# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003058
**Filing Date:** 2026-3
**Character Count:** 245683
**Document Hash:** cb4d9e156cf9dcb2b14714b969c9356e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003058.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003058

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0001047304

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705870

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9497204721

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

## Series and Classes Contracts Data

### PIMCO Dynamic Bond Portfolio (Series ID: S000031689)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000098623 | Administrative | PUNCBDA         |
| C000098624 | Institutional  | PVUCBPA         |
| C000098625 | Advisor        | PUNCBAD         |
| C000139587 | M              | PUNCBAM         |

## 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 Variable Insurance Trust

- **b. Investment Company Act file number:** 811-08399

- **c. CIK number of Registrant:** 0001047304

- **d. LEI of Registrant:** 549300KNGHUU7TTJOR56

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Dynamic Bond Portfolio

- **b. EDGAR series identifier (if any):** S000031689

- **c. LEI of Series:** 2Y1XML2ORN6K1XCACT73

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $191143328.08

**Total Liabilities:** $98476607.75

**Net Assets:** $92666720.33

**Delayed Delivery Securities:** $1111341.97

**Cash Not Reported:** $2309105.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6897.200200 | **1-Year:** 6134.676800 | **5-Year:** 23596.055600 | **10-Year:** 5184.863700 | **30-Year:** 20.154100

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

- **3-Month:** 374.009200 | **1-Year:** 2004.475800 | **5-Year:** 4816.855900 | **10-Year:** 1232.167600 | **30-Year:** 22.200100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098623 | 0.79%                | 0.47%                | 0.63%                |
| Class ID C000098625 | 0.79%                | 0.47%                | 0.62%                |
| Class ID C000139587 | 0.77%                | 0.45%                | 0.60%                |
| Class ID C000098624 | 0.81%                | 0.49%                | 0.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $161277.30               | $202039.74                                 |
| Month 2  | $-18332.57               | $355624.82                                 |
| Month 3  | $168126.38               | $-247337.49                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                           | BOUGHT KRW SOLD USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1046.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260224                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $857.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 01/27 2.375                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      16146 | PA      | $16276.02     | 0.02%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DESIGNATED ACTIVITY COMPANY                  | FLUTTER TREASURY DAC SR SECURED 144A 06/31 6.125         | CUSIP: ACI2XD3H6<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     100000 | PA      | $136022.79    | 0.15%             | 2031-06-04      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                      | COOPERAT RABOBANK UA/NY 10/26 5.5                        | CUSIP: 21688AAY8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $303879.80    | 0.33%             | 2026-10-05      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | WELLS FARGO + COMPANY SR UNSECURED REGS 02/27 1          | CUSIP: U94974HN2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     100000 | PA      | $115810.81    | 0.12%             | 2027-02-02      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A        | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13634 | PA      | $13287.03     | 0.01%             | 2045-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | TITULOS DE TESORERIA SR UNSECURED 04/29 2.25             | CUSIP: ACI1N5XG5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  198565850 | PA      | $46482.12     | 0.05%             | 2029-04-18      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZX8 PIMCO FXVAN CALL USD BRL 5.64000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -347000 | NC      | $-3260.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85         | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $200378.34    | 0.22%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                          | GNMA II TBA 30 YR 4 JUMBOS                               | CUSIP: 21H040616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -200000 | PA      | $-188960.94   | -0.20%            | 2055-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-17445.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                     | MARBLE POINT CLO MP22 2021 2A AR 144A                    | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500533.37    | 0.54%             | 2034-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBEWA3 PIMCO SWAPTION 3.882 PUT USD 2026012           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-591.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7        | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2900000 | PA      | $984564.28    | 1.06%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFRF USD SOFR/2.06000 10/27/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40018.03     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $93.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR JPY MUTK/1.00000 03/18/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $21874.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6LHA0 PIMCO FPPSWAPTION 3.8 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $80480.80     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-25                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 25 1A2         | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     371358 | PA      | $160076.55    | 0.17%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-176             | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 176 FW           | CUSIP: 38382LKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99666 | PA      | $93849.43     | 0.10%             | 2050-11-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2491.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                             | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1        | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349609 | PA      | $134093.12    | 0.14%             | 2037-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                   | NATIONWIDE BLDG SOCIETY 144A 03/29 VAR                   | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $501003.18    | 0.54%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ABX.HE.AAA.06-2 SP MYC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-29883.00    | -0.03%            |  |  |  | No            |                  3 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875               | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7400000 | PA      | $466343.00    | 0.50%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-228.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                           | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C             | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9596 | PA      | $8147.22      | 0.01%             | 2036-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1848.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-247.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | LLOYDS BANKING GROUP PLC SUB SE ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $76.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260302                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-8427.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                          | CANTOR FITZGERALD LP SR UNSECURED 144A 12/28 7.2         | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212689.34    | 0.23%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3761.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3            | CUSIP: 12668UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     867991 | PA      | $829910.25    | 0.90%             | 2047-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                   | UNITED MEXICAN STATES SR UNSECURED 02/35 6.35            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $210100.00    | 0.23%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3609124.49   | 3.89%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD INR BOUGHT USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-80.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1055.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/32 5.454        | CUSIP: 86562MDT4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $209408.57    | 0.23%             | 2032-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                   | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   11500000 | PA      | $710208.33    | 0.77%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260219                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-283.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 11A1           | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273154 | PA      | $266355.08    | 0.29%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $94.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3541.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                   | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   21800000 | PA      | $1287911.35   | 1.39%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1119.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS CZK 4.48500 12/02/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $20.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS AUD 4.50000 06/18/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-78514.23    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $1935035.15   | 2.09%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1340235 | PA      | $13055231.87  | 14.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4217.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BUND FUTURE  MAR26 XEUR 20260306                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -7 | NC      | $14517.57     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1138.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33446.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.75000 12/18/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16377.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR15                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR15 2A1        | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161819 | PA      | $113196.49    | 0.12%             | 2037-08-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 04/28 VAR           | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101159.19    | 0.11%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO260626                               | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  211571000 | PA      | $132958.35    | 0.14%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-431.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4         | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     467962 | PA      | $109114.91    | 0.12%             | 2036-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 10.7684 04/19/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-94428.28    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1822.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4      | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A     | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     109401 | PA      | $110120.89    | 0.12%             | 2036-11-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.25000 06/18/25-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $228161.73    | 0.25%             |  |  |  | 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        |     658242 | PA      | $308811.33    | 0.33%             | 2036-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                          | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581         | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     950000 | PA      | $1004538.21   | 1.08%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C             | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126789 | PA      | $60990.70     | 0.07%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | BNP PARIBAS 144A 09/28 VAR                               | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $192592.78    | 0.21%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST          | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     229472 | PA      | $222065.62    | 0.24%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  DEC25 XCME 20260317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $-7981.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $91.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                               | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95            | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98977.40     | 0.11%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                          | KEURIG DR PEPPER                                         | CUSIP: 49271KA95<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249764.73    | 0.27%             | 2026-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB9IA0 PIMCO SWAPTION 3.831 PUT USD 2026010           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-55.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-16901.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $412.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1         | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34105 | PA      | $34067.31     | 0.04%             | 2034-06-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FHLB)                                 | FED HOME LN DISCOUNT NT DISCOUNT NOT 01/26 0.00000       | CUSIP: 313385RW8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    1300000 | PA      | $1297977.77   | 1.40%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A            | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180622 | PA      | $169712.51    | 0.18%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                          | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $4390631.52   | 4.74%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2718.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $326.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-203.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260129                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4220.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260219                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-292.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/30 4.9          | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50605.75     | 0.05%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $531.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 1A1           | CUSIP: 05952DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228097 | PA      | $220803.19    | 0.24%             | 2047-02-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 01/26 0.00000                              | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     474000 | PA      | $474000.00    | 0.51%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1900.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1267.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                              | T MOBILE USA INC COMPANY GUAR 04/30 3.875                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     300000 | PA      | $295070.08    | 0.32%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-16777.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-G                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 G 1A1           | CUSIP: 05950MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146461 | PA      | $146461.75    | 0.16%             | 2036-07-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260203                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1286.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $516.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR EUR ESTRON/2.41500 07/09/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-35687.23    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                  | ING GROEP NV SR UNSECURED 03/35 VAR                      | CUSIP: 456837BM4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $208103.06    | 0.22%             | 2035-03-19      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $8.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US ULTRA BOND CBT MAR26 XCBT 20260320                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -18 | NC      | $42864.34     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260514                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-37199.33    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                          | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H060622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3768363.27   | 4.07%             | 2056-02-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                   | NATIONWIDE BUILDING SOC CCDS COMMON STOCK                | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |        250 | NS      | $43976.89     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A3          | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12569 | PA      | $11552.34     | 0.01%             | 2034-11-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260309                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $587.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260129                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $36128.33     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-0.34        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260624                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-774.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UAI5A5 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $52.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $420.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95    | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $198225.44    | 0.21%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | US 5YR NOTE (CBT) MAR26 XCBT 20260331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        234 | NC      | $-24961.49    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260127                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-696.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260326                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $289.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | TITULOS DE TESORERIA BONDS 11/40 12.75                   | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  668400000 | PA      | $173537.85    | 0.19%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | TITULOS DE TESORERIA BONDS 02/33 13.25                   | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  554000000 | PA      | $148637.40    | 0.16%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-103.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                     | VMED O2 UK FINANCING I SR SECURED 144A 04/32 7.75        | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $208670.00    | 0.23%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA INC DISC COML PAPER 02/26 ZCP                        | CUSIP: 40412DBC2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $248780.38    | 0.27%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                       | BCAP LLC TRUST BCAP 2011 RR5 15A1 144A                   | CUSIP: 05534AAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     304788 | PA      | $104646.60    | 0.11%             | 2036-06-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $946.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-18551.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                               | KKR FINANCIAL CLO LTD KKR 36A AR 144A                    | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500168.25    | 0.54%             | 2034-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-391.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $10776126.69  | 11.63%            | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                          | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR               | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197635.55    | 0.21%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260219                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-135.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US LONG BOND(CBT) MAR26 XCBT 20260320                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -5 | NC      | $4914.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $56.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CLP BOUGHT USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-2079.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | FWD0324T6 COLOMBIA GOVT NDF                              | CUSIP: 990ABUXA4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 2216300000 | PA      | $481917.20    | 0.52%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $911.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 0.65000 05/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4598.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A            | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271394 | PA      | $249134.80    | 0.27%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT AUD SOLD USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $1988.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/9.65000 12/17/25-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-112.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $63.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                         | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 05/29 3.75    | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97483.70     | 0.11%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS AUD 4.50000 09/18/24-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-54113.74    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | US TREASURY N/B 11/34 4.25                               | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3100000 | PA      | $3133240.25   | 3.38%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1838.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ZAR SOLD USD 20260821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1176.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $664.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS BV                                         | BP CAPITAL MARKETS B.V. 09/31 3.36                       | CUSIP: ACI2R4D66<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $236945.34    | 0.26%             | 2031-09-12      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260319                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $936.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2243.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $849.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | LONG GILT FUTURE  MAR26 IFLL 20260327                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          6 | NC      | $5115.66      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INTRALOT CAPITAL LUXEMBOURG SA                                | INTRALOT CAPITAL LUX SR SECURED 144A 10/31 6.75          | CUSIP: ACI30N7J0<br>LEI: 549300QF747C7UWZYB38 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $117233.54    | 0.13%             | 2031-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260227                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-5406.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $707.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6600.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZQ3 PIMCO FXVAN PUT USD KRW 1419.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     300000 | NC      | $1735.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $189.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-43.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $653.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $95.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-62.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZY6 PIMCO FXVAN PUT USD BRL 5.35000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     347000 | NC      | $1245.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $211.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-28820.53    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A          | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     208645 | PA      | $114950.84    | 0.12%             | 2039-09-07      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $330.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1167.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260223                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2651.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CLP BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-1206.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 1A4B          | CUSIP: 25151YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232291 | PA      | $184690.97    | 0.20%             | 2037-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST             | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8      | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     182418 | PA      | $183606.43    | 0.20%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                   | STATE OF ISRAEL SR UNSECURED 03/29 5.375                 | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $412234.95    | 0.44%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $451.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1165.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BUND OPTION  FEB26P 127.5 EXP 01/23/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $-705.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 1A5          | CUSIP: 93934FBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162321 | PA      | $142306.87    | 0.15%             | 2035-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR             | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198747.57    | 0.21%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2876.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.75000 03/18/26-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $12682.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.90500 03/12/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-936.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.80000 07/14/34-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5211.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $926.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $13561.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260323                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1043.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260227                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $930.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZW0 PIMCO FXVAN PUT USD KRW 1385.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -100000 | NC      | $-174.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A         | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1123475 | PA      | $620350.20    | 0.67%             | 2039-09-07      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 01/28 VAR          | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $202727.95    | 0.22%             | 2028-01-05      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $32.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $39.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                        | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                   | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     500000 | PA      | $499986.90    | 0.54%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260311                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $842.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.90750 03/04/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-954.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS CZK 4.52250 12/01/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $256.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD INR BOUGHT USD 20260112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-91.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $41.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $93.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR ULTRA FUT MAR26 XCBT 20260320                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -163 | NC      | $88161.51     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RIK5 PIMCO FXVAN PUT USD ZAR 18.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     521000 | NC      | $42023.86     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT COP SOLD USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-52.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD INR BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-26.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                       | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05    | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     200000 | PA      | $203153.11    | 0.22%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2209863.30   | 2.38%             | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZZ3 PIMCO FXVAN PUT USD BRL 5.12000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -347000 | NC      | $-68.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CHF SOLD USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1231.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/30 4.625          | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $100416.53    | 0.11%             | 2030-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8792.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $299.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $560.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                  | BONOS TESORERIA PESOS BONDS 144A REGS 04/33 6            | CUSIP: ACI2FK1C3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   15000000 | PA      | $17570.60     | 0.02%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                     | ROMARK CLO LTD RMRK 2021 4A A1R 144A                     | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500216.47    | 0.54%             | 2034-07-10      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FHLB)                                 | FED HOME LN DISCOUNT NT DISCOUNT NOT 01/26 0.00000       | CUSIP: 313385SJ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    1100000 | PA      | $1097005.56   | 1.18%             | 2026-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ILS SOLD USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $148.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                         | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     555143 | PA      | $580357.66    | 0.63%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                          | LIFEPOINT HEALTH INC 2024 1ST LIEN TERM LOAN B           | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     420811 | PA      | $422662.66    | 0.46%             | 2031-05-19      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | BNP PARIBAS 144A 01/31 VAR                               | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $189448.49    | 0.20%             | 2031-01-13      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-50.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 07/34 1.875                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1867806 | PA      | $1875963.12   | 2.02%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1931.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-810.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-4713.41     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260218                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-11549.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 15A1        | CUSIP: 07384M4G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2022 | PA      | $2012.75      | 0.00%             | 2035-01-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/9.72500 12/17/25-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-51.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | US TREASURY N/B 02/26 0.5                                | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $994833.42    | 1.07%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD GBP BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-5453.18     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                      | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A      | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98220 | PA      | $91187.11     | 0.10%             | 2042-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $454.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBBLA1 PIMCO SWAPTION 3.5775 CALL USD 20260           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-21.92       | -0.00%            |  |  |  | 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        |     100000 | PA      | $116961.38    | 0.13%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                 | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A            | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500464.96    | 0.54%             | 2035-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                           | WELLS FARGO BANK NA SR UNSECURED 12/26 5.254             | CUSIP: 94988J6F9<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202444.21    | 0.22%             | 2026-12-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 01/26 0.00000                              | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $199786.19    | 0.22%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.93000 03/24/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-576.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT JPY SOLD USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                 | BGC GROUP INC SR UNSECURED 04/30 6.15                    | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51845.75     | 0.06%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 AF5            | CUSIP: 126670TG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198258 | PA      | $190052.58    | 0.21%             | 2036-07-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $850.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1478.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | BROADCOM INC SR UNSECURED 04/30 5.05                     | CUSIP: 11135FCF6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206413.56    | 0.22%             | 2030-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                              | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 4A1                | CUSIP: 126694VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126165 | PA      | $116315.05    | 0.13%             | 2036-02-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB7ZA5 PIMCO SWAPTION 3.5475 CALL USD 20260           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1871125.22   | 2.02%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11800000 | NC      | $6139.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9421.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-2498.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                | EPH FIN INTERNATIONAL AS COMPANY GUAR REGS 11/28 6.651   | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |     100000 | PA      | $126948.78    | 0.14%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                           | ASHTEAD CAPITAL INC COMPANY GUAR 144A 10/33 5.95         | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     200000 | PA      | $211712.48    | 0.23%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE COMMERCIAL MORTGAGE 2006-1A      | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 1A A 144A       | CUSIP: 149837AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     305643 | PA      | $247979.74    | 0.27%             | 2038-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1268.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                  | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                 | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $255267.95    | 0.28%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $138.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBC4A8 PIMCO SWAPTION 3.639 CALL USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-62.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260316                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $159.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6LIA9 PIMCO FPPSWAPTION 3.8 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IE        |    1000000 | NC      | $28123.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-279.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                           | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR     | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $127616.91    | 0.14%             | 2028-01-18      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO120626                               | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   43993000 | PA      | $27856.52     | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                      | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                  | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      56092 | PA      | $500.12       | 0.00%             | 2039-10-02      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-410.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $502.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | TITULOS DE TESORERIA BONDS 01/35 11.75                   | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 2664900000 | PA      | $657071.86    | 0.71%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $74.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 07/32 0.625                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1793040 | PA      | $1682740.91   | 1.82%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ZAR SOLD USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $775.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C             | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312687 | PA      | $164321.17    | 0.18%             | 2036-10-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CZK BOUGHT USD 20260311                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-61.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1          | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16636 | PA      | $15262.72     | 0.02%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1473.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-24359.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                    | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500146.11    | 0.54%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ZAR SOLD USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1191.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260304                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $11365.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                              | PROJECT CASHMERE CLASS A1 144A                           | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    1400000 | PA      | $934290.05    | 1.01%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                           | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-9.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260330                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-94.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD DOP BOUGHT USD 20260305                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-132.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15            | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4600000 | PA      | $1476883.16   | 1.59%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 13A1         | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238503 | PA      | $211478.78    | 0.23%             | 2034-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO110626                               | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   44033000 | PA      | $27896.94     | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1775.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.87400 09/19/23-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $116500.07    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A            | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264234 | PA      | $255229.60    | 0.28%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $217.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5521.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1038.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6QBA5 PIMCO FPPSWAPTION 3.808 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $14147.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                         | GEORGIA POWER CO SR UNSECURED 05/32 4.7                  | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101548.74    | 0.11%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                   | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8200000 | PA      | $497100.24    | 0.54%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                  | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8          | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   45000000 | PA      | $51999.97     | 0.06%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8649.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                     | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A            | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $499210.98    | 0.54%             | 2034-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ILS SOLD USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $302.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBBKA2 PIMCO SWAPTION 3.8775 PUT USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-198.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $149.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5064                                       | FREDDIE MAC FHR 5064 PI                                  | CUSIP: 3137F8LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     890524 | PA      | $92717.66     | 0.10%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.97500 03/21/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1542.68     | -0.00%            |  |  |  | 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      | $-11943.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $46.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-98.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA5                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA5 2A1         | CUSIP: 749236AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     512404 | PA      | $337656.84    | 0.36%             | 2037-09-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                           | UNITED AIRLINES INC SR SECURED 144A 04/29 4.625          | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298910.28    | 0.32%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ZAR SOLD USD 20260821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $3919.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20260213                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-707.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                       | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A          | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     500000 | PA      | $500050.50    | 0.54%             | 2035-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-328.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260219                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1001.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-579.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-499.91      | -0.00%            |  |  |  | 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        |    1000000 | PA      | $96467.10     | 0.10%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 1.00000 05/18/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1505.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6157.37     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $81.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBC3A9 PIMCO SWAPTION 3.919 PUT USD 2026011           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-98.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO260629                               | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  211571000 | PA      | $132743.64    | 0.14%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-36933.44    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1545.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERNATIONAL DISTRIBUTION SERVICES PLC                       | INT DISTRIBUTION SERV COMPANY GUAR REGS 09/30 7.375      | CUSIP: ACI2JQ0Q6<br>LEI: 213800TCZZU84G8Z2M70 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $145102.48    | 0.16%             | 2030-09-14      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                 | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                 | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    6700000 | PA      | $140660.67    | 0.15%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260218                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2822.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $275.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                            | ALLY FINANCIAL INC SR UNSECURED 01/30 VAR                | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106142.33    | 0.11%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD MXN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-148.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-985.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20260203                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1648.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $611.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260226                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5239.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1291.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6QAA6 PIMCO FPPSWAPTION 3.808 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $40093.90     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-17.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10100000 | NC      | $5255.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4076545.90   | 4.40%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.99850 07/03/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22214.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 01/26 0.00000                              | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $399294.14    | 0.43%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-25894.39    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2468.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-31921.39    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-14.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                       | BPCE SA 144A 10/34 VAR                                   | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $278497.72    | 0.30%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2341.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $131.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                    | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                    | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   49000000 | PA      | $227729.25    | 0.25%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 0.70000 04/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2158.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS PLN 4.68500 12/02/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $6.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT JPY SOLD USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-676.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUC (MODENA BUYER LLC)                                        | MODENA BUYER LLC TERM LOAN                               | CUSIP: 60753DAC8<br>LEI: 254900B0G2IU0VBDOY26 | Long             | LON              | CORP              | US        |      99000 | PA      | $98682.71     | 0.11%             | 2031-07-01      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 01/33 1.125                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1858253 | PA      | $1783645.44   | 1.92%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-44              | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 44 TF            | CUSIP: 38382PML3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98130 | PA      | $89561.64     | 0.10%             | 2051-03-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.55100 09/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1994.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $16.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.89900 03/11/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-883.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR           | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99467.83     | 0.11%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                    | ARES CLO LTD ARES 2017 44A A1RR 144A                     | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500158.45    | 0.54%             | 2034-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1112.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $158.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1SB 144A           | CUSIP: 078446AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     287369 | PA      | $74471.58     | 0.08%             | 2044-11-03      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                             | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $203527.47    | 0.22%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/4.10000 02/10/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14213.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5159.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $47.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $56.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | MORGAN STANLEY SR UNSECURED 02/29 VAR                    | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204186.67    | 0.22%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $78.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2383.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $493587.26    | 0.53%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6VWA1 PIMCO FPPSWAPTION 3.255 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $85104.10     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $150.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2461.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-19.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $223.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2417.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2441.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260209                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-18454.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  FEB26P 112 EXP 01/23/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $-316.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-6.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3489.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $41.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1357.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2C            | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571854 | PA      | $208340.47    | 0.22%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                          | FRONTIER COMMUNICATIONS SR SECURED 144A 05/30 8.75       | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $104528.54    | 0.11%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-13773.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20260622                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $283.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                      | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  100000000 | PA      | $555554.14    | 0.60%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260305                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UBEXA2 PIMCO SWAPTION 3.622 CALL USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-273.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $5.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                          | CHARTER COMM OPETING LLC 2024 TERM LOAN B5               | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     182036 | PA      | $182377.46    | 0.20%             | 2031-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA                                        | JP MORGAN CHASE BANK NA SR UNSECURED 12/26 5.11          | CUSIP: 48125LRU8<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |     250000 | PA      | $252741.13    | 0.27%             | 2026-12-08      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2            | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198823.32    | 0.21%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-26498.06    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1768.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1        | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117965 | PA      | $96896.56     | 0.10%             | 2047-02-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                  | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7      | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   20000000 | PA      | $22176.64     | 0.02%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A       | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      61434 | PA      | $61387.76     | 0.07%             | 2036-10-16      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260305                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                            | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR            | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200462.25    | 0.22%             | 2027-08-13      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4704                                       | FREDDIE MAC FHR 4704 SK                                  | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     322798 | PA      | $37434.78     | 0.04%             | 2047-07-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1059.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25                | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3500000 | PA      | $216830.92    | 0.23%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BOBL FUTURE  MAR26 XEUR 20260306                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -5 | NC      | $5247.50      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | 317UB9UA6 PIMCO SWAPTION 3.86 PUT USD 20260105           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-37.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/9.82000 11/14/25-9Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-6467.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4             | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1400000 | PA      | $415659.75    | 0.45%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                              | VIRGIN MEDIA SECURED FIN SR SECURED REGS 05/29 5.25      | CUSIP: ACI1BWMH9<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $130780.09    | 0.14%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6272.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.89000 03/03/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-400.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-535.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $543.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.75000 12/17/25-20Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17350.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-115.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/28 4.9      | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $203179.04    | 0.22%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST             | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875         | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      34006 | PA      | $34892.55     | 0.04%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $0.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $584.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-6377.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $189.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1ST 144A           | CUSIP: 078446AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     187680 | PA      | $48917.39     | 0.05%             | 2044-11-03      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| MI WINDOWS AND DOORS LLC                                      | MI WINDOWS AND DOORS LLC 2024 TERM LOAN B2               | CUSIP: 55336CAK8<br>LEI: 2549001JQBGDT0WEQ156 | Long             | LON              | CORP              | US        |      98505 | PA      | $98720.73     | 0.11%             | 2031-03-28      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260224                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2061.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2200000 | PA      | $-1778897.49  | -1.92%            | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-576.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260209                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-16986.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -4 | NC      | $23149.13     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | SOLD SEK BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-545.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-33831.54    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-67.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12917.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-601.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                           | DOMINION ENERGY INC SR UNSECURED 06/30 5                 | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51398.01     | 0.06%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZV2 PIMCO FXVAN PUT USD KRW 1423.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     100000 | NC      | $660.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-777.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3398.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1278.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.84200 09/19/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $78522.68     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                          | BLUE OWL FINANCE LLC COMPANY GUAR 04/34 6.25             | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103166.23    | 0.11%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | MORGAN STANLEY SR UNSECURED 01/31 VAR                    | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206342.24    | 0.22%             | 2031-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                 | X CORP 2025 FIXED TERM LOAN                              | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     100000 | PA      | $99839.00     | 0.11%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2529.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | TITULOS DE TESORERIA BONDS 08/29 11                      | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1616300000 | PA      | $404517.84    | 0.44%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/28 4.95    | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     100000 | PA      | $101262.65    | 0.11%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6        | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $32081.16     | 0.03%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                   | REPUBLIC OF TURKIYE SR UNSECURED 05/34 7.625             | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $217772.72    | 0.24%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP1                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP1 1A3 144A        | CUSIP: 36242DXK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185321 | PA      | $191638.30    | 0.21%             | 2035-01-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-718.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT GBP SOLD USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1446.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260302                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $865.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260227                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $132.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528   | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      18000 | PA      | $17465.36     | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT COP SOLD USD 20260102                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-57.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1         | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10078 | PA      | $9624.58      | 0.01%             | 2034-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFRF USD SF+26.161/2.25 06/20/18-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $155388.62    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 12                                                | KKR FINANCIAL CLO LTD KKR 12 AR2A 144A                   | CUSIP: 48250RBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      18832 | PA      | $18855.09     | 0.02%             | 2030-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-12774.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                         | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR             | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     100000 | PA      | $118093.39    | 0.13%             | 2027-02-23      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2998.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                 | BOEING CO/THE SR UNSECURED 05/29 6.298                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106179.41    | 0.11%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4109.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ABX.HE.AAA.06-2 SP BRC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-25164.63    | -0.03%            |  |  |  | No            |                  3 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                             | VENTURE GLOBAL CALCASIEU SR SECURED 144A 11/33 3.875     | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85806.18     | 0.09%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  MAR26 XCME 20260616                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $-5575.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2634120.37   | 2.84%             | 2056-02-15      | Fixed         | 5.50%                 | 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        |   11900000 | PA      | $205509.94    | 0.22%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-137.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | AT&T INC SNR S* ICE                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $383.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4              | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81574 | PA      | $79751.24     | 0.09%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1201.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260303                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $95.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6VXA0 PIMCO FPPSWAPTION 3.255 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $21587.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $369.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260410                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1559.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                  | ROMANIA UNSECURED 144A 07/30 1.75                        | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $106295.66    | 0.11%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $411.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR NOTE (CBT)MAR26 XCBT 20260320                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         28 | NC      | $-10099.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.50000 03/18/26-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2909.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A            | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102730 | PA      | $88556.15     | 0.10%             | 2037-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $40.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                      | LEHMAN XS TRUST LXS 2006 GP4 3A5                         | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169375 | PA      | $177645.58    | 0.19%             | 2046-08-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1137.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $732.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-315.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GROUP / JSG FINANCE INC                           | JANE STREET GRP/JSG FIN SR SECURED 144A 05/33 6.75       | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $104445.64    | 0.11%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1749.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $371.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-17.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-85.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $95.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                             | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 1A1A              | CUSIP: 23332QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258131 | PA      | $238422.31    | 0.26%             | 2036-10-19      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8          | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202574.47    | 0.22%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $17894.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $55.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260127                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4582.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                             | CI FINANCIAL CORP COMPANY GUAR 144A 12/31 4.625          | CUSIP: ACI379J02<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $118444.88    | 0.13%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260220                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1041.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $362.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $740.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-216.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $26123.23     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                               | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR          | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $200216.31    | 0.22%             | 2029-09-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $10417.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $254.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                          | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102550.41    | 0.11%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2718.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3174.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB7YA6 PIMCO SWAPTION 3.8475 PUT USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-35.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                   | LETRA TESOURO NACIONAL BILLS 04/26 0.00000               | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   18300000 | PA      | $3230507.09   | 3.49%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB9VA5 PIMCO SWAPTION 3.58 CALL USD 2026010           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-0.04        | 0.00%             |  |  |  | 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        |    1440000 | PA      | $476312.64    | 0.51%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RZR1 PIMCO FXVAN PUT USD KRW 1383.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -300000 | NC      | $-486.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                   | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A       | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126123 | PA      | $123653.75    | 0.13%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 01/26 0.00000                              | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     263000 | PA      | $262356.31    | 0.28%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                          | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR               | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206174.70    | 0.22%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB8RA2 PIMCO SWAPTION 3.498 CALL USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-0.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC                                          | INEOS US FINANCE LLC 2023 USD TERM LOAN B                | CUSIP: G4768PAN1<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |      99747 | PA      | $81200.92     | 0.09%             | 2030-02-18      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95            | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3281000 | PA      | $1085265.11   | 1.17%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A15      | CUSIP: 02149JCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273621 | PA      | $106014.23    | 0.11%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1806.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260209                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1338.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260410                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $829.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                          | EDISON INTERNATIONAL                                     | CUSIP: 28103BA77<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249791.50    | 0.27%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 13.3537 05/12/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-10578.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                            | BACARDI MARTINI B V                                      | CUSIP: 05634FB57<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298749.00    | 0.32%             | 2026-02-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260526                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3346.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                         | AIR LEASE CORP DISC COML 01/26 ZCP                       | CUSIP: 00913XA78<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249804.10    | 0.27%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1665.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $961.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20260121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260326                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $47.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                  | BONOS TESORERIA PESOS BONDS 03/35 5                      | CUSIP: BZ8VHWII9<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   10000000 | PA      | $11027.71     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-14135.78    | -0.02%            |  |  |  | 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        |      10132 | PA      | $15739.74     | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | 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      | $743.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260224                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $786.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 13.2683 12/17/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $2255.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260316                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-6964.24     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260305                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260224                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $874.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB9JA9 PIMCO SWAPTION 3.551 CALL USD 202601           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.87400 03/05/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-666.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20260303                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3807.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -6 | NC      | $-937.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/33 6.15           | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106189.03    | 0.11%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                   | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     100000 | PA      | $96846.74     | 0.10%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | US 2YR NOTE (CBT) MAR26 XCBT 20260331                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        146 | NC      | $2869.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9             | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1400000 | PA      | $435994.76    | 0.47%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS PLN 4.72250 12/01/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $-131.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | CDX HY41 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-80217.92    | -0.09%            |  |  |  | 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      | $278607.26    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/8.75000 06/25/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $33772.06     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2469.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260318                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4313.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BUND OPTION  FEB26C 130.5 EXP 01/23/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $-47.01       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | OIS COP IBR/9.65500 11/07/25-9Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-1631.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2428.21     | -0.00%            |  |  |  | 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        |    1664280 | PA      | $407041.21    | 0.44%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | CDX IG45 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $231787.82    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.58876 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-27986.21    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1             | CUSIP: 88522WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11045 | PA      | $10404.21     | 0.01%             | 2037-06-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-77.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-4                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 4 1A2          | CUSIP: 12667F6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401824 | PA      | $275523.06    | 0.30%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                            | CONAGRA FOODS INC. 01/26 ZCP                             | CUSIP: 20600HAD6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249639.00    | 0.27%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1             | SECURITIZED ASSET BACKED RECEI SABR 2004 OP1 M1          | CUSIP: 81375WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50478 | PA      | $50401.08     | 0.05%             | 2034-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-4662.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI PROPERTIES LP SR UNSECURED 02/30 4.95               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202453.58    | 0.22%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-859.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -7 | NC      | $-541.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13100000 | PA      | $13052410.06  | 14.09%            | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | FWD035949 COLOMBIA GOVT NDF                              | CUSIP: 957ILMII5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 2484700000 | PA      | $611828.00    | 0.66%             | 2035-01-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR           | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $397990.51    | 0.43%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                | GSAA HOME EQUITY TRUST GSAA 2006 10 AF3                  | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846051 | PA      | $185840.14    | 0.20%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                         | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5                | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     322477 | PA      | $323083.44    | 0.35%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 04/29 VAR            | CUSIP: 606822CY8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $205501.84    | 0.22%             | 2029-04-19      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $623.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260116                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $512.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-189.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-11.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1008.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                            | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4             | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1702671 | PA      | $457984.97    | 0.49%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11 | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1       | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91372 | PA      | $43470.23     | 0.05%             | 2036-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7          | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102115.00    | 0.11%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260409                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $316.56       | 0.00%             |  |  |  | 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        |     281907 | PA      | $219912.54    | 0.24%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                 | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    9100000 | PA      | $546291.24    | 0.59%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12636.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200000.00    | 0.22%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3086.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $236.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | BARCLAYS PLC SR UNSECURED 01/26 4.375                    | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $300022.05    | 0.32%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | TITULOS DE TESORERIA BONDS 01/31 6.5                     | CUSIP: ACI302XY4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 3177053600 | PA      | $837672.64    | 0.90%             | 2031-01-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20260227                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $952.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD GBP BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $280.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260112                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-419.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $239.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 01/34 1.75                               | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     423700 | PA      | $421459.31    | 0.45%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750RIL3 PIMCO FXVAN PUT USD ZAR 17.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1042000 | NC      | $-39390.73    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A1             | CUSIP: 61749KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197883 | PA      | $179528.05    | 0.19%             | 2036-07-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     200000 | PA      | $182396.10    | 0.20%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/8.50000 06/25/25-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $35879.56     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                    | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   60000000 | PA      | $307645.56    | 0.33%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | CAN 10YR BOND FUT MAR26 XMOD 20260320                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          8 | NC      | $-6422.79     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260326                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $17.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                            | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875              | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103900.87    | 0.11%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2113.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11248.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1242.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317UB8QA3 PIMCO SWAPTION 3.798 PUT USD 2026010           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-298.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20260123                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2643.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/9.78750 12/17/25-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-96.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 0.65000 04/12/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4559.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                          | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104629.90    | 0.11%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1623.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CAD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-25608.36    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-719.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A      | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $587673.91    | 0.63%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20260202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-27.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1         | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58528 | PA      | $46065.66     | 0.05%             | 2036-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD INR BOUGHT USD 20260130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $589.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | GOLDMAN SACHS GROUP INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $190.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   13500000 | PA      | $13500000.00  | 14.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ZAR SOLD USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4067.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-465.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-498.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20260114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-698.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | BARCLAYS PLC SR UNSECURED 11/33 VAR                      | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $228772.03    | 0.25%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                    | ABBVIE INC SR UNSECURED 03/31 4.95                       | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206868.40    | 0.22%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 01/26 0.00000                              | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $199884.39    | 0.22%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-SCHATZ FUT   MAR26 XEUR 20260306                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -6 | NC      | $1033.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | SOLD ILS BOUGHT USD 20260219                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $86.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20260122                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $545.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD COP BOUGHT USD 20260102                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $475.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  JUN26 XCME 20260915                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $-1450.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20260108                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-628.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** PIMCO Variable Insurance Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer