             | 2036-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5           | CUSIP: 02148FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     804785 | PA      | $665682.40     | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20251017                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $15954.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6495431 | PA      | $-6518089.48   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251203                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $18893.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1717200 | PA      | $-1723086.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                          | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A                 | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1709 | PA      | $1440.61       | 0.00%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4                | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6378689 | PA      | $5906902.85    | 0.08%             | 2035-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 KS                                     | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     846919 | PA      | $104059.13     | 0.00%             | 2050-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A       | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13005050 | PA      | $6243777.90    | 0.09%             | 2037-06-27      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878      | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |    4800000 | PA      | $5263245.89    | 0.07%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1           | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323361 | PA      | $280832.78     | 0.00%             | 2047-03-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31756879 | PA      | $-32491124.53  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -52608336 | PA      | $-52690931.09  | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                   | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     959851 | PA      | $883721.57     | 0.01%             | 2046-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A1           | CUSIP: 94985GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1197064 | PA      | $1051234.80    | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 SECOND OUT TERM LOAN      | CUSIP: 55328HAQ4<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |   36417239 | PA      | $33564494.13   | 0.47%             | 2030-12-31      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2           | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2706797 | PA      | $1807056.80    | 0.03%             | 2037-06-25      | Floating      | 4.42%                 | 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        |    4300000 | NS      | $4270287.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                     | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1700000 | PA      | $41395.98      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 10/29 5.5                  | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   18959000 | PA      | $16493123.26   | 0.23%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M6             | CUSIP: 04542BKX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415103 | PA      | $317196.05     | 0.00%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                  | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214771 | PA      | $119327.29     | 0.00%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -33862847 | PA      | $-34204041.76  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 123 CLO LTD 2025-123A                                               | DRYDEN SENIOR LOAN FUND DRSLF 2025 123A SUB 144A            | CUSIP: 26253PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8400000 | PA      | $7861911.54    | 0.11%             | 2038-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-114.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3              | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4534112 | PA      | $2969438.48    | 0.04%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ASSET SECURITIES 2007-4                                      | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5             | CUSIP: 32056CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213249 | PA      | $71788.87      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6            | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702432 | PA      | $352522.08     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3           | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76229 | PA      | $66955.53      | 0.00%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $49849.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-10R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 10R 3A2 144A         | CUSIP: 12646NAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2340703 | PA      | $2032250.71    | 0.03%             | 2036-05-26      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A F 144A                 | CUSIP: ACI27FLY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4300000 | PA      | $5735197.79    | 0.08%             | 2053-02-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11754785 | PA      | $6932287.05    | 0.10%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A            | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2119216 | PA      | $1884698.70    | 0.03%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M4                 | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1987446.56    | 0.03%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1060002 | PA      | $-1061344.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                  | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 3372600000 | PA      | $2000988.22    | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P G 144A         | CUSIP: 61772WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19500000 | PA      | $16923954.45   | 0.24%             | 2038-12-15      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J8                                             | COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8                     | CUSIP: 12669GDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34999 | PA      | $35302.46      | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27          | CUSIP: 02150GBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649437 | PA      | $556213.98     | 0.01%             | 2037-05-25      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                             | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                      | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28463 | PA      | $14520.04      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                              | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      25645 | NS      | $1538700.00    | 0.02%             |  |  |  | Yes           |                  1 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300A 144A           | CUSIP: 08163DBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1196000 | PA      | $884689.81     | 0.01%             | 2054-04-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A      | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $243392.86     | 0.00%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 B 144A          | CUSIP: 62955HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2186837.62    | 0.03%             | 2038-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 AIOS 144A       | CUSIP: 12657GAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  191504047 | PA      | $3333712.02    | 0.05%             | 2060-10-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                               | ACE SECURITIES CORP. ACE 2005 HE4 M6                        | CUSIP: 004421PV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17938000 | PA      | $17348012.00   | 0.24%             | 2035-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13626088 | PA      | $-13670202.21  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/31 VAR                        | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $266975.00     | 0.00%             | 2031-06-09      | Floating      | 13.63%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-BC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1             | CUSIP: 86359AMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3788218 | PA      | $3492689.66    | 0.05%             | 2032-05-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| ATLAS RE LIMITED                                                           | ATLAS RE LIMITED ATLAS RE LTD SIDECAR                       | CUSIP: 956BLH000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        528 | NS      | $56139479.99   | 0.79%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A         | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859651 | PA      | $677970.66     | 0.01%             | 2047-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC D 144A                             | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5185894.20    | 0.07%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/26 VAR                       | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1368250.00    | 0.02%             | 2026-06-08      | Floating      | 15.84%                | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A         | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236699 | PA      | $210876.24     | 0.00%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A            | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470861 | PA      | $419905.22     | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   14400000 | PA      | $7590600.00    | 0.11%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5              | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139287 | PA      | $148982.79     | 0.00%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                       | GSAMP TRUST GSAMP 2006 FM3 A2C                              | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3080456 | PA      | $1439131.93    | 0.02%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR3                                                    | BCAP LLC TRUST BCAP 2012 RR3 2A8 144A                       | CUSIP: 05539BAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1364309 | PA      | $1222629.21    | 0.02%             | 2037-05-26      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP B 144A        | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1464419 | PA      | $1436707.57    | 0.02%             | 2037-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 22A          | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7429966 | PA      | $7559929.88    | 0.11%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR13                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR13 A2           | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2556 | PA      | $2507.71       | 0.00%             | 2036-09-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED 144A 02/28 6            | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    3300000 | PA      | $1195232.54    | 0.02%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23          | CUSIP: 02146TAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212676 | PA      | $107623.00     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FUTBOL CLUB BARCELONA SL                                                   | ESPAI BRCA FNDO DE TITULZACION EUR TERM LOAN                | CUSIP: 948FVAII8<br>LEI: 95980020140005871781 | Long             | LON              | CORP              | ES        |   23118229 | PA      | $30895436.12   | 0.44%             | 2028-05-31      | Fixed         | 4.18%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 12/16/15-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $366093.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A1                               | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     738612 | PA      | $395264.41     | 0.01%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                   | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2188 | PA      | $2151.96       | 0.00%             | 2035-06-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR11                                                   | BCAP LLC TRUST BCAP 2013 RR11 4A2 144A                      | CUSIP: 05542XAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2982755 | PA      | $2549067.03    | 0.04%             | 2036-05-26      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/26 5.25            | CUSIP: ACI1SPDG8<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $19000.00      | 0.00%             | 2026-05-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 B3 144A        | CUSIP: 64832BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16143167 | PA      | $14622696.99   | 0.21%             | 2064-09-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12627809 | PA      | $-12917055.90  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT2                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT2 A2            | CUSIP: 04542BFV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132301 | PA      | $129826.55     | 0.00%             | 2033-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AR3                                          | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR3 A1A             | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     823861 | PA      | $706721.94     | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M3              | CUSIP: 126670XT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8762000 | PA      | $8356394.77    | 0.12%             | 2036-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005 2                                            | FBR SECURITIZATION TRUST FBRSI 2005 2 M4                    | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5861921.65    | 0.08%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                               | DBGS MORTGAGE TRUST DBGS 2018 5BP A 144A                    | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1051806.25    | 0.01%             | 2033-06-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 B 144A       | CUSIP: 46649JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9983671 | PA      | $9826116.57    | 0.14%             | 2035-02-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5              | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     813347 | PA      | $806057.99     | 0.01%             | 2035-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3985691 | PA      | $-4015853.89   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                   | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3817891 | PA      | $3568736.25    | 0.05%             | 2035-11-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -28711084 | PA      | $-28986423.62  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC B 144A         | CUSIP: 05591UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426060 | PA      | $393892.45     | 0.01%             | 2038-08-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 09/39 5.125           | CUSIP: B1FGYYII6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $282554.68     | 0.00%             | 2039-09-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1680097 | PA      | $-1714497.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                      | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                 | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     959450 | PA      | $948075.27     | 0.01%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR2                          | SECURITIZED ASSET BACKED RECEI SABR 2007 BR2 A2             | CUSIP: 81378PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206658 | PA      | $92614.96      | 0.00%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375           | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $844901.42     | 0.01%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M4            | CUSIP: 04541GUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2439000 | PA      | $2377902.07    | 0.03%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2010-2                                                   | JP MORGAN REREMIC JPMRR 2010 2 2A4 144A                     | CUSIP: 46634FAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210233 | PA      | $205104.10     | 0.00%             | 2037-03-21      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI C 144A                            | CUSIP: 92943AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11395422.08   | 0.16%             | 2037-07-05      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A       | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7900000 | PA      | $5751210.27    | 0.08%             | 2036-03-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTG SECURITIES 1999-2                                     | SALOMON BROTHERS MORTGAGE SECU SBM7 1999 2 A4               | CUSIP: 79548KH35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79786 | PA      | $79134.60      | 0.00%             | 2029-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C                | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6783595 | PA      | $2983481.51    | 0.04%             | 2036-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6              | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430349 | PA      | $423607.23     | 0.01%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/34 2.625           | CUSIP: ACI0RZP43<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $552119.01     | 0.01%             | 2034-01-24      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3211                                                           | FREDDIE MAC FHR 3211 SH                                     | CUSIP: 31397BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243755 | PA      | $26655.49      | 0.00%             | 2036-09-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1                   | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2491386 | PA      | $2089423.82    | 0.03%             | 2037-03-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                     | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1350402.80    | 0.02%             | 2046-03-13      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5           | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298557 | PA      | $717863.40     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                          | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                     | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12638459 | PA      | $6137753.81    | 0.09%             | 2059-11-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2C                              | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386800 | PA      | $260321.76     | 0.00%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875        | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |    3000000 | PA      | $3528014.75    | 0.05%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VERDE CDO LTD 2005-1A                                                      | VERDE CDO LTD VERDE 2005 1A A1 144A                         | CUSIP: 923367AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  240688457 | PA      | $45953925.07   | 0.65%             | 2045-10-05      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-787E                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2019 787E E 144A       | CUSIP: 78426RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $7447446.00    | 0.10%             | 2041-02-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260320                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $22579.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B           | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     920147 | PA      | $253506.16     | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5          | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19753000 | PA      | $20816205.23   | 0.29%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC LAST OUT TERM LOAN                           | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |   12691048 | PA      | $12913141.37   | 0.18%             | 2031-01-03      | Floating      | 8.72%                 | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1              | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103149 | PA      | $103325.38     | 0.00%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI D 144A                            | CUSIP: 92943AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11278663.20   | 0.16%             | 2037-07-05      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1            | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     508396 | PA      | $280347.83     | 0.00%             | 2036-05-25      | Floating      | 4.24%                 | 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      | $882479.99     | 0.01%             | 2035-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                      | BX TRUST BX 2022 AHP D 144A                                 | CUSIP: 05610FAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14442000 | PA      | $14417366.28   | 0.20%             | 2039-01-17      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 1A1            | CUSIP: 933634AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201614 | PA      | $169548.27     | 0.00%             | 2037-03-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | SCURALPHA 1503 GMBH USD TERM LOAN B1                        | CUSIP: D7001LAC7<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |   61630731 | PA      | $56953266.24   | 0.80%             | 2030-03-29      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235307 | PA      | $210679.01     | 0.00%             | 2037-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A          | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7454000 | PA      | $7420961.64    | 0.10%             | 2032-07-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                   | FREED ABS TRUST FREED 2020 3FP CERT 144A                    | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9954 | PA      | $2577.63       | 0.00%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NEW IMMO HOLDING SA                                                        | NEW IMMO HOLDING SA SR UNSECURED REGS 07/27 3.25            | CUSIP: ACI1NZ8Z5<br>LEI: 5493007LOTJ0I8E94R81 | Long             | DBT              | CORP              | FR        |    7300000 | PA      | $8455817.36    | 0.12%             | 2027-07-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A               | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1178063.88    | 0.02%             | 2032-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A           | CUSIP: 17313FAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1627879 | PA      | $62257.09      | 0.00%             | 2037-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                      | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A         | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2024120 | PA      | $1973572.16    | 0.03%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $341.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                     | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG C 144A           | CUSIP: 05551UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485000 | PA      | $485070.62     | 0.01%             | 2039-02-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                    | REACH FINANCIAL LLC REACH 2025 1A D 144A                    | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $513459.10     | 0.01%             | 2032-08-16      | Fixed         | 7.75%                 | 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        |    3200000 | PA      | $3513760.00    | 0.05%             | 2026-06-08      | Floating      | 21.20%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3046423 | PA      | $-3049518.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                               | BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1                   | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98790 | PA      | $92060.20      | 0.00%             | 2035-04-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2995.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A               | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     646000 | PA      | $859421.96     | 0.01%             | 2049-12-21      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                             | LIBERTY STREET TRUST LBTY 2016 225L E 144A                  | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4622456.00    | 0.07%             | 2036-02-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG           | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     660000 | PA      | $85800.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 25-2A                                                     | DEUTSCHE BANK AG CRFT 2025 2A CLN 144A                      | CUSIP: ACI2Y11S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | DE        |   18900000 | PA      | $18900000.00   | 0.27%             | 2035-01-21      | Floating      | 11.62%                | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3             | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179687 | PA      | $173530.41     | 0.00%             | 2036-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5              | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066993 | PA      | $1056725.73    | 0.01%             | 2035-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                           | CUSIP: ACI2S8Z13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $472516.64     | 0.01%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5561429 | PA      | $-5614863.89   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-14                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 14 2A1A           | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4078468 | PA      | $3826409.28    | 0.05%             | 2047-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED REGS 10/30 8.5                          | CUSIP: ACI2VMKZ9<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    2500000 | PA      | $3049042.89    | 0.04%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                          | XEROX CORPORATION SECURED 144A 04/31 13.5                   | CUSIP: 984121CT8<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2228868.82    | 0.03%             | 2031-04-15      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $22166.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10            | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53012 | PA      | $45596.25      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   69751000 | PA      | $63219567.98   | 0.89%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31143043 | PA      | $-31559581.00  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS              | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2306474 | PA      | $242454.42     | 0.00%             | 2048-12-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 BI                                     | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3848909 | PA      | $863935.35     | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6            | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $829351.80     | 0.01%             | 2035-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260528                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $513.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                  | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150898 | PA      | $123280.87     | 0.00%             | 2036-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3          | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3222 | PA      | $2967.16       | 0.00%             | 2036-10-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3            | CUSIP: 933634AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1294975 | PA      | $1157244.71    | 0.02%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                            | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    9290921 | PA      | $9659381.46    | 0.14%             | 2043-03-22      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A           | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3882712 | PA      | $2520714.57    | 0.04%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11978400 | PA      | $-11981329.81  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-7R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 7R 3A2 144A          | CUSIP: 12646JBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14911453 | PA      | $6738585.63    | 0.09%             | 2047-09-26      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                      | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                      | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     848957 | PA      | $655995.93     | 0.01%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A X 144A                                 | CUSIP: ACI2JTNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6447530 | PA      | $3571092.89    | 0.05%             | 2049-12-28      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -73229 | PA      | $-73248.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                    | FREDDIE MAC FHR 4687 SG                                     | CUSIP: 3137BY4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     206394 | PA      | $25796.30      | 0.00%             | 2047-01-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9            | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5085219 | PA      | $2083172.60    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A Z 144A                                 | CUSIP: ACI2JTLB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5085000 | PA      | $6119702.27    | 0.09%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5598536 | PA      | $-5641463.16   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1              | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2438381 | PA      | $745433.68     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/30 7.25         | CUSIP: ACI2L7QQ7<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      33042 | PA      | $5077.66       | 0.00%             | 2030-09-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-6                                                     | LEHMAN XS TRUST LXS 2007 6 3A6                              | CUSIP: 52524PAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5492561 | PA      | $4695631.92    | 0.07%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC F 144A                             | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23000000 | PA      | $17675290.70   | 0.25%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 C 144A       | CUSIP: 46649JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2105506 | PA      | $2059448.38    | 0.03%             | 2035-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                             | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000         | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |     111900 | PA      | $130178.50     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75            | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   76600000 | PA      | $1334639.10    | 0.02%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A      | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $383120.47     | 0.01%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | J P MORGAN TERM REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  166689387 | PA      | $166689387.00  | 2.35%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF C 144A         | CUSIP: 61691KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5833432.80    | 0.08%             | 2034-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                      | BX TRUST BX 2022 AHP C 144A                                 | CUSIP: 05610FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19300000 | PA      | $19288794.42   | 0.27%             | 2039-01-17      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14605250 | PA      | $-14628618.40  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-111                                                 | FANNIE MAE FNR 2017 111 AI                                  | CUSIP: 3136B0KK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3524036 | PA      | $791227.53     | 0.01%             | 2048-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2383572 | PA      | $-2387147.29   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1           | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54606 | PA      | $13805.69      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/31 5.125                       | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    3090000 | PA      | $3623789.67    | 0.05%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |   11600000 | PA      | $11584525.60   | 0.16%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 AIOS 144A      | CUSIP: 64832BAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  553388113 | PA      | $3289421.95    | 0.05%             | 2064-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A       | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     968584 | PA      | $971728.64     | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1463001.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-1 ISSUER TRUST                                     | STREAM INNOVATIONS ISSUER TRUS STRE 2024 1A A 144A          | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     334017 | PA      | $347954.15     | 0.00%             | 2044-07-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $19908.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1             | CUSIP: 05949CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81787 | PA      | $79717.33      | 0.00%             | 2036-01-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A3             | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6248440 | PA      | $1602609.25    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMISION EJECUTIVA HIDROELECTRICA DEL RIO LEMPA                            | COMISION EJ HI RIO LEMPA GOVT GUARANT REGS 01/33 8.65       | CUSIP: P3012UAA4<br>LEI: 254900YU43PQQ27Q0E71 | Long             | DBT              | CORP              | SV        |    7300000 | PA      | $7642370.00    | 0.11%             | 2033-01-24      | Fixed         | 8.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5             | CUSIP: 761128AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4048146 | PA      | $943080.31     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -17465620 | PA      | $-23704846.50  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3                          | FREDDIE MAC   SCRT SCRT 2020 3 BXS 144A                     | CUSIP: 35563PUB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1867272 | PA      | $1089994.15    | 0.02%             | 2060-05-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED REGS 05/27 8            | CUSIP: BL5F4LII6<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   40100000 | PA      | $17089894.86   | 0.24%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | TRS YJL 01/28/36 MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |          1 | NC      | $-1591434.68   | -0.02%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $362.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                       | START LTD. STARR 2019 1 A 144A                              | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     460736 | PA      | $457986.72     | 0.01%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN                | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    6979481 | PA      | $6979480.66    | 0.10%             | 2029-12-23      | Floating      | 7.65%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8              | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364736 | PA      | $111645.98     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A         | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6183000 | PA      | $5956177.26    | 0.08%             | 2034-11-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8           | CUSIP: 02149VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3639557 | PA      | $1587557.84    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R1                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A           | CUSIP: 61758QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3863617 | PA      | $3799369.03    | 0.05%             | 2035-07-26      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6577.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                     | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    3517243 | NS      | $158791798.48  | 2.24%             |  |  |  | Yes           |                  3 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 12/28 VAR                        | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    6800000 | PA      | $7098860.00    | 0.10%             | 2028-12-07      | Floating      | 13.18%                | No            |                  2 | On Loan: No      |
| VEON AMSTERDAM BV                                                          | VEON AMSTERDAM TERM LOAN                                    | CUSIP: BA000HL48<br>LEI: 549300EPG4HR574L4660 | Long             | LON              | CORP              | NL        |    8800000 | PA      | $8793743.02    | 0.12%             | 2027-03-25      | Floating      | 8.21%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE                                                              | NUMERICABLE U S LLC TERM LOAN B 11                          | CUSIP: 67053NAL8<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     199490 | PA      | $216498.90     | 0.00%             | 2027-04-30      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10           | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1193600 | PA      | $952879.50     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                      | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4              | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1553000 | PA      | $1441500.97    | 0.02%             | 2035-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                        | MFRA TRUST MFRA 2020 NQM2 B1 144A                           | CUSIP: 552751AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14456000 | PA      | $14064545.98   | 0.20%             | 2065-04-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6              | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1341785 | PA      | $1337825.78    | 0.02%             | 2035-06-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $25325.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A             | CUSIP: 17312VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1542405 | PA      | $1376434.84    | 0.02%             | 2037-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C                | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     424377 | PA      | $372610.17     | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-96016.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                           | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3               | CUSIP: 00764MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740219 | PA      | $728778.51     | 0.01%             | 2034-09-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3            | CUSIP: 02151BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7431962 | PA      | $2401391.09    | 0.03%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18316688 | PA      | $-18499270.65  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $348.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                   | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                     | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |   15047185 | PA      | $13185096.24   | 0.19%             | 2029-05-01      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A         | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2092492 | PA      | $1714927.26    | 0.02%             | 2047-08-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                    | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                       | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1469179 | PA      | $993554.07     | 0.01%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-1A                                             | ROCKFORD TOWER CLO LTD ROCKT 2017 1A SUB 144A               | CUSIP: 77340FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22000000 | PA      | $8330163.38    | 0.12%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M6              | CUSIP: 03072SG74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6361719 | PA      | $6205287.20    | 0.09%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -12219477 | PA      | $-14360918.87  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 E 144A       | CUSIP: 46654PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $9019739.70    | 0.13%             | 2038-11-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-120302.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17             | CUSIP: 05950BAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35179 | PA      | $30791.66      | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 M 144A                       | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3619443.75    | 0.05%             | 2061-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A       | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $727176.00     | 0.01%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -800000 | PA      | $-1076589.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D                | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3269009 | PA      | $1437967.87    | 0.02%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A        | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2006829.24    | 0.03%             | 2037-07-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A             | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        176 | PA      | $1836442.70    | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M2              | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1025572 | PA      | $826542.62     | 0.01%             | 2036-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                  | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   10806063 | PA      | $12358623.90   | 0.17%             | 2026-04-17      | Floating      | 5.13%                 | No            |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                           | CUSIP: ACI2S8XS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $0.00          | 0.00%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-ACNT                                     | BX TRUST BX 2021 ACNT D 144A                                | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17456105 | PA      | $17444027.44   | 0.25%             | 2038-11-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-352.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                 | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |   89140307 | PA      | $74476726.46   | 1.05%             | 2029-06-01      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                 | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200726 | PA      | $2106910.42    | 0.03%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR              | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    3980480 | PA      | $2169361.60    | 0.03%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2C            | CUSIP: 84751VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2803883 | PA      | $1410690.33    | 0.02%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5             | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245683 | PA      | $217894.40     | 0.00%             | 2035-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                 | CARVANA CO SR SECURED 144A 06/31 9                          | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   10194720 | PA      | $11550291.53   | 0.16%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-122.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 REVOLVER                   | CUSIP: BA000K747<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1364207 | PA      | $1356377.59    | 0.02%             | 2032-08-26      | Floating      | 9.58%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A         | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     779480 | PA      | $780909.42     | 0.01%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A          | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2949000.30    | 0.04%             | 2036-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19439602 | PA      | $-19475360.07  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A         | CUSIP: 12646QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2593383 | PA      | $1301447.51    | 0.02%             | 2037-12-29      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2B                              | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703229 | PA      | $431594.73     | 0.01%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                            | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                  | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978456 | PA      | $559670.47     | 0.01%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25744198 | PA      | $-25984992.12  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                      | REGAL TRUST IV REGAL 1999 1 A 144A                          | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        585 | PA      | $553.26        | 0.00%             | 2031-09-29      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -6005505 | PA      | $-8081885.95   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375           | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $910646.37     | 0.01%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 06/17/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $255938.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A        | CUSIP: 55375KAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1708473.00    | 0.02%             | 2039-09-13      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR             | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     700000 | PA      | $714420.00     | 0.01%             | 2031-06-05      | Floating      | 12.94%                | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95               | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       4000 | PA      | $1276.03       | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3            | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2428389 | PA      | $899117.69     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPRUCE BIDCO II INC                                                        | SPRUCE BIDCO II INC REVOLVER                                | CUSIP: BA000FL00<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2245459 | PA      | $2245458.72    | 0.03%             | 2032-01-30      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                      | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |   29500000 | PA      | $39690999.26   | 0.56%             | 2031-11-28      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25590912 | PA      | $-26257554.84  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                  | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $25564.44      | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2              | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228914 | PA      | $166247.73     | 0.00%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $577.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | WEST MARINE NEW WARRANT WARRWM911                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       5580 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  3 | 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        |    6500000 | PA      | $6792500.00    | 0.10%             | 2027-04-05      | Floating      | 12.64%                | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2019 521F A 144A                   | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1936750.00    | 0.03%             | 2034-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3            | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6224408 | PA      | $2234208.18    | 0.03%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2787174 | PA      | $-2808304.87   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -372436 | PA      | $-372484.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2798811 | PA      | $-2825202.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                       | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4                | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5195876 | PA      | $4725128.58    | 0.07%             | 2037-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A           | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1760000 | PA      | $1744012.69    | 0.02%             | 2038-05-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A          | CUSIP: 12641TAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2052825 | PA      | $1851675.16    | 0.03%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A G 144A                                 | CUSIP: ACI2JTMY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2676000 | PA      | $3461599.53    | 0.05%             | 2049-12-28      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A              | CUSIP: 59023CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     803537 | PA      | $758579.82     | 0.01%             | 2036-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8265000 | PA      | $8233749.87    | 0.12%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THE COMPLEAT FOOD GROUP (HOLDINGS) LIMITED                                 | ADDO AND WINTERBOTHAM GBP TERM LOAN                         | CUSIP: 937ICLII2<br>LEI: 259400QEGOEU126C6775 | Long             | LON              | CORP              | GB        |    3000000 | PA      | $4049848.70    | 0.06%             | 2028-01-31      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                             | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5                  | CUSIP: 12629EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1791221 | PA      | $1192909.12    | 0.02%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 3A              | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10172 | PA      | $9870.39       | 0.00%             | 2034-09-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| ACACIA CDO LTD 5A                                                          | ACACIA CDO LTD ACCDO 5A B 144A                              | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8674291 | PA      | $1914658.86    | 0.03%             | 2039-11-08      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 1A            | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2176884 | PA      | $1847455.54    | 0.03%             | 2046-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7              | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $21685.60      | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2015-RR6                                                    | BCAP LLC TRUST BCAP 2015 RR6 2A2 144A                       | CUSIP: 05490QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23355215 | PA      | $7165384.69    | 0.10%             | 2036-01-26      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 2A2            | CUSIP: 12667GS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2278393 | PA      | $1557425.20    | 0.02%             | 2035-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR UNSECURED 144A 02/29 6          | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   37300000 | PA      | $23312500.00   | 0.33%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4             | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3497233 | PA      | $3151433.09    | 0.04%             | 2047-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251009                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-102.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25470577.25   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $53.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                          | FREDDIE MAC   SCRT SCRT 2018 1 BX                           | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4113792 | PA      | $1890615.61    | 0.03%             | 2057-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A              | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386921 | PA      | $315326.48     | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                             | FREMONT HOME LOAN TRUST FHLT 2005 B M6                      | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $3745098.33    | 0.05%             | 2035-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                            | GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1                     | CUSIP: 36298NAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     589196 | PA      | $152481.17     | 0.00%             | 2036-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9                | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      15000 | PA      | $4520.37       | 0.00%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FAB UK LTD 2004-1                                                          | FAB FAB 2004 1 S2 REGS                                      | CUSIP: ACI0MWFN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   15806000 | PA      | $4143506.00    | 0.06%             | 2045-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1              | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575679 | PA      | $649298.99     | 0.01%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-111                                                 | FANNIE MAE FNR 2011 111 PS                                  | CUSIP: 3136A2HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     465163 | PA      | $9062.82       | 0.00%             | 2040-03-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B            | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575814 | PA      | $515579.86     | 0.01%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4145166 | PA      | $-4183884.94   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                             | COUNTRYWIDE HOME LOANS CWHL 2007 13 A14                     | CUSIP: 17025JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1338 | PA      | $598.96        | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -83477981 | PA      | $-84338778.56  | -1.19%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    1400000 | PA      | $1570940.00    | 0.02%             | 2027-06-06      | Floating      | 29.46%                | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                    | BCAP LLC TRUST BCAP 2010 RR4 6A12 144A                      | CUSIP: 05532XAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3021011 | PA      | $2125005.13    | 0.03%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                     | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1300000 | PA      | $31645.74      | 0.00%             | 2026-08-19      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                  | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5948005 | PA      | $1749292.52    | 0.02%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-1R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A          | CUSIP: 12640XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5239136 | PA      | $4807717.87    | 0.07%             | 2035-04-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2881.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1152.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A             | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9435524 | PA      | $7999555.89    | 0.11%             | 2047-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A         | CUSIP: 61758MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5528788 | PA      | $5574982.98    | 0.08%             | 2036-04-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7          | CUSIP: 02149JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1658065 | PA      | $591653.40     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                   | SERVICE PROPERTIES TRUST SR SECURED 144A 09/27 0.00000      | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1412448.46    | 0.02%             | 2027-09-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5             | CUSIP: 12666PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6151046 | PA      | $4430027.78    | 0.06%             | 2046-09-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                               | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     240987 | NS      | $271109.89     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265585 | PA      | $120816.98     | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251009                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $865.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                             | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 12A1              | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2470758 | PA      | $965634.53     | 0.01%             | 2037-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                 | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    9476250 | PA      | $9014282.81    | 0.13%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.50000 09/16/20-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $5451502.65    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2004-AA                                            | EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A                | CUSIP: 268668DE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1664549 | PA      | $1639024.74    | 0.02%             | 2042-04-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260518                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $272.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL ASTON MARTIN CAPITAL HOL           | CUSIP: ACI2N9Q99<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |    9300000 | PA      | $12221960.45   | 0.17%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                              | ARGENT SECURITIES INC. ARSI 2005 W3 M2                      | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14850602 | PA      | $13232986.81   | 0.19%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                   | FANNIE MAE FNR 2008 9 SA                                    | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350574 | PA      | $42574.16      | 0.00%             | 2038-02-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1078319 | PA      | $635313.40     | 0.01%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B4 144A             | CUSIP: 59981TAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1532000 | PA      | $957398.89     | 0.01%             | 2059-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                     | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2               | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3850061 | PA      | $3887056.85    | 0.05%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8553400 | PA      | $-10110394.18  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3232735 | PA      | $-3269880.88   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A R 144A                                 | CUSIP: ACI2JTMW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    6403000 | PA      | $5251725.87    | 0.07%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KENNEDY WILSON EUROPE REAL ESTATE LIMITED                                  | KENNEDY WILSON EUR REAL SR UNSECURED REGS 11/25 3.25        | CUSIP: ACI0HXJ38<br>LEI: 213800WIL553Z1T6DZ52 | Long             | DBT              | CORP              | JE        |    2463158 | PA      | $2885589.67    | 0.04%             | 2025-11-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -20865384 | PA      | $-28081386.95  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1                  | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20080 | PA      | $12608.89      | 0.00%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                         | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   68531450 | PA      | $59454117.21   | 0.84%             | 2029-07-06      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-1                                          | CONSECO FINANCE SECURITIZATION CNF 2002 1 M2                | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4497307 | PA      | $4428715.89    | 0.06%             | 2033-12-01      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| INDYMAC HM EQ LN ASSET BACKED TR 2000-C                                    | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1             | CUSIP: 456606BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451787 | PA      | $292189.65     | 0.00%             | 2031-12-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4            | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87907 | PA      | $70142.47      | 0.00%             | 2037-07-27      | Floating      | 5.72%                 | 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        |     200000 | PA      | $26000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1               | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18348814 | PA      | $3803784.44    | 0.05%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DOGWOOD LLC                                                                | MARKET GARDEN EQTYQL9A8                                     | CUSIP: 902FLS002<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   61012050 | NS      | $62118198.39   | 0.87%             |  |  |  | Yes           |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15           | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61974 | PA      | $50797.70      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                               | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M3                 | CUSIP: 70069FHW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120200 | PA      | $119769.20     | 0.00%             | 2035-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B2 144A         | CUSIP: 12656TAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4624600 | PA      | $2849303.00    | 0.04%             | 2060-01-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 1 2014-1A                                             | SEGOVIA EUROPEAN CLO 1   2014 SEGOV 2014 1A SUB 144A        | CUSIP: ACI0QFG97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $505787.29     | 0.01%             | 2035-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-134                                                        | FANNIE MAE FNR 2010 134 BS                                  | CUSIP: 31398SPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1147428 | PA      | $65966.65      | 0.00%             | 2040-10-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3731806 | PA      | $-4407957.70   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -90249984 | PA      | $-90586215.60  | -1.28%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11          | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     805002 | PA      | $455170.75     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                               | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    3453852 | PA      | $3117188.93    | 0.04%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13           | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57644 | PA      | $47248.73      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                             | BONANZA RE LTD UNSECURED 144A 01/26 VAR                     | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $389600.00     | 0.01%             | 2026-01-08      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN C                 | CUSIP: 944ZQDII8<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |   10450000 | PA      | $8636765.16    | 0.12%             | 2029-02-16      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $261025.00     | 0.00%             | 2027-06-06      | Floating      | 11.96%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -6057375 | PA      | $-7125703.83   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -217840 | PA      | $-218221.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     400000 | PA      | $271000.00     | 0.00%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5578.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 AIOS 144A     | CUSIP: 61775UAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  188141751 | PA      | $600143.97     | 0.01%             | 2068-12-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6652337 | PA      | $-6665212.60   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO A 144A                  | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6940000 | PA      | $5735258.33    | 0.08%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A       | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6170886 | PA      | $6126300.19    | 0.09%             | 2035-02-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A       | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1737782 | PA      | $1827235.42    | 0.03%             | 2034-04-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4042887 | PA      | $-4116077.90   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 02/43 5.5             | CUSIP: 983YNTII1<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1134182.02    | 0.02%             | 2043-02-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1            | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535482 | PA      | $471010.55     | 0.01%             | 2037-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5           | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6502667 | PA      | $1213218.14    | 0.02%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-91                                                  | FANNIE MAE FNR 2012 91 MI                                   | CUSIP: 3136A7TF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425228 | PA      | $42978.03      | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES                    | CUSIP: ACI2C6R96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5795000 | PA      | $11.69         | 0.00%             | 2062-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A         | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6612000 | PA      | $6597648.65    | 0.09%             | 2034-04-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 B5 144A               | CUSIP: 89178WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3097076 | PA      | $2324431.05    | 0.03%             | 2060-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 AIOS 144A        | CUSIP: 26844QAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  221048198 | PA      | $114337.18     | 0.00%             | 2068-02-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1              | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     600000 | PA      | $0.01          | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| IPL PLASTICS (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)   | TOUCAN FINCO LTD/CAN/US SR SECURED 144A 05/30 8.25          | CUSIP: ACI2WX839<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    4600000 | PA      | $5157361.53    | 0.07%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19283431 | PA      | $-19474062.25  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT AUD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $3907.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MSDB TRUST 2017-712F                                                       | MSDB TRUST MSDB 2017 712F A 144A                            | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34437500 | PA      | $33019556.60   | 0.46%             | 2039-07-11      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A            | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5849103 | PA      | $5418036.18    | 0.08%             | 2036-03-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270095 | PA      | $252993.16     | 0.00%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3              | CUSIP: 05951EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65040 | PA      | $56176.64      | 0.00%             | 2047-01-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P D 144A        | CUSIP: 55375KAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780000 | PA      | $1607934.88    | 0.02%             | 2039-09-13      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7          | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495877 | PA      | $200581.44     | 0.00%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-121                                                        | FANNIE MAE FNR 2006 121 SD                                  | CUSIP: 31396LR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     868923 | PA      | $107369.76     | 0.00%             | 2036-12-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A         | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     579613 | PA      | $566907.43     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                     | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28420112 | PA      | $991515.18     | 0.01%             | 2048-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU D 144A          | CUSIP: 36256AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4540000 | PA      | $4514180.11    | 0.06%             | 2032-11-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2D                              | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13791895 | PA      | $9358912.66    | 0.13%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B2 144A         | CUSIP: 12657GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7566748 | PA      | $5055703.00    | 0.07%             | 2060-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                     | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  276200000 | PA      | $6537032.82    | 0.09%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1              | CUSIP: 05954DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283443 | PA      | $226821.20     | 0.00%             | 2037-09-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |    4853248 | NS      | $7668131.84    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1           | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148686 | PA      | $130633.90     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8896000 | PA      | $9344075.51    | 0.13%             | 2041-10-25      | Floating      | 11.86%                | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3           | CUSIP: 161630BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     786280 | PA      | $762344.40     | 0.01%             | 2037-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A            | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179677 | PA      | $157457.07     | 0.00%             | 2046-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                             | POLARIS NEWCO, LLC USD TERM LOAN B                          | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |   10682405 | PA      | $10318188.25   | 0.15%             | 2028-06-02      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A        | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  115603970 | PA      | $1802890.16    | 0.03%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4577223 | PA      | $-4628047.01   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                 | PALISADES CDO LTD PALIS 2004 1A B1 144A                     | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6539993 | PA      | $2471411.20    | 0.03%             | 2039-07-22      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A              | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9725668 | PA      | $8951409.46    | 0.13%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3196638 | PA      | $-3207570.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1842737 | PA      | $-1854644.99   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                         | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11610000 | PA      | $7256250.00    | 0.10%             | 2029-04-09      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 BS                                     | CUSIP: 3137F8TX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5579146 | PA      | $961184.15     | 0.01%             | 2051-01-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B2 144A             | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2924000 | PA      | $2244046.02    | 0.03%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A8                | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255151 | PA      | $115652.72     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                      | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                 | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |    1900000 | NS      | $1858209.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-9R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 9R 6A2 144A          | CUSIP: 12642HCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7756929 | PA      | $7226745.87    | 0.10%             | 2036-10-26      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9288 | PA      | $9641912.28    | 0.14%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M5            | CUSIP: 76110W7H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1786331 | PA      | $1371593.89    | 0.02%             | 2035-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE SAS 2021 EUR TERM LOAN B                   | CUSIP: 937NEWII5<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |   15900000 | PA      | $13119639.28   | 0.18%             | 2028-06-30      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1994756.20    | 0.03%             | 2038-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1            | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     788433 | PA      | $734160.92     | 0.01%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                            | FBR SECURITIZATION TRUST FBRSI 2005 5 M4                    | CUSIP: 30246QCS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3644000 | PA      | $2108364.10    | 0.03%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SOLOSO CDO LTD 2007-1A                                                     | SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A                      | CUSIP: 83438JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17418036 | PA      | $14195699.34   | 0.20%             | 2037-10-07      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                          | INEOS FINANCE PLC SR SECURED 144A 03/31 7.25                | CUSIP: ACI30LWW7<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    7600000 | PA      | $8921223.90    | 0.13%             | 2031-03-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                            | PRP ADVISORS, LLC PRPM 2025 5 A1 144A                       | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     984541 | PA      | $986203.10     | 0.01%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $18543823.65   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2              | CUSIP: 76111XZS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39496 | PA      | $27119.48      | 0.00%             | 2035-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B10                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B10 3CCA 144A           | CUSIP: 08162VBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15430000 | PA      | $11738870.89   | 0.17%             | 2062-03-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA 2022 EUR TERM LOAN 1               | CUSIP: BA000GZZ6<br>LEI: 969500I7C8V1LBIMSM05 | Long             | LON              | CORP              | FR        |    5500000 | PA      | $6388564.55    | 0.09%             | 2025-12-22      | Floating      | 3.56%                 | Yes           |                  3 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                  | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       5000 | PA      | $1526.63       | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | UNITI GROUP INC COMMON STOCK USD.0001                       | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     959341 | NS      | $5871166.92    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| VIALTO PARTNERS (GALAXY US OPCO INC)                                       | GALAXY US OPCO INC. TERM LOAN                               | CUSIP: 36321DAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   39491415 | PA      | $36085477.48   | 0.51%             | 2030-07-31      | Fixed         | 10.06%                | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    3000000 | PA      | $2100000.00    | 0.03%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-20769.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                              | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      35261 | PA      | $3123.67       | 0.00%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |     800000 | PA      | $846840.00     | 0.01%             | 2032-06-07      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTILITIES LIMITED 2021 GBP REVOLVER            | CUSIP: BA0008XV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | LON              | CORP              | GB        |    7235090 | PA      | $6616718.81    | 0.09%             | 2025-11-28      | Floating      | 5.36%                 | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A       | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13987342 | PA      | $13415434.33   | 0.19%             | 2035-02-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B                  | CUSIP: 1266944K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278496 | PA      | $260479.10     | 0.00%             | 2036-05-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260707                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $532.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 TERM LOAN                  | CUSIP: BA000K739<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   13642066 | PA      | $13563775.99   | 0.19%             | 2032-08-26      | Floating      | 9.67%                 | No            |                  3 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   92615000 | PA      | $91080767.69   | 1.28%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                      | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1            | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346871 | PA      | $265202.40     | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M2              | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2194854 | PA      | $1926849.37    | 0.03%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32           | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2092375 | PA      | $2069869.92    | 0.03%             | 2046-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED REGS 05/30 7.5          | CUSIP: ACI2FPJG4<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |   10543000 | PA      | $12836964.01   | 0.18%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD IDR BOUGHT USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-330.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3             | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15138336 | PA      | $10295163.14   | 0.14%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2YYK31<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     167908 | PA      | $250489.02     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 2A1                        | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3132936 | PA      | $1158279.41    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A1           | CUSIP: 12668BRW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2142274 | PA      | $1759108.25    | 0.02%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                 | CARVANA CO SR SECURED 144A 06/30 9                          | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    4152744 | PA      | $4347744.40    | 0.06%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14684521 | PA      | $-14759922.68  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | X CORP 2025 FIXED TERM LOAN                                 | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   12050000 | PA      | $12104405.75   | 0.17%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                         | FANNIE MAE FNR 2020 37 IA                                   | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1801010 | PA      | $348734.96     | 0.00%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3             | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2397140 | PA      | $2196733.91    | 0.03%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -901717 | PA      | $-902675.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A             | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1045577 | PA      | $1045020.35    | 0.01%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | VERITAS US INC TL TRS BKL BPS                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1173219.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10            | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144321 | PA      | $115307.93     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                    | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                     | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3297339 | PA      | $3173688.71    | 0.04%             | 2036-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-19864.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    3200000 | PA      | $3569920.00    | 0.05%             | 2026-06-08      | Floating      | 26.76%                | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A           | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90741 | PA      | $73137.67      | 0.00%             | 2035-01-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3288000 | PA      | $3272684.56    | 0.05%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST 2010-RR1A                                                   | LAVENDER TRUST LTS 2010 RR1A A4 144A                        | CUSIP: 519440DG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5382727 | PA      | $5219096.65    | 0.07%             | 2036-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2          | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1172748 | PA      | $671735.78     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17683281 | PA      | $-17714029.92  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2               | CUSIP: 61749JAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1653846 | PA      | $420534.43     | 0.01%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 1610 144A                      | CUSIP: 05533DGV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9511032 | PA      | $7820402.02    | 0.11%             | 2047-02-26      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 BXS 144A                     | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     484313 | PA      | $283734.71     | 0.00%             | 2061-03-25      | Variable      | 10.98%                | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |   82406591 | PA      | $69711031.79   | 0.98%             | 2028-02-01      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8003510 | PA      | $4303008.59    | 0.06%             | 2035-11-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2            | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5251 | PA      | $2318.40       | 0.00%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A          | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     592275 | PA      | $604729.88     | 0.01%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $138984.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7745052.34    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                           | CUSIP: ACI2S8XN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $2432923.66    | 0.03%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $228.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 G 144A          | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2728805.20    | 0.04%             | 2034-12-15      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9945468 | PA      | $-9946843.41   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A8                         | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1164178 | PA      | $1074597.91    | 0.02%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MIZUHO SECURITIES                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -55997781 | PA      | $-56120384.75  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324509 | PA      | $137931.45     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -37271438 | PA      | $-37276935.46  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A            | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224908 | PA      | $197040.30     | 0.00%             | 2046-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                           | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2316329 | NS      | $92975495.71   | 1.31%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BX TRUST 2021-ARIA                                                         | BX TRUST BX 2021 ARIA E 144A                                | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $12006979.20   | 0.17%             | 2036-10-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 D 144A       | CUSIP: 46649JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699367 | PA      | $677249.62     | 0.01%             | 2035-02-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-357.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3903.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     167720 | NS      | $20126.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A1 144A                               | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     521634 | PA      | $452525.09     | 0.01%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1             | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5838770 | PA      | $5504402.18    | 0.08%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                           | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   15300000 | PA      | $15739281.82   | 0.22%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -847632 | PA      | $-855488.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2021-160                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 160 VI              | CUSIP: 38383ATZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32488857 | PA      | $2600726.49    | 0.04%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1021708.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SEC PLC                                                 | LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS               | CUSIP: B1L1F5II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    4213454 | PA      | $4738620.14    | 0.07%             | 2048-09-16      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -117996151 | PA      | $-119224228.90 | -1.68%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2             | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18161088 | PA      | $11878570.08   | 0.17%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     711293 | NS      | $23195264.73   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                   | LEHMAN XS TRUST LXS 2007 15N 4A1                            | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183536 | PA      | $165933.49     | 0.00%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31          | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1437880 | PA      | $652497.71     | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                            | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A1                  | CUSIP: 07386HTP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85615 | PA      | $84094.54      | 0.00%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A          | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8259953 | PA      | $9595446.98    | 0.14%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -54369025 | PA      | $-54876871.36  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE COMPUTE ACQCO II LLC DDTL                         | CUSIP: 948GKAII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   17037500 | PA      | $17970981.36   | 0.25%             | 2028-07-31      | Floating      | 13.76%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251001                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $337236.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3979503 | PA      | $-4021125.59   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 2 2AA1                     | CUSIP: 81744LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69001 | PA      | $55172.58      | 0.00%             | 2038-01-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B1 144A             | CUSIP: 59981TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3063000 | PA      | $2599220.76    | 0.04%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2A                              | CUSIP: 3622MHAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2357232 | PA      | $1446721.06    | 0.02%             | 2037-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20251001                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5473.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A E 144A                                 | CUSIP: ACI2JTN85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11241000 | PA      | $15151876.26   | 0.21%             | 2049-12-28      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| UCFC HOME EQUITY LOAN 1998-D                                               | UCFC HOME EQUITY LOAN UCFC 1998 D MF2                       | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252034 | PA      | $255212.03     | 0.00%             | 2030-04-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -2084323 | PA      | $-2459753.61   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19194619 | PA      | $-19704235.87  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 M 144A                       | CUSIP: 35563P6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $645637.65     | 0.01%             | 2061-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL SR SECURED 144A 02/32 8.375               | CUSIP: 61980LAB5<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |    1200000 | PA      | $1038740.52    | 0.01%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                             | LIBERTY STREET TRUST LBTY 2016 225L D 144A                  | CUSIP: 902055AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2541000 | PA      | $2423456.39    | 0.03%             | 2036-02-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5            | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   15805000 | PA      | $17427383.25   | 0.25%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED REGS 07/29 4                    | CUSIP: ACI1X3WT2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1319777.35    | 0.02%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6              | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1197607.32    | 0.02%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75137000 | PA      | $2998680.10    | 0.04%             | 2045-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A             | CUSIP: 17307GE61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     553466 | PA      | $523920.09     | 0.01%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2MY762<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2620000 | PA      | $3134549.26    | 0.04%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4             | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7675887 | PA      | $2278634.76    | 0.03%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B           | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91846 | PA      | $84458.12      | 0.00%             | 2034-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4             | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1420342 | PA      | $834636.08     | 0.01%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.25000 03/18/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1386072.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8          | CUSIP: 12668AU52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50404 | PA      | $48773.41      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME A 144A        | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27810000 | PA      | $25654291.16   | 0.36%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                       | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4           | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2869295 | PA      | $2816799.80    | 0.04%             | 2035-12-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-3                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A         | CUSIP: 74929FCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2746883 | PA      | $1436569.24    | 0.02%             | 2037-05-26      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                     | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1849255 | PA      | $1667351.96    | 0.02%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST B 144A       | CUSIP: 46652DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7905000 | PA      | $830025.00     | 0.01%             | 2036-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2ZHVB7<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     593035 | PA      | $893143.57     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A          | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2818777 | PA      | $2693608.50    | 0.04%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6              | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        336 | PA      | $334.64        | 0.00%             | 2036-02-25      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                 | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8323874 | PA      | $8827245.30    | 0.12%             | 2041-11-25      | Floating      | 12.16%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7803522 | PA      | $-7879586.67   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9257628 | PA      | $-9302193.84   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625      | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    1081000 | PA      | $945875.00     | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8           | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     689582 | PA      | $344636.39     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                               | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                      | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8200929 | PA      | $8516745.14    | 0.12%             | 2041-10-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1          | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2323022 | PA      | $1007783.54    | 0.01%             | 2036-10-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6            | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     828658 | PA      | $819797.94     | 0.01%             | 2035-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3            | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1269194 | PA      | $1092242.88    | 0.02%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3810.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR              | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1593077 | PA      | $775031.96     | 0.01%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288      | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $224700.00     | 0.00%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4832.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2B                     | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6309525 | PA      | $1720609.94    | 0.02%             | 2036-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2419166.00    | 0.03%             | 2034-09-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                    | XBP GLOBAL HOLDINGS INC COMMON STOCK USD.0001               | CUSIP: 98400V101<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |      53987 | NS      | $43567.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1           | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20534165 | PA      | $7562242.28    | 0.11%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                           | CUSIP: ACI2S8XL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        145 | PA      | $0.00          | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                            | OCADO GROUP PLC OCADO GROUP PLC                             | CUSIP: ACI2QDHC0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |    7450000 | PA      | $10012433.38   | 0.14%             | 2029-08-08      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    4729466 | PA      | $4303814.06    | 0.06%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A         | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800540 | PA      | $519121.59     | 0.01%             | 2037-11-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 B2 144A            | CUSIP: 92541AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5582000 | PA      | $5236926.90    | 0.07%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5         | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |   14084315 | PA      | $14748179.19   | 0.21%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6               | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799160 | PA      | $792123.49     | 0.01%             | 2035-08-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20251124                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1018.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                   | ANTHRACITE LTD SER 2004 HY1 CL D 144A                       | CUSIP: 03702YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2020690 | PA      | $20.21         | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                    | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     923236 | PA      | $908050.65     | 0.01%             | 2047-06-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                             | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                     | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145874 | PA      | $83025.18      | 0.00%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10616153 | PA      | $-10632077.23  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5408.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A         | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6246000 | PA      | $4807976.55    | 0.07%             | 2036-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3              | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2507185 | PA      | $886712.02     | 0.01%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 VI                                     | CUSIP: 3137FUZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7149728 | PA      | $1316681.76    | 0.02%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                        | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                    | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   84060000 | PA      | $46384628.39   | 0.65%             | 2030-11-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS7                                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS7 MII1           | CUSIP: 760985YC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265217 | PA      | $264151.96     | 0.00%             | 2033-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| TDA FTA 28                                                                 | TITULIZACION DE ACTIVOS TDA 28 A REGS                       | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    6715871 | PA      | $4399406.18    | 0.06%             | 2050-10-28      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9           | CUSIP: 12667G4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     389614 | PA      | $225343.72     | 0.00%             | 2035-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -5211076 | PA      | $-6155676.58   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                             | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2720798 | PA      | $0.03          | 0.00%             | 2028-07-08      | Floating      | 4.03%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5976403 | PA      | $-5988829.07   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1             | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2720991 | PA      | $1994779.83    | 0.03%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M6              | CUSIP: 36242DN74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2101241 | PA      | $1988587.38    | 0.03%             | 2035-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A           | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349114 | PA      | $324159.92     | 0.00%             | 2037-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                     | SOUTH COAST FUNDING SCF 5A B 144A                           | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3678131 | PA      | $1158243.35    | 0.02%             | 2039-08-06      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| EUROMAX-V                                                                  | EUROMAX EUMAX V A2 REGS                                     | CUSIP: G3233MAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2615990 | PA      | $2996900.42    | 0.04%             | 2095-11-10      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD              | CUSIP: 38375GTB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1152220 | PA      | $129418.75     | 0.00%             | 2042-08-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -33799777 | PA      | $-34125400.45  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                               | ACE SECURITIES CORP. ACE 2006 NC3 A2B                       | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20570090 | PA      | $5166478.41    | 0.07%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN      | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  115342147 | PA      | $118802411.52  | 1.67%             | 2028-09-15      | Fixed         | 12.23%                | No            |                  3 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                     | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6              | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468363 | PA      | $467379.29     | 0.01%             | 2035-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M5              | CUSIP: 126673YN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124682 | PA      | $124296.60     | 0.00%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1             | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282960 | PA      | $159816.49     | 0.00%             | 2047-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL   | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   15952850 | PA      | $15952849.66   | 0.22%             | 2026-11-03      | Floating      | 12.23%                | No            |                  3 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A           | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171012 | PA      | $162742.08     | 0.00%             | 2035-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2021190 | NS      | $5800815.30    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 1A1            | CUSIP: 93364FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     803995 | PA      | $648002.27     | 0.01%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9541932 | PA      | $-9586116.64   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                             | COMEXPOSIUM 2019 EUR TERM LOAN B                            | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   64346532 | PA      | $92166227.51   | 1.30%             | 2026-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B           | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1140155 | PA      | $952862.71     | 0.01%             | 2047-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                         | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     267683 | PA      | $242578.51     | 0.00%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                               | BEAR STEARNS ALT A TRUST BALTA 2005 2 1M2                   | CUSIP: 07386HQT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5377236 | PA      | $4595313.10    | 0.06%             | 2035-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1            | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6583002 | PA      | $6178740.67    | 0.09%             | 2035-11-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1257307 | PA      | $-1261435.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV E 144A           | CUSIP: 12660WAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13700000 | PA      | $1923681.39    | 0.03%             | 2038-07-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A3            | CUSIP: 12668BVC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141309 | PA      | $52860.19      | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B3 144A       | CUSIP: 617941AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $655662.49     | 0.01%             | 2070-01-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20251104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1384197.87   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5             | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1365515 | PA      | $1366418.10    | 0.02%             | 2035-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X C1A REGS                         | CUSIP: G3299TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   14072062 | PA      | $16629982.66   | 0.23%             | 2045-06-13      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 06/48 4.625           | CUSIP: ACI025FP0<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $564907.54     | 0.01%             | 2048-06-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5                | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |    2710539 | PA      | $2655112.81    | 0.04%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M5                        | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886699 | PA      | $715289.56     | 0.01%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G 1 PREFERRED              | CUSIP: 955EKAII3<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      64475 | NS      | $1267718.73    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                                | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                    | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2161773 | PA      | $1893731.88    | 0.03%             | 2047-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR REVOLVER                               | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    6309995 | PA      | $9038070.12    | 0.13%             | 2031-10-16      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3            | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1831045 | PA      | $1231586.76    | 0.02%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1           | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253179 | PA      | $233678.81     | 0.00%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 12/29 1.604           | CUSIP: ACI2J6N85<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $287466.26     | 0.00%             | 2029-12-23      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18350250 | PA      | $-18832861.58  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                             | SMRT SMRT 2022 MINI E 144A                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30200000 | PA      | $29965962.08   | 0.42%             | 2039-01-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   22170889 | NS      | $21616306.20   | 0.30%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2005-WF1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2005 WF1 M5             | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264370 | PA      | $263771.81     | 0.00%             | 2034-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2             | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3179795 | PA      | $1789254.83    | 0.03%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON B 144A        | CUSIP: 46649XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13293000 | PA      | $10698319.39   | 0.15%             | 2031-07-05      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10110872 | PA      | $-10112194.84  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3            | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     695209 | PA      | $468084.39     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P D 144A         | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12600000 | PA      | $12381974.64   | 0.17%             | 2034-09-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7341435 | PA      | $-7425677.96   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA F 144A                            | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4435000 | PA      | $3493236.18    | 0.05%             | 2039-07-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED REGS 09/34 6.25                        | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   53000000 | PA      | $64215875.04   | 0.90%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A             | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10939000 | PA      | $10902888.17   | 0.15%             | 2035-04-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR COMMON STOCK UNIT                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      29233 | NS      | $15931985.00   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A           | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8005000 | PA      | $7739989.67    | 0.11%             | 2038-11-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -42551454 | PA      | $-42614768.82  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                              | BWAY MORTGAGE TRUST BWAY 2021 1450 C 144A                   | CUSIP: 12430YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4418514.75    | 0.06%             | 2036-09-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $49528.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                     | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14864537 | PA      | $11270464.40   | 0.16%             | 2046-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8           | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2125628 | PA      | $1627259.25    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 2A R                | CUSIP: 30165XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26820 | PA      | $12289569.48   | 0.17%             | 2033-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| J&J VENTURES GAMING LLC                                                    | J + J VENTURES GAMING LLC 2024 TERM LOAN                    | CUSIP: 46604BAG3<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |    9276300 | PA      | $9369063.00    | 0.13%             | 2028-04-26      | Floating      | 9.28%                 | No            |                  3 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU B 144A          | CUSIP: 36256AAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8250000 | PA      | $8214560.48    | 0.12%             | 2032-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                            | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                   | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158511 | PA      | $154637.18     | 0.00%             | 2034-09-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498757 | PA      | $269354.11     | 0.00%             | 2036-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $296682.60     | 0.00%             | 2028-07-05      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                      | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5                | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     167803 | PA      | $170868.16     | 0.00%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A1              | CUSIP: 05946XHV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185918 | PA      | $155322.22     | 0.00%             | 2034-12-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM PARENT INC                                                      | NEW UNITY COMMON STOCKK                                     | CUSIP: 958WDX907<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    3783475 | NS      | $21267419.96   | 0.30%             |  |  |  | No            |                  3 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6558833 | PA      | $4700519.13    | 0.07%             | 2027-12-31      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 EXCHNG 1ST OUT TERM LOAN  | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    1004337 | PA      | $1004337.08    | 0.01%             | 2030-12-31      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B                | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |   48100000 | PA      | $55695349.12   | 0.78%             | 2032-04-26      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2            | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19086468 | PA      | $4754437.36    | 0.07%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                  | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14352188 | PA      | $2612155.56    | 0.04%             | 2044-12-04      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                           | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11              | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298524 | PA      | $285251.82     | 0.00%             | 2035-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A C 144A                | CUSIP: 19424RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2647000 | PA      | $2747044.42    | 0.04%             | 2054-06-25      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26249086 | PA      | $-26448090.41  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B6 144A               | CUSIP: 59980XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1302732 | PA      | $668845.24     | 0.01%             | 2058-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                            | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                    | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     692267 | PA      | $661173.07     | 0.01%             | 2035-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4241231 | PA      | $3079133.85    | 0.04%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-27CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7           | CUSIP: 02147YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     204660 | PA      | $107564.01     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $234636.37     | 0.00%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C            | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2546968 | PA      | $841478.34     | 0.01%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1              | CUSIP: 05946XRH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2263233 | PA      | $2195666.74    | 0.03%             | 2035-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A2 144A                               | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4870530 | PA      | $5454.99       | 0.00%             | 2041-07-05      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1501756.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-3                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 3 M3               | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135943 | PA      | $137889.74     | 0.00%             | 2032-08-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |   12350000 | PA      | $11664575.00   | 0.16%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A1                | CUSIP: 22942JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405670 | PA      | $59656.66      | 0.00%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A             | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12360000 | PA      | $12345709.37   | 0.17%             | 2035-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $464.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                             | FREMONT HOME LOAN TRUST FHLT 2005 E M1                      | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $3936630.70    | 0.06%             | 2036-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-1                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A          | CUSIP: 74928YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8117134 | PA      | $8092983.42    | 0.11%             | 2045-07-26      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-3042667.87   | -0.04%            |  |  |  | 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        |     900000 | PA      | $946699.20     | 0.01%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 XS 144A       | CUSIP: 61775UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  188141751 | PA      | $8763718.04    | 0.12%             | 2068-12-25      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR TERM LOAN            | CUSIP: BA000KZY0<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |    9801770 | PA      | $11565313.44   | 0.16%             | 2029-06-29      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A              | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12304661 | PA      | $11270770.39   | 0.16%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                              | BSST MORTGAGE TRUST BSST 2021 1818 E 144A                   | CUSIP: 07403PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $1295557.20    | 0.02%             | 2036-03-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A      | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41315094 | PA      | $6087779.15    | 0.09%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A        | CUSIP: 05955DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8139398 | PA      | $2404780.67    | 0.03%             | 2036-07-26      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1            | CUSIP: 16162WQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2443540 | PA      | $2201866.83    | 0.03%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $704368.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 3A1                        | CUSIP: 52521YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30402316 | PA      | $8560212.82    | 0.12%             | 2037-09-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  355485000 | PA      | $33222312.81   | 0.47%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CLOVER HOLDINGS SPV III L TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $513569.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2          | CUSIP: 02148KAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     727975 | PA      | $443074.90     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                            | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                     | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227016 | PA      | $51530.30      | 0.00%             | 2037-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 AIOS 144A       | CUSIP: 12656TAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  195666967 | PA      | $1921478.96    | 0.03%             | 2060-01-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-53                                                  | FANNIE MAE FNR 2013 53 MI                                   | CUSIP: 3136AEFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54780 | PA      | $998.32        | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | 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      | $911026.30     | 0.01%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -8757987 | PA      | $-11786281.23  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31129429 | PA      | $-31193503.63  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A YC 144A                                | CUSIP: ACI2JTLC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    9500000 | PA      | $19.16         | 0.00%             | 2049-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-5                                               | LEHMAN MORTGAGE TRUST LMT 2006 5 1A12                       | CUSIP: 52520TAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323345 | PA      | $144607.01     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN                | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   54538901 | PA      | $54538901.21   | 0.77%             | 2029-12-23      | Floating      | 7.65%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5860800 | PA      | $-5986061.57   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AX66 CREDIT SUISSE GROUP AG           | CUSIP: 952NPJ000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     200000 | PA      | $26000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/16/23-22Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $408759.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290502                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $133359.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                     | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5901565 | PA      | $799957.10     | 0.01%             | 2050-05-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260630                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $444.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HUF BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $2007.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 02/30 3.5             | CUSIP: ACI0KSYW4<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $283257.32     | 0.00%             | 2030-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                 | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5547000 | PA      | $3861834.16    | 0.05%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A X2 144A          | CUSIP: ACI2S8TS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     166651 | PA      | $221137.03     | 0.00%             | 2050-06-28      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X2 144A          | CUSIP: ACI2S8TR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     378000 | PA      | $536896.24     | 0.01%             | 2060-06-20      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                              | SABINE RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $316140.00     | 0.00%             | 2031-04-07      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1890.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1             | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101128 | PA      | $88719.60      | 0.00%             | 2047-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 07/32 5.875                       | CUSIP: ACI2W0QH0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   21200000 | PA      | $25503907.24   | 0.36%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5794.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3           | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7752286 | PA      | $2083001.94    | 0.03%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -697653 | PA      | $-704887.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                            | BEAR STEARNS ALT A TRUST BALTA 2007 2 2A1                   | CUSIP: 073870AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3357911 | PA      | $2318805.65    | 0.03%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2539423 | PA      | $-2549784.26   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B4 144A         | CUSIP: 12657GAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11268446 | PA      | $5726288.46    | 0.08%             | 2060-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29844982 | PA      | $-29908278.74  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1           | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281718 | PA      | $126222.45     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                               | UBS GROUP AG REG COMMON STOCK USD.1                         | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |      12342 | NS      | $504036.71     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $972.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD PEN BOUGHT USD 20260218                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3366.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1722111 | PA      | $-1730164.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $4792973.35    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $717.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2023 USD TERM LOAN B14                     | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |   59613465 | PA      | $57825061.10   | 0.81%             | 2028-08-15      | Floating      | 9.49%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -688485 | PA      | $-694421.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                           | FREDDIE MAC FHR 3181 PS                                     | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     768923 | PA      | $78991.41      | 0.00%             | 2036-07-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/42 2.375           | CUSIP: ACI1LVZ52<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $91330.27      | 0.00%             | 2042-04-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -465150 | PA      | $-468615.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 10/25 0.00000                                 | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1465000 | PA      | $1463679.39    | 0.02%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15          | CUSIP: 32052FAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     720085 | PA      | $79530.72      | 0.00%             | 2036-11-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3             | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7467 | PA      | $7444.05       | 0.00%             | 2037-08-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B5 144A               | CUSIP: 89178BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12263200 | PA      | $6001699.42    | 0.08%             | 2059-10-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A         | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13423500 | PA      | $13328751.57   | 0.19%             | 2034-04-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A E 144A                 | CUSIP: ACI27FLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1967000 | PA      | $2623927.74    | 0.04%             | 2053-02-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1            | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122346 | PA      | $99920.58      | 0.00%             | 2037-06-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/20/23-19Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $243621.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 XA 144A               | CUSIP: 89178WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     618286 | PA      | $565902.90     | 0.01%             | 2060-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $33734.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B2 144A                           | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3567280 | PA      | $1169607.65    | 0.02%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A       | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247964 | PA      | $250200.13     | 0.00%             | 2034-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD 2016-11A                                                       | OCP CLO LTD OCP 2016 11A PREF 144A                          | CUSIP: 67092H209<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       4645 | PA      | $1880507.02    | 0.03%             | 2036-04-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                       | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 F 144A            | CUSIP: 78437XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $917806.32     | 0.01%             | 2033-06-15      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M5            | CUSIP: 04541GQY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63161 | PA      | $70163.80      | 0.00%             | 2035-04-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T D 144A                    | CUSIP: 23307CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1896186.20    | 0.03%             | 2036-12-10      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1731081.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -907093 | PA      | $-908421.58    | -0.01%            |  |  |  | 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        |     300000 | PA      | $303315.00     | 0.00%             | 2033-03-08      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A             | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        176 | PA      | $77296.12      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN             | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  162515962 | PA      | $155583843.57  | 2.19%             | 2028-06-28      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8768813 | PA      | $-8777657.22   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 2A13 144A                      | CUSIP: 05533DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2128286 | PA      | $2076919.11    | 0.03%             | 2045-07-26      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B6 144A               | CUSIP: 59980YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2325083 | PA      | $1381060.74    | 0.02%             | 2066-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                   | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                       | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27351 | PA      | $26434.26      | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                               | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3              | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3319259 | PA      | $3089849.20    | 0.04%             | 2036-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A9             | CUSIP: 05950LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     436876 | PA      | $369055.73     | 0.01%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14559323 | PA      | $-14621952.83  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X E1C REGS                         | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3081600 | PA      | $3141583.79    | 0.04%             | 2045-06-13      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                   | LEHMAN XS TRUST LXS 2007 14H A12                            | CUSIP: 52525LAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3348698 | PA      | $3145160.45    | 0.04%             | 2047-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2             | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                 | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2350000 | PA      | $2544929.21    | 0.04%             | 2042-02-25      | Floating      | 12.86%                | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875            | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $136888.00     | 0.00%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BKV UPSTREAM MIDSTREAM LLC                                                 | BKV UPSTREAM MIDSTREAM L COMPANY GUAR 144A 10/30 7.5        | CUSIP: 05619CAA3<br>LEI: 254900LG75NBYHBBAU18 | Long             | DBT              | CORP              | US        |     900000 | PA      | $900036.75     | 0.01%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B3 144A         | CUSIP: 12656TAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7541100 | PA      | $4224327.40    | 0.06%             | 2060-01-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2                          | FREDDIE MAC   SCRT SCRT 2021 2 BXS 144A                     | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1170723 | PA      | $880619.52     | 0.01%             | 2060-11-25      | Variable      | 12.63%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A         | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     469687 | PA      | $471401.18     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1           | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2248184 | PA      | $896731.63     | 0.01%             | 2037-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL9 A1 144A       | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1679651 | PA      | $1682180.85    | 0.02%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18695770 | PA      | $-18825295.33  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A        | CUSIP: 12642MBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2930302 | PA      | $1502026.68    | 0.02%             | 2036-08-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 2A1           | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338930 | PA      | $277413.80     | 0.00%             | 2036-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25468967 | PA      | $-25536883.92  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 F 144A                   | CUSIP: 20048FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4473155.25    | 0.06%             | 2038-12-15      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1            | CUSIP: 12668ATW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2429727 | PA      | $184932.12     | 0.00%             | 2035-12-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                             | CUSIP: ACI2MY5W7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     860000 | PA      | $983351.02     | 0.01%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2489734 | PA      | $-2941771.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HARP FINCO LIMITED                                                         | HARP FINCO LIMITED GBP TERM LOAN                            | CUSIP: BA0008GH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   19324286 | PA      | $25550238.42   | 0.36%             | 2032-03-27      | Floating      | 9.47%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19207537 | PA      | $-19320861.57  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR9                                                    | BCAP LLC TRUST BCAP 2013 RR9 4A5 144A                       | CUSIP: 05542WAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4302270 | PA      | $2749793.15    | 0.04%             | 2037-10-26      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251030                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $20099.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4             | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4539723 | PA      | $2718087.49    | 0.04%             | 2036-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $36876.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A         | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6135265 | PA      | $5836785.00    | 0.08%             | 2038-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2            | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273580 | PA      | $179327.79     | 0.00%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A           | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2120000 | PA      | $2102996.75    | 0.03%             | 2038-05-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR SECURED 12/26 10                  | CUSIP: ACI2J0DM8<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     474883 | PA      | $502889.56     | 0.01%             | 2026-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6           | CUSIP: 12668BSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1158118 | PA      | $305012.55     | 0.00%             | 2036-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M2 144A                | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $14889784.50   | 0.21%             | 2037-10-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1              | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     941456 | PA      | $910114.12     | 0.01%             | 2035-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5              | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549920 | PA      | $318274.54     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A           | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15475000 | PA      | $14361445.31   | 0.20%             | 2038-11-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OC1                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1            | CUSIP: 93936FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6346657 | PA      | $5744539.30    | 0.08%             | 2047-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $150.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 XS 144A            | CUSIP: 59982HBG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57879980 | PA      | $283027.31     | 0.00%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.PENAAA.07-1 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-21759.49     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10556821 | PA      | $-10572529.11  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP G 144A          | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8500000 | PA      | $8307852.40    | 0.12%             | 2032-07-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1553171 | PA      | $-1554372.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA TERM B12                                   | CUSIP: F6628DAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    2294133 | PA      | $2504888.00    | 0.04%             | 2026-02-02      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A          | CUSIP: 12646DAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29480522 | PA      | $10750570.45   | 0.15%             | 2047-02-27      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10773445 | PA      | $-10789138.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                       | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   15554164 | PA      | $19638724.11   | 0.28%             | 2045-09-13      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME B 144A        | CUSIP: 63873VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1775000 | PA      | $1599328.25    | 0.02%             | 2036-08-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-AC2                      | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC2 A2            | CUSIP: 073854AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8791538 | PA      | $8023815.40    | 0.11%             | 2037-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -102 | NC      | $390817.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5            | CUSIP: 14454AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524970 | PA      | $403460.97     | 0.01%             | 2035-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2001-HE8               | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE8 M1             | CUSIP: 22540AB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610320 | PA      | $596579.85     | 0.01%             | 2031-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   17060470 | PA      | $8310581.45    | 0.12%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A                 | CUSIP: ACI2C6Q06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   23983000 | PA      | $32168274.84   | 0.45%             | 2062-10-16      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-21039.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 7A6 144A                       | CUSIP: 05532WDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1825788 | PA      | $1549087.11    | 0.02%             | 2035-11-26      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                    | PRP ADVISORS, LLC PRPM 2025 7 A1 144A                       | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3188661 | PA      | $3195682.17    | 0.04%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                    | FREDDIE MAC FHR 3922 GS                                     | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     602120 | PA      | $587362.16     | 0.01%             | 2041-09-15      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 XS 144A       | CUSIP: 617941AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   56445341 | PA      | $2138042.28    | 0.03%             | 2070-01-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1              | CUSIP: 058928AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     696187 | PA      | $641224.97     | 0.01%             | 2036-03-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5230880 | PA      | $-5242082.80   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                | MCDERMOTT INTERNATIONAL LTD COMMON STOCK USD1.0             | CUSIP: G5924V148<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |       4683 | NS      | $93199.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                        | CUSIP: 00401BAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57200000 | PA      | $58131800.58   | 0.82%             | 2033-05-20      | Floating      | 12.64%                | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 1C 144A         | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24305117 | PA      | $8380591.63    | 0.12%             | 2036-11-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                             | BSST MORTGAGE TRUST BSST 2022 1700 B 144A                   | CUSIP: 055742AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $2147407.68    | 0.03%             | 2037-02-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2022 HC A 144A                     | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9131000 | PA      | $8753929.88    | 0.12%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X1 144A          | CUSIP: ACI2S8TW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     378000 | PA      | $526026.74     | 0.01%             | 2060-06-20      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-329.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2009-4                                          | ASG RESECURITIZATION TRUST ASG 2009 4 M40 144A              | CUSIP: 00212MBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24533416 | PA      | $11208289.98   | 0.16%             | 2037-06-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 B6 144A            | CUSIP: 59982HBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3865285 | PA      | $2137616.24    | 0.03%             | 2060-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1789558 | PA      | $-1809816.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3948000 | PA      | $-3978379.86   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176583 | PA      | $141237.10     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                    | PROFRAC HOLDINGS II LLC SR SECURED 144A 01/29 VAR           | CUSIP: 74319TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21132000 | PA      | $21898035.00   | 0.31%             | 2029-01-23      | Floating      | 11.23%                | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-10F                                           | GSR MORTGAGE LOAN TRUST GSR 2004 10F 8A3                    | CUSIP: 36242DFC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     211974 | PA      | $216965.31     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -7655696 | PA      | $-10305404.71  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A F 144A                                 | CUSIP: ACI2JTLG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8564000 | PA      | $11473064.85   | 0.16%             | 2049-12-28      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                       | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M2               | CUSIP: 9497EBAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9624932 | PA      | $9796317.38    | 0.14%             | 2037-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2            | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48672930 | PA      | $47135089.07   | 0.66%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 X                     | CUSIP: 89178BBJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  315270983 | PA      | $31.53         | 0.00%             | 2059-10-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $13454.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19407702 | PA      | $-19927823.50  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.5          | CUSIP: ACI2L7WC1<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      46549 | PA      | $7098.72       | 0.00%             | 2027-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                              | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A          | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     688589 | PA      | $368431.07     | 0.01%             | 2038-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1            | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50615 | PA      | $51146.63      | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                         | THAMES WATER UTIL FIN SR SECURED REGS 04/29 4               | CUSIP: ACI2C9P27<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $414930.57     | 0.01%             | 2029-04-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A      | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     830143 | PA      | $834097.10     | 0.01%             | 2034-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M4               | CUSIP: 65536HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1980409 | PA      | $1558499.46    | 0.02%             | 2035-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                       | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38706369 | PA      | $38795215.46   | 0.55%             | 2038-07-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-780.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M3                        | CUSIP: 004421NE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186805 | PA      | $185658.63     | 0.00%             | 2035-05-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -3592799 | PA      | $-4227672.57   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ASTON BIDCO (HOLDING) LIMITED                                              | ASTON XLN TOPCO LIMITED 2025 GBP TERM LOAN                  | CUSIP: BA000N1C9<br>LEI: 254900476AM2MRUEVQ86 | Long             | LON              | CORP              | JE        |   12657500 | PA      | $16597488.40   | 0.23%             | 2032-07-30      | Floating      | 10.34%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.85000 12/21/22-16Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $86985.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A2 144A        | CUSIP: 74143JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4236272 | PA      | $4240914.91    | 0.06%             | 2051-09-25      | Variable      | 8.97%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B3 144A               | CUSIP: 59980YAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3614777 | PA      | $2495643.77    | 0.04%             | 2066-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4             | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10263759 | PA      | $2849702.91    | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4             | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3333695 | PA      | $3166637.22    | 0.04%             | 2035-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11846228 | PA      | $-11915419.35  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                    | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $992925.20     | 0.01%             | 2036-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                           | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1                 | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2631768 | PA      | $2494086.11    | 0.04%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 12/25 0.00000                                 | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      95000 | PA      | $94342.54      | 0.00%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-201201.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2              | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169317 | PA      | $147837.58     | 0.00%             | 2033-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                     | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3552137 | PA      | $968619.14     | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                  | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR            | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   35500000 | PA      | $23998887.50   | 0.34%             | 2067-01-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PRODS INC 2005-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7             | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187177 | PA      | $120379.87     | 0.00%             | 2032-05-25      | Fixed         | 8.00%                 | 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        |    1200000 | PA      | $1255380.00    | 0.02%             | 2033-04-10      | Floating      | 13.68%                | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                       | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A          | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     866670 | PA      | $832068.28     | 0.01%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M4              | CUSIP: 03072SK38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1557374 | PA      | $1540497.82    | 0.02%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                       | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     250000 | PA      | $281925.00     | 0.00%             | 2031-04-30      | Floating      | 22.48%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B4 144A               | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3614777 | PA      | $2283807.72    | 0.03%             | 2066-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2733720.83    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -132479667 | PA      | $-133223098.73 | -1.88%            |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8             | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21020000 | PA      | $18550278.22   | 0.26%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 10/25 3.125            | CUSIP: ACI1S6K23<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    1200000 | PA      | $128989.44     | 0.00%             | 2025-10-22      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B4 144A         | CUSIP: 12656TAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7540827 | PA      | $3109772.20    | 0.04%             | 2060-01-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 2A1           | CUSIP: 07389NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106746 | PA      | $83277.33      | 0.00%             | 2036-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP COMPANY GUAR REGS 04/27 4.375           | CUSIP: ACI1TXLK2<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $37500.00      | 0.00%             | 2027-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12362723 | PA      | $-12460821.74  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10750 | PA      | $7713.42       | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625       | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7900000 | PA      | $7552220.67    | 0.11%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A             | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $1711680.77    | 0.02%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84                 | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    6700000 | PA      | $6819179.60    | 0.10%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A            | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58782 | PA      | $54780.23      | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-2 SP ULO                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3279362.03   | -0.05%            |  |  |  | No            |                  3 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1              | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77422 | PA      | $66385.28      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR2                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR2 2A1           | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7870 | PA      | $3785.67       | 0.00%             | 2037-07-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FF6                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4              | CUSIP: 32027NSM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13670781 | PA      | $12449494.82   | 0.18%             | 2036-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2           | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3520900 | PA      | $2731174.48    | 0.04%             | 2037-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                                   | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A          | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189141 | PA      | $183024.11     | 0.00%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3142344 | PA      | $-3147130.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 BXS 144A                     | CUSIP: 35563PD71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11047990 | PA      | $4270284.40    | 0.06%             | 2061-11-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-FXD1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 FXD1 3A6          | CUSIP: 68402VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1224 | PA      | $1152.35       | 0.00%             | 2037-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A F 144A          | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2225521 | PA      | $2273328.44    | 0.03%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                      | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3              | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387819 | PA      | $328964.62     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4          | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7270140 | PA      | $3457400.63    | 0.05%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 XS 144A            | CUSIP: 92541AAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  414592582 | PA      | $15064304.37   | 0.21%             | 2065-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G PREFERRED                | CUSIP: 955EHZ901<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |      93325 | NS      | $1834972.48    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   36590000 | PA      | $13270375.58   | 0.19%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                      | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M5              | CUSIP: 71085PCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $615958.65     | 0.01%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A         | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1874974 | PA      | $910530.79     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PRKC MORTGAGE TRUST                                              | MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A         | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $388500.00     | 0.01%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR4                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1           | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15380 | PA      | $13229.97      | 0.00%             | 2035-07-19      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF D 144A             | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266000 | PA      | $265044.08     | 0.00%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 E 144A                    | CUSIP: 23308LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26404000 | PA      | $22214276.65   | 0.31%             | 2036-10-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3              | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542565 | PA      | $475435.32     | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-551997.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |    4260000 | PA      | $4498347.00    | 0.06%             | 2031-05-13      | Floating      | 14.46%                | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     755691 | PA      | $1135064.70    | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO C 144A                  | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2477212.50    | 0.03%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 3A4             | CUSIP: 61749CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1254056 | PA      | $475489.23     | 0.01%             | 2036-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A R 144A            | CUSIP: 78450FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5200 | PA      | $4441209.29    | 0.06%             | 2054-11-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A      | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41689988 | PA      | $6315616.25    | 0.09%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2200000 | PA      | $2294050.00    | 0.03%             | 2032-06-07      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU E 144A          | CUSIP: 36256AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10358000 | PA      | $10301189.48   | 0.15%             | 2032-11-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                        | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1            | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2487031 | PA      | $1503222.41    | 0.02%             | 2037-06-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CIBC                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2819571 | PA      | $-2889435.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM3 X 144A        | CUSIP: 36274TAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  370702426 | PA      | $16520687.25   | 0.23%             | 2065-11-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A        | CUSIP: 64828XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8300000 | PA      | $4918963.46    | 0.07%             | 2059-11-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 11/25 0.00000                                 | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6305000 | PA      | $6264423.66    | 0.09%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 07/29 5.125                | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   54564000 | PA      | $46873204.20   | 0.66%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16400 | PA      | $540.40        | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $864.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A6           | CUSIP: 12668BPS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169546 | PA      | $78202.48      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                              | PRIME HEALTHCARE SERVICE SR SECURED 144A 09/29 9.375        | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22200000 | PA      | $23110866.00   | 0.33%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A2 144A                          | CUSIP: 83743YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10259094 | PA      | $1025.91       | 0.00%             | 2041-01-06      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-167.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-259.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4472.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8607573 | PA      | $-8650982.15   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF5           | CUSIP: 46629QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6208935 | PA      | $3731695.72    | 0.05%             | 2036-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                    | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D            | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257410 | PA      | $132688.28     | 0.00%             | 2037-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP               | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3087328 | PA      | $1065270.60    | 0.02%             | 2036-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1                | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309716 | PA      | $128504.26     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251022                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $43483.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                              | ARGENT SECURITIES INC. ARSI 2005 W5 M1                      | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1089073 | PA      | $1171098.05    | 0.02%             | 2036-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI XCP 144A                          | CUSIP: 92943AAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  515000000 | PA      | $1944537.00    | 0.03%             | 2037-07-05      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B12                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B12 TCE 144A            | CUSIP: 08162FBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7300000 | PA      | $6626754.58    | 0.09%             | 2052-08-15      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED REGS 02/27 5.875                | CUSIP: ACI13Z7Z8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $318651.70     | 0.00%             | 2027-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20251015                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $934.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1219292 | PA      | $-1228453.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1                | CUSIP: 12637HAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2351916 | PA      | $737112.42     | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2                          | FREDDIE MAC   SCRT SCRT 2024 2 BXS 144A                     | CUSIP: 35563PYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3984385 | PA      | $1965951.93    | 0.03%             | 2064-05-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6              | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492981 | PA      | $364105.85     | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A1             | CUSIP: 25151EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30371 | PA      | $26514.24      | 0.00%             | 2036-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC TERM LOAN                               | CUSIP: BA000FPP1<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    9938724 | PA      | $10041022.23   | 0.14%             | 2032-01-30      | Fixed         | 9.13%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-1 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-336957.60    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1                   | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3617550 | PA      | $2460630.60    | 0.03%             | 2046-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A        | CUSIP: 12642YGT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14223044 | PA      | $2541592.49    | 0.04%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1              | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133169 | PA      | $115995.91     | 0.00%             | 2047-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP F 144A       | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1146000 | PA      | $126578.34     | 0.00%             | 2038-12-05      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1            | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7445 | PA      | $3149.72       | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251031                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $42919.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 B3 144A       | CUSIP: 61775UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4006000 | PA      | $3880017.70    | 0.05%             | 2068-12-25      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                        | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |          1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                      | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S             | CUSIP: 86800RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3884528 | PA      | $593574.21     | 0.01%             | 2036-04-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT ZAR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $103.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A1 144A                               | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  109166463 | PA      | $17773173.54   | 0.25%             | 2041-07-05      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A          | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12334000 | PA      | $12266698.30   | 0.17%             | 2032-11-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   24026130 | PA      | $24026129.99   | 0.34%             | 2025-12-21      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A        | CUSIP: 74143FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3023118 | PA      | $3025946.26    | 0.04%             | 2051-07-25      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON A 144A        | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3360000 | PA      | $3081828.96    | 0.04%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A       | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441149 | PA      | $1449351.94    | 0.02%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625              | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   13209100 | PA      | $11557962.50   | 0.16%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1             | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29208 | PA      | $28379.72      | 0.00%             | 2036-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1           | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337982 | PA      | $155384.71     | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2              | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292444 | PA      | $266451.48     | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-20935.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 XS 144A               | CUSIP: 59980XAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   45184578 | PA      | $200190.27     | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                   | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A          | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91416 | PA      | $83885.13      | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-28680.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14863425 | PA      | $-14998145.45  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A          | CUSIP: 75524MAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3309133 | PA      | $1645753.19    | 0.02%             | 2036-03-26      | 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        |    1500000 | PA      | $1500600.00    | 0.02%             | 2032-04-08      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                           | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                   | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     999054 | PA      | $309397.09     | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A3            | CUSIP: 761118PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     934140 | PA      | $812508.67     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED 144A 01/28 5.5          | CUSIP: 16412EAA5<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |    9041000 | PA      | $8837347.86    | 0.12%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A             | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6450000 | PA      | $3390945.41    | 0.05%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/27 VAR                       | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    1250000 | PA      | $1343312.50    | 0.02%             | 2027-06-07      | Floating      | 12.42%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD BRL BOUGHT USD 20251002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-548.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C           | CUSIP: 17311BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11777892 | PA      | $4441607.96    | 0.06%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-4                                               | LEHMAN MORTGAGE TRUST LMT 2006 4 1A1                        | CUSIP: 52520RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409842 | PA      | $309614.55     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                        | BCP TRUST BCP 2021 330N E 144A                              | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11849964 | PA      | $2598341.61    | 0.04%             | 2038-06-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A               | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9000 | PA      | $404963.89     | 0.01%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-8.29         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1            | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1293072 | PA      | $912151.99     | 0.01%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2            | CUSIP: 86360KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2610444 | PA      | $1130046.25    | 0.02%             | 2036-02-25      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $16252.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5239811 | PA      | $-5302557.39   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2018-2A                                             | ROCKFORD TOWER CLO LTD ROCKT 2018 2A SUB 144A               | CUSIP: 77342LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4966667 | PA      | $641693.38     | 0.01%             | 2031-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP E 144A       | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5740000 | PA      | $806067.05     | 0.01%             | 2038-12-05      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-9R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A          | CUSIP: 12648UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7858835 | PA      | $6761980.53    | 0.10%             | 2037-11-27      | Floating      | 32.99%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $1463.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 AIOS 144A          | CUSIP: 92541AAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  414592582 | PA      | $2677791.30    | 0.04%             | 2065-05-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A2             | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10333844 | PA      | $2978515.50    | 0.04%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4           | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4637243 | PA      | $4361565.62    | 0.06%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1              | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     246132 | PA      | $31533.11      | 0.00%             | 2037-06-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED 144A 03/29 12.25                  | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |   31078000 | PA      | $33473554.40   | 0.47%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-53340.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4            | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435510 | PA      | $187795.54     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-26R                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1            | CUSIP: 02152JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5021154 | PA      | $833807.86     | 0.01%             | 2037-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 12/15/21-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13035646.80   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 X 144A                | CUSIP: 59980YAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   65816840 | PA      | $16773.42      | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M4              | CUSIP: 03072SE50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81504 | PA      | $81369.69      | 0.00%             | 2035-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-102463.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA            | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2232712 | PA      | $2066837.93    | 0.03%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1            | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     667124 | PA      | $643251.43     | 0.01%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A           | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25527 | PA      | $24275.35      | 0.00%             | 2035-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2             | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     474581 | PA      | $410903.74     | 0.01%             | 2034-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION BV                                               | YINSON BORONIA PRODUCTIO SR SECURED 144A 07/42 8.947        | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |    4709232 | PA      | $5249157.79    | 0.07%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1457110 | PA      | $278850.57     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA D 144A               | CUSIP: 647622AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13642000 | PA      | $13372817.42   | 0.19%             | 2032-04-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 11A2 144A                     | CUSIP: 05532LBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5358434 | PA      | $4598651.27    | 0.06%             | 2037-04-26      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1            | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1401740 | PA      | $1126666.16    | 0.02%             | 2037-05-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M4               | CUSIP: 00764MFU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2225000 | PA      | $352121.16     | 0.00%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -736251 | PA      | $-738561.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EUTELSAT SA SNR SE SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $5066.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                                   | FANNIE MAE FNR 2013 5 GS                                    | CUSIP: 3136ABG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     967797 | PA      | $821786.19     | 0.01%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                           | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                    | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234501 | PA      | $221614.12     | 0.00%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3056122 | PA      | $-3063638.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                     | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3548567 | PA      | $239563.08     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR              | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    3878798 | PA      | $2143035.90    | 0.03%             | 2035-02-01      | Variable      | 1.75%                 | 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        |    2600000 | PA      | $338000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2            | CUSIP: 02150DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3238240 | PA      | $2442822.02    | 0.03%             | 2047-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20251217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $175.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10740697 | PA      | $-10791910.16  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1              | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2411826 | PA      | $2388296.93    | 0.03%             | 2036-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-70                                                  | FANNIE MAE FNR 2020 70 MI                                   | CUSIP: 3136BB3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13015786 | PA      | $1107498.89    | 0.02%             | 2060-10-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                            | PRP ADVISORS, LLC PRPM 2025 3 A1 144A                       | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     931673 | PA      | $934481.44     | 0.01%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 E 144A          | CUSIP: 55284DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $475865.83     | 0.01%             | 2034-12-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2                      | CUSIP: 81744MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70042 | PA      | $12695.53      | 0.00%             | 2036-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D            | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2313105 | PA      | $749913.06     | 0.01%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2            | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675174 | PA      | $60357.57      | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A              | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15909215 | PA      | $16059121.14   | 0.23%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                             | COUNTRYWIDE HOME LOANS CWHL 2007 11 A1                      | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2970764 | PA      | $1263176.32    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                   | FANNIE MAE FNR 2013 6 JS                                    | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1208189 | PA      | $142668.36     | 0.00%             | 2043-02-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                                     | ADAGIO CLO ADAGI VI A SUB 144A                              | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1343393 | PA      | $365282.30     | 0.01%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8            | CUSIP: 02149MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7881268 | PA      | $2918061.66    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL ASTON MARTIN CAPITAL HOL           | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |   46124000 | PA      | $45201326.28   | 0.64%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                           | FREDDIE MAC FHR 3311 EI                                     | CUSIP: 31397H6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35703 | PA      | $2888.46       | 0.00%             | 2037-05-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1596001 | PA      | $1519777.16    | 0.02%             | 2037-02-26      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1178100 | PA      | $-1383483.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                                        | FANNIE MAE FNR 2007 109 PI                                  | CUSIP: 31396X2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27463 | PA      | $1858.91       | 0.00%             | 2037-12-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B2 144A       | CUSIP: 617941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1182562.68    | 0.02%             | 2070-01-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                    | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                       | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     676764 | PA      | $557724.05     | 0.01%             | 2037-03-26      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13          | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731027 | PA      | $285675.32     | 0.00%             | 2036-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19694627 | PA      | $-19905102.84  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1                  | CUSIP: 07386HL66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181564 | PA      | $168338.93     | 0.00%             | 2036-05-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20251016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $54080.95      | 0.00%             |  |  |  | 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        |     800000 | PA      | $104000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                   | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1362005 | PA      | $1263429.19    | 0.02%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                               | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/29 7            | CUSIP: ACI2L7QV6<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      70162 | PA      | $10875.11      | 0.00%             | 2029-09-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4257683 | PA      | $-4296785.12   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E            | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1994264 | PA      | $716146.55     | 0.01%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Dynamic Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer