# EDGAR Filing Document

**Accession Number:** 0001475712
**File Stem:** 0001752724-25-150453
**Filing Date:** 2025-6
**Character Count:** 625067
**Document Hash:** 55ac9a9924ef4424e3f74503f1e4fdd3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-150453.hdr.sgml**: 20250623

**ACCESSION NUMBER**: 0001752724-25-150453

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250623

**DATE AS OF CHANGE**: 20250623

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Global Opportunities Portfolio
- **CENTRAL INDEX KEY:** 0001475712

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22350
- **FILM NUMBER:** 251063231

**BUSINESS ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6174828260

**MAIL ADDRESS:**
- **STREET 1:** ONE POST OFFICE SQUARE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

## Series and Classes Contracts Data

### Global Opportunities Portfolio (Series ID: S000027417)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000082717 | Global Opportunities Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Global Opportunities Portfolio

- **b. Investment Company Act file number:** 811-22350

- **c. CIK number of Registrant:** 0001475712

- **d. LEI of Registrant:** 732CSYB5YI2A4VM2EI15

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

  - **Street Address 1:** One Post Office Square

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-482-8260

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

- **a. Name of Series:** Global Opportunities Portfolio

- **b. EDGAR series identifier (if any):** S000027417

- **c. LEI of Series:** 732CSYB5YI2A4VM2EI15

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8172024529.94

**Total Liabilities:** $1647034547.64

**Net Assets:** $6524989982.30

**Amount of Assets Invested in Other Investment Companies:** $23543020.31

**Delayed Delivery Securities:** $945462614.86

**Cash Not Reported:** $61392422.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1936.62000000 | **1-Year:** -23754.55000000 | **5-Year:** -78800.95000000 | **10-Year:** -35094.55000000 | **30-Year:** -2027.96000000

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

- **3-Month:** -5273.32000000 | **1-Year:** -121808.57000000 | **5-Year:** -230500.73000000 | **10-Year:** -212379.59000000 | **30-Year:** -188999.26000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000082717 | 1.82%                | 0.20%                | 0.79%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3227763.91              | $67827505.93                               |
| Month 2  | $-17620850.01            | $-2947598.03                               |
| Month 3  | $-5231943.95             | $9154967.26                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HARVEST COMMERCIAL CAPITAL LOAN TRUST                   | Harvest Commercial Capital Loan Trust 2019-1                                                                                               | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9500000 | PA      | $9130476.60   | 0.14%             | 2046-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BVV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1658965 | PA      | $1691446.07   | 0.03%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIDEIC IRR ADMIN 4323                                   | Fideicomiso Irrevocable de Administracion y Fuente de Pago Numero CIB/4323                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      5423700 | PA      | $5239294.20   | 0.08%             | 2030-09-12      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      5669700 | PA      | $671859.45    | 0.01%             | 2027-04-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| DIG HLDNG/DIG FIN/DIFL                                  | Digicel Intermediate Holdings Ltd / Digicel International Finance Ltd / Difl US                                                            | CUSIP: 000000000<br>LEI: 5493007V023VOEW4FK27 | Long             | DBT              | CORP              | XX        |      8425291 | PA      | $8451283.02   | 0.13%             | 2027-05-25      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                | Live Nation Entertainment Inc                                                                                                              | CUSIP: 538034BB4<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      1840000 | PA      | $1907160.00   | 0.03%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED CZK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CZ        |            1 | NC      | $68520.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24618287 | PA      | $1537456.36   | 0.02%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-NQM1 Trust                                                                                                                       | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $8985812.40   | 0.14%             | 2068-12-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                       | EURO-BUND FUTURE JUN25                                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -13 | NC      | $-1493.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HPS Loan Management Ltd                                 | Highbridge Loan Management 3-2014                                                                                                          | CUSIP: 40436YAA3<br>LEI: 5493006ZY0SLETMEU160 | Long             | ABS-CBDO         | CORP              | KY        |      2750000 | PA      | $2693537.00   | 0.04%             | 2029-07-18      | Floating      | 11.03%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384NC52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5989567 | PA      | $6193707.38   | 0.09%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2021-SFR9 Trust                                                                                                       | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000000 | PA      | $963784.60    | 0.01%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVPH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8653230 | PA      | $8870133.29   | 0.14%             | 2055-04-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382XJH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1770271 | PA      | $1020187.19   | 0.02%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FFB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4318539 | PA      | $1932665.16   | 0.03%             | 2051-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275383 | PA      | $5428.93      | 0.00%             | 2041-11-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-276870.68   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BAW98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        70816 | PA      | $72814.74     | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                        | VB-S1 Issuer LLC - VBTEL                                                                                                                   | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4750000 | PA      | $4986534.33   | 0.08%             | 2054-05-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-955998.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP FHR 23 5327 REPO                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -19248188 | PA      | $-19248187.50 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIESUPQ1 IRS SGD R F  1.95700 BMIESUPR9 CCPOIS / Short: SMIESUPQ1 IRS SGD P V 06MSORA BMIESUPS7 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     56970000 | OU      | $153964.25    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED USD / SOLD BRL                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-5106678.08  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618ATFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       897449 | PA      | $921527.12    | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TIMES CHINA HLDG LTD                                    | Times China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 2549000KTINB9ZPZP710 | Long             | DBT              | CORP              | KY        |      2221000 | PA      | $83287.50     | 0.00%             | 2024-06-04      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9325429 | PA      | $9656118.97   | 0.15%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EV INTRA FUND CASH RESERVE                              | EV INTRA FUND CASH RESERVE                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000000 | PA      | $70000000.00  | 1.07%             | 2040-12-31      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                   | Lantheus Holdings Inc                                                                                                                      | CUSIP: 516544AB9<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |       940000 | PA      | $1397373.29   | 0.02%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       817400 | PA      | $96861.90     | 0.00%             | 2037-04-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $341709.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8603404 | PA      | $414898.28    | 0.01%             | 2053-01-20      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                      | MetroNet Infrastructure Issuer LLC                                                                                                         | CUSIP: 59170JAJ7<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |      2000000 | PA      | $2118002.40   | 0.03%             | 2054-04-20      | Fixed         | 10.86%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKN42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25250625 | PA      | $26413373.36  | 0.40%             | 2055-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO 2015-3 Ltd                                                                                                                | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |      1543735 | PA      | $1542424.26   | 0.02%             | 2031-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ALPHATEC HOLDINGS INC                                   | Alphatec Holdings Inc                                                                                                                      | CUSIP: 02081GAC6<br>LEI: 549300EZE8CQ8K65FS24 | Long             | DBT              | CORP              | US        |       690000 | PA      | $683715.64    | 0.01%             | 2030-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 23 53 REPO                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -18741125 | PA      | $-18741125.00 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                                          | EDEN RE II LTD                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        31162 | NS      | $385258.55    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UVG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5175702 | PA      | $5384140.46   | 0.08%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382LAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25533096 | PA      | $3208836.14   | 0.05%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                                                                                       | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1829499.70   | 0.03%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618APKQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       175036 | PA      | $176821.77    | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |            1 | NC      | $-142728.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F3QA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       116266 | PA      | $118691.52    | 0.00%             | 2063-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                 | Mexican Bonos                                                                                                                              | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2972579500 | PA      | $137127663.91 | 2.10%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2025-NQM1 Trust                                                                                                                       | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10221000 | PA      | $10429432.76  | 0.16%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     12459000 | PA      | $11105452.99  | 0.17%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38380GWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3355226 | PA      | $161564.52    | 0.00%             | 2047-09-20      | Floating      | 0.07%                 | No            |                  2 | On Loan: No      |
| PPL CAPITAL FUNDING INC                                 | PPL Capital Funding Inc                                                                                                                    | CUSIP: 69352PAS2<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |      1825000 | PA      | $2083237.50   | 0.03%             | 2028-03-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382HYT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15267589 | PA      | $2018025.63   | 0.03%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MBH BANK NYRT                                           | MBH Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 3H0Q3U74FVFED2SHZT16 | Long             | DBT              | CORP              | HU        |      3063000 | PA      | $3490117.34   | 0.05%             | 2030-01-29      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| HTA GROUP LTD                                           | HTA Group Ltd/Mauritius                                                                                                                    | CUSIP: 000000000<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |       600000 | PA      | $559187.17    | 0.01%             | 2027-03-18      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTIO                                | Yinson Boronia Production BV                                                                                                               | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |      1756371 | PA      | $1804671.16   | 0.03%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J7EW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2078542 | PA      | $2120598.52   | 0.03%             | 2064-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384P5D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10213175 | PA      | $10355577.15  | 0.16%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes                                                                                                     | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1915025 | PA      | $1852815.05   | 0.03%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1469860 | PA      | $1500519.45   | 0.02%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                                                                                       | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3850000 | PA      | $3972423.07   | 0.06%             | 2041-11-13      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BAJJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       119924 | PA      | $121147.98    | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-5 LLC                                                                                                                            | CUSIP: 69381KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3613512 | PA      | $3643514.05   | 0.06%             | 2029-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                                      | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    403700000 | PA      | $409518972.17 | 6.28%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy 33 CLO Ltd                                                                                                                          | CUSIP: 36321FAA0<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |      2300000 | PA      | $2280443.10   | 0.03%             | 2037-04-20      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKZ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1525792 | PA      | $290021.09    | 0.00%             | 2044-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XXXVI Ltd                                                                                                             | CUSIP: 55819NAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1900916.00   | 0.03%             | 2035-04-15      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179XM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6571158 | PA      | $6632051.44   | 0.10%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BCY51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1172660 | PA      | $109566.18    | 0.00%             | 2044-06-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-1615.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLYB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1476616 | PA      | $142277.09    | 0.00%             | 2045-07-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| NEWCO HOLDING USD SARL                                  | NewCo Holding USD 20 Sarl                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      1162000 | PA      | $1148637.00   | 0.02%             | 2029-11-07      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HFWF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6725085 | PA      | $6670473.82   | 0.10%             | 2054-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-CSMO                                                                                                     | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12000000 | PA      | $12047683.20  | 0.18%             | 2027-06-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS MU                                | Greenko Wind Projects Mauritius Ltd                                                                                                        | CUSIP: 39531JAB0<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |       542000 | PA      | $524894.61    | 0.01%             | 2028-09-27      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SHOPIFY INC                                             | Shopify Inc                                                                                                                                | CUSIP: 82509LAA5<br>LEI: 549300HGQ43STJLLP808 | Long             | DBT              | CORP              | CA        |      1995000 | PA      | $1992007.50   | 0.03%             | 2025-11-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -23755278 | PA      | $-23755277.71 | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-1013003.09  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2024-2 Ltd                                                                                                                        | CUSIP: 92920HAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2991681.00   | 0.05%             | 2037-07-20      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                  | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                                               | CUSIP: 07336UAA1<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      1771000 | PA      | $1840404.87   | 0.03%             | 2038-06-29      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| ARIS MINING CORP                                        | Aris Gold Corp                                                                                                                             | CUSIP: 04041BAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1529001 | PA      | $1507304.51   | 0.02%             | 2027-08-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AEXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1525888 | PA      | $136055.53    | 0.00%             | 2043-04-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385EQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11731922 | PA      | $12060685.20  | 0.18%             | 2055-03-20      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                        | Hewlett Packard Enterprise Co                                                                                                              | CUSIP: 42824C208<br>LEI: 549300BX44RGX6ANDV88 | Long             | EP               | CORP              | US        |        26000 | NS      | $1305200.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140N8ZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2499216 | PA      | $2557776.09   | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                         | Golub Capital Partners CLO 50B-R Ltd                                                                                                       | CUSIP: 38179CAA6<br>LEI: 254900N3E7Y6I5DRGW52 | Long             | ABS-CBDO         | CORP              | JE        |      2000000 | PA      | $1962966.00   | 0.03%             | 2035-04-20      | Floating      | 11.37%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384KJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9294137 | PA      | $9592018.59   | 0.15%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12601414 | PA      | $845383.48    | 0.01%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVJ406 IRS TWD R V 03MCPTW BMICVJ422 CCPNDF / Short: BMICVJ406 IRS TWD P F  1.37000 BMICVJ414 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    623900000 | OU      | $107859.42    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Regatta XIII Funding LLC                                | Regatta XIII Funding Ltd                                                                                                                   | CUSIP: 75888GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2761419.00   | 0.04%             | 2031-07-15      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVR4C2 IRS TWD R V 03MCPTW BMICVR4E8 CCPNDF / Short: BMICVR4C2 IRS TWD P F  1.33250 BMICVR4D0 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1493400000 | OU      | $328054.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382QP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10729526 | PA      | $371182.58    | 0.01%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                         | Golub Capital Partners CLO 72 B Ltd                                                                                                        | CUSIP: 381941AG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      3500000 | PA      | $3510409.00   | 0.05%             | 2037-04-25      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382NYY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3510921 | PA      | $428478.13    | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJG92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11089264 | PA      | $12605519.46  | 0.19%             | 2055-02-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Star Trust                                              | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1196000 | PA      | $1181371.37   | 0.02%             | 2038-04-17      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| AZULE ENERGY FINANCE PLC                                | Azule Energy Finance Plc                                                                                                                   | CUSIP: 05501YAA6<br>LEI: 2138006X6O82RJSQDB63 | Long             | DBT              | CORP              | GB        |      8402000 | PA      | $8101208.40   | 0.12%             | 2030-01-23      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy 33 CLO Ltd                                                                                                                          | CUSIP: 36321EAL9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1977790.00   | 0.03%             | 2037-04-20      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383ABA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15250671 | PA      | $9054983.46   | 0.14%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2025-NQM1 Trust                                                                                                                        | CUSIP: 55287JAE6<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |      2736000 | PA      | $2720662.80   | 0.04%             | 2070-03-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| MERITAGE HOMES CORP                                     | Meritage Homes Corp                                                                                                                        | CUSIP: 59001ABE1<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1392105.00   | 0.02%             | 2028-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO XVI Ltd                                                                                                        | CUSIP: 08181VBJ3<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2458590.00   | 0.04%             | 2038-01-17      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18068065 | PA      | $18495225.81  | 0.28%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                    | Chile Government International Bonds                                                                                                       | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      2000000 | PA      | $1788800.00   | 0.03%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                       | Mountain View CLO 2017-2 LLC                                                                                                               | CUSIP: 62432LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       150738 | PA      | $150812.16    | 0.00%             | 2031-01-16      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FWK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1226312 | PA      | $1277567.60   | 0.02%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                   | Uber Technologies Inc                                                                                                                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      1120000 | PA      | $1256080.00   | 0.02%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Suzano SA                                               | Suzano SA                                                                                                                                  | CUSIP: 86959K105<br>LEI: 391200AW174YQSDMGG41 | Long             | EC               | CORP              | BR        |       209100 | NS      | $1852626.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VEDANTA RESOURCES                                       | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAL5<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      1019000 | PA      | $924902.08    | 0.01%             | 2033-04-24      | Fixed         | 9.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52770754 | PA      | $1058512.72   | 0.02%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31389AZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5593 | PA      | $5504.28      | 0.00%             | 2035-03-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-75635.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                         | Golub Capital Partners CLO 53B Ltd                                                                                                         | CUSIP: 38177YAS1<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1944730.00   | 0.03%             | 2034-07-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 49, Ltd.                    | Octagon Investment Partners 49 Ltd                                                                                                         | CUSIP: 67578FAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2006554.00   | 0.03%             | 2037-04-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-33583.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384BRB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5517164 | PA      | $5980092.70   | 0.09%             | 2053-06-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| LI AUTO INC                                             | Li Auto Inc                                                                                                                                | CUSIP: 50202MAB8<br>LEI: 2549003R73Q70J5H4I65 | Long             | DBT              | CORP              | KY        |      1270000 | PA      | $1455737.50   | 0.02%             | 2028-05-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618H9SQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11118895 | PA      | $11364391.47  | 0.17%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BPF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63163200 | PA      | $66234510.60  | 1.02%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |            1 | NC      | $472461.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Star Trust                                              | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1600000 | PA      | $1539349.76   | 0.02%             | 2038-04-17      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383DB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15825151 | PA      | $2195348.76   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                           | UK Logistics 2024-1 DAC                                                                                                                    | CUSIP: 000000000<br>LEI: 635400H22JMICKOJRJ36 | Long             | ABS-MBS          | CORP              | GB        |      2250000 | PA      | $3019668.66   | 0.05%             | 2034-05-17      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42250000 | PA      | $43440626.13  | 0.67%             | 2055-04-20      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15624212 | PA      | $15668250.03  | 0.24%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVDXH0 IRS TWD R V 03MCPTW BMICVDXK3 CCPNDF / Short: BMICVDXH0 IRS TWD P F  1.25500 BMICVDXJ6 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    469200000 | OU      | $148442.83    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                        | PURCHASED USD / SOLD ZAR                                                                                                                   | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |            1 | NC      | $845463.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384DFS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6247830 | PA      | $7000568.13   | 0.11%             | 2053-10-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2023-RTL4                                                                                                             | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13631000 | PA      | $13823492.89  | 0.21%             | 2028-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd                                | Kaisa Group Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |       850000 | PA      | $38250.00     | 0.00%             | 2024-06-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SMIEU6526 IRS COP R F  8.24000 BMIEU6534 CCPNDFOIS / Short: SMIEU6526 IRS COP P V 03MCPIBR BMIEU6542 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        | 147491030000 | OU      | $-107708.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                       | Barclays Bank PLC                                                                                                                          | CUSIP: 06744EDH7<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |      1651000 | PA      | $1659832.85   | 0.03%             | 2029-02-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11756130 | PA      | $11866615.53  | 0.18%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | Long: BMIELFGM0 IRS MYR R F  3.48250 BMIELFGN8 NDF / Short: BMIELFGM0 IRS MYR P V 03MKLIBO BMIELFGP3 NDF                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    114548000 | OU      | $242791.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DAVIVIENDA SA                                     | Banco Davivienda SA                                                                                                                        | CUSIP: 000000000<br>LEI: 549300P161V4IPKAQS70 | Long             | DBT              | CORP              | CO        |      2167000 | PA      | $1851833.80   | 0.03%             | 2031-04-22      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB15 LLC                                                                                                                         | CUSIP: 15723AAD3<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $937943.20    | 0.01%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Aimco                                                   | Aimco CLO 11 Ltd                                                                                                                           | CUSIP: 00140NBC3<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3977744.00   | 0.06%             | 2037-07-17      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383AFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39398395 | PA      | $5739715.71   | 0.09%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                         | CMS Energy Corp                                                                                                                            | CUSIP: 125896BX7<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1583725.00   | 0.02%             | 2028-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618G6SS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2605676 | PA      | $2680014.13   | 0.04%             | 2053-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                       | Wellfleet Clo 2019-1 Ltd                                                                                                                   | CUSIP: 94950NAU6<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2502545.00   | 0.04%             | 2032-07-20      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-111964.80   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       145331 | PA      | $146814.27    | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385EBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5413898 | PA      | $5484975.79   | 0.08%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                       | Wellfleet CLO 2021-2 Ltd                                                                                                                   | CUSIP: 94949XAA2<br>LEI: 2549005MTORTL04RYQ32 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $925773.00    | 0.01%             | 2034-07-15      | Floating      | 11.48%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBVQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1958705 | PA      | $2001951.36   | 0.03%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                      | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    188999000 | PA      | $53700454.06  | 0.82%             | 2039-08-12      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31395NBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       526445 | PA      | $46087.49     | 0.00%             | 2036-06-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                             | Texas Debt Capital CLO 2025-I Ltd                                                                                                          | CUSIP: 881947AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2968758.00   | 0.05%             | 2038-04-24      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD UNSECURED 144A                           | EDEN RE II LTD UNSECURED 144A                                                                                                              | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        98494 | NS      | $79583.15     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ABRA GLOBAL FINANCE                                     | ABRA Global Finance                                                                                                                        | CUSIP: 000852AC7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      6248816 | PA      | $4257005.90   | 0.07%             | 2029-10-22      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| YANLORD LAND HK CO LTD                                  | Yanlord Land HK Co Ltd                                                                                                                     | CUSIP: 000000000<br>LEI: 549300O56H3950RDWG19 | Long             | DBT              | CORP              | HK        |       200000 | PA      | $193800.95    | 0.00%             | 2026-05-20      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2022-PJ6                                                                                               | CUSIP: 36267JBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1868952 | PA      | $1054137.67   | 0.02%             | 2053-01-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137F9WE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35557872 | PA      | $4899899.58   | 0.08%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       798500 | PA      | $103805.00    | 0.00%             | 2020-12-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                      | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    192624000 | PA      | $52007090.60  | 0.80%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384DUF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5318213 | PA      | $5507597.76   | 0.08%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-13487.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PURCHASED AUD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |            1 | NC      | $2568912.78   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384MAU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30945346 | PA      | $32000006.72  | 0.49%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382VMR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28561491 | PA      | $4015731.35   | 0.06%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-232168.39   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396QTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       349783 | PA      | $353746.49    | 0.01%             | 2039-08-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                  | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                                               | CUSIP: 000000000<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      3403000 | PA      | $3222399.39   | 0.05%             | 2033-01-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 31396HJJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       520446 | PA      | $20198.31     | 0.00%             | 2030-09-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1222842 | PA      | $1256974.92   | 0.02%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383TUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21675642 | PA      | $3157551.42   | 0.05%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384USC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17056896 | PA      | $17970061.67  | 0.28%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUNA SA                                                 | Auna SA                                                                                                                                    | CUSIP: 000000000<br>LEI: 254900SOGP7YC0N9I368 | Long             | DBT              | CORP              | LU        |      1200000 | PA      | $1286082.00   | 0.02%             | 2029-12-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                                    | STAR 2024-SFR4 Trust                                                                                                                       | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14650000 | PA      | $14788764.80  | 0.23%             | 2041-10-17      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3622ACWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5448329 | PA      | $5590145.28   | 0.09%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD BRL                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $-2075276.78  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| EDEN RE II LTD UNSECURED 144A                           | EDEN RE II LTD UNSECURED 144A                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        79810 | NS      | $84782.13     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FYZB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4792001 | PA      | $4902437.94   | 0.08%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |            1 | NC      | $-49162.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                                           | CUSIP: 31425XXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5665171 | PA      | $5760292.51   | 0.09%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H9EG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3674697 | PA      | $3726380.80   | 0.06%             | 2052-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                  | Brazil Letras do Tesouro Nacional                                                                                                          | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1527300000 | PA      | $253999652.78 | 3.89%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |            1 | NC      | $9622.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25000000 | PA      | $26495985.00  | 0.41%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VEON Ltd                                                | VEON Ltd                                                                                                                                   | CUSIP: 91822M502<br>LEI: 5493008CA3NMHYEVT131 | Long             | EC               | CORP              | BM        |        54404 | NS      | $2467765.44   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                  | Jazz Investments I Ltd                                                                                                                     | CUSIP: 472145AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1365000 | PA      | $1408315.70   | 0.02%             | 2026-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AK2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108405 | PA      | $2166.75      | 0.00%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                             | FIGRE Trust 2024-HE1                                                                                                                       | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1167152 | PA      | $1188247.98   | 0.02%             | 2054-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                               | PG&E Corp                                                                                                                                  | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      2695000 | PA      | $2806573.00   | 0.04%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SERBIA TREASURY BONDS                                   | Serbia Treasury Bonds                                                                                                                      | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |   3319480000 | PA      | $31384874.71  | 0.48%             | 2032-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID6Q0T7 IRS CLP R V 00MCLICP BMID6Q0V2 CCPNDFCAMARAPROMEDIO / Short: BMID6Q0T7 IRS CLP P F  4.94000 BMID6Q0U4 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  10920000000 | OU      | $-7553.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384YCA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4097501 | PA      | $4084604.58   | 0.06%             | 2064-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-83873.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384DL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5000000 | PA      | $5304870.00   | 0.08%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8000000 | PA      | $8297576.80   | 0.13%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                                 | Long: BMIEANNZ8 CDS USD R F  1.00000 BMIEANP03 CORPORATE / Short: BMIEANNZ8 CDS USD P V 03MEVENT BMIEANP11 CORPORATE                       | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DCR              |  | GB        |     25000000 | OU      | $-512340.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                                      | Cellnex Telecom SA                                                                                                                         | CUSIP: 000000000<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |      1100000 | PA      | $1354016.00   | 0.02%             | 2028-07-05      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2021-SFR10 Trust                                                                                                      | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3462863 | PA      | $3289606.72   | 0.05%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2013-1 Ltd                                                                                                                        | CUSIP: 92917DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4675630.00   | 0.07%             | 2030-10-15      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                         | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                                                                         | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3240000 | PA      | $3216929.58   | 0.05%             | 2039-12-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F25W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14127919 | PA      | $14849535.82  | 0.23%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                                     | Bentley Systems Inc                                                                                                                        | CUSIP: 08265TAB5<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |       945000 | PA      | $924604.27    | 0.01%             | 2026-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| KKR                                                     | KKR                                                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13388144 | PA      | $13397127.22  | 0.21%             | 2025-12-13      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       338854 | PA      | $305930.51    | 0.00%             | 2043-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7578366 | PA      | $7776905.62   | 0.12%             | 2055-03-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HABQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3710607 | PA      | $3804194.49   | 0.06%             | 2053-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIEF2704 IRS THB R F  1.95800 BMIEF2712 CCPNDFOIS / Short: SMIEF2704 IRS THB P V 12MTHOR BMIEF2720 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    454500000 | OU      | $359590.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy 34 Clo Ltd                                                                                                                          | CUSIP: 36322BAA8<br>LEI: 3912002JK68FWHXUMG23 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2956020.00   | 0.05%             | 2037-10-20      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                                                                                                     | CUSIP: 984245BB5<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      6023928 | PA      | $5858736.23   | 0.09%             | 2034-01-17      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD EGP                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-163331.12   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                   | INTOWN 2025-STAY Mortgage Trust                                                                                                            | CUSIP: 46117WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000000 | PA      | $24564780.00  | 0.38%             | 2042-03-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| PARTNERRE ILS FUND SAC LTD.                             | PARTNERRE ILS FUND SAC LTD.                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     34000000 | NS      | $36713200.00  | 0.56%             |  |  |  | No            |                  3 | On Loan: No      |
| Great Wolf Trust                                        | GWT 2024-WLF2                                                                                                                              | CUSIP: 362414AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $7988406.40   | 0.12%             | 2041-05-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                          | Crown City CLO III                                                                                                                         | CUSIP: 22824DAN9<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $985096.00    | 0.02%             | 2034-07-20      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Western Asset High Income Opportunity Fund Inc          | Western Asset High Income Opportunity Fund Inc                                                                                             | CUSIP: 95766K109<br>LEI: 549300S7N70O2ERKYG47 | Long             | EC               | RF                | US        |       383997 | NS      | $1470708.51   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| STAR 2025-SFR5 Trust                                    | STAR 2025-SFR5 Trust                                                                                                                       | CUSIP: 85520CAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2500000 | PA      | $2519880.25   | 0.04%             | 2042-02-17      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| INTEGRA LIFESCIENCES HLD                                | Integra LifeSciences Holdings Corp                                                                                                         | CUSIP: 457985AM1<br>LEI: WB7IJCYY8YFTENS4O147 | Long             | DBT              | CORP              | US        |       800000 | PA      | $785799.90    | 0.01%             | 2025-08-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                          | Finance of America HECM Buyout 2024-HB1                                                                                                    | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11200000 | PA      | $10139898.72  | 0.16%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31393YQ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       564519 | PA      | $24207.29     | 0.00%             | 2034-05-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GMJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       214114 | PA      | $220759.61    | 0.00%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384XRM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8877879 | PA      | $8903419.38   | 0.14%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHS77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8147539 | PA      | $8091709.20   | 0.12%             | 2054-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BQPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13024790 | PA      | $13370978.88  | 0.20%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-718643.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GMGA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       213939 | PA      | $222249.27    | 0.00%             | 2054-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA3                                                                                                          | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |      1250000 | PA      | $1431250.00   | 0.02%             | 2049-09-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| NEWCO HOLDING USD SARL                                  | NewCo Holding USD 20 Sarl                                                                                                                  | CUSIP: 650921AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      5843000 | PA      | $5775805.50   | 0.09%             | 2029-11-07      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Navoi Mining and Metallurgical Company                  | Navoi Mining and Metallurgical Company 2024 Term Loan                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | XX        |      2788161 | PA      | $2788160.66   | 0.04%             | 2027-04-23      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       610400 | PA      | $103386.50    | 0.00%             | 2022-08-23      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382J4V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4723306 | PA      | $68696.71     | 0.00%             | 2050-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| LONGFOR HOLDINGS LTD                                    | Longfor Group Holdings Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 254900UJX27B2F1JYR13 | Long             | DBT              | CORP              | KY        |      1166000 | PA      | $1047180.85   | 0.02%             | 2027-04-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 000000000<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      3986000 | PA      | $3930563.99   | 0.06%             | 2032-01-16      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| HTA GROUP LTD                                           | HTA Group Ltd 2024 Tranche C Term Loan                                                                                                     | CUSIP: 000000000<br>LEI: 213800WEFU8O8X6EPU13 | Long             | LON              | CORP              | US        |      4250000 | PA      | $4250000.00   | 0.07%             | 2028-09-13      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-122523.24   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $104562.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AKMR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144918 | PA      | $147940.67    | 0.00%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      3726900 | PA      | $624255.75    | 0.01%             | 2031-08-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| NUGREEN                                                 | NUGREEN                                                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $8000751.98   | 0.12%             | 2043-02-16      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| DOM REP CB NOTES                                        | Dominican Republic Central Bank Notes                                                                                                      | CUSIP: 25714RDA9<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |    299010000 | PA      | $5065597.76   | 0.08%             | 2025-10-03      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica       | FRESB 2021-SB91 Mortgage Trust                                                                                                             | CUSIP: 30322XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22145841 | PA      | $590746.96    | 0.01%             | 2041-08-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB14 LLC                                                                                                                         | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      1550000 | PA      | $1442482.55   | 0.02%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 16 Ltd                                                                                                                       | CUSIP: 05877AAE6<br>LEI: 2549003CI27B7ZDOMR46 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2835252.00   | 0.04%             | 2038-04-20      | Floating      | 9.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GVKH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       316031 | PA      | $322778.83    | 0.00%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SECURE INTERNATIONAL FIN                                | Secure International Finance Co Inc                                                                                                        | CUSIP: 81373LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | GY        |      1500000 | PA      | $1507500.00   | 0.02%             | 2029-06-03      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8130057 | PA      | $8467321.39   | 0.13%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RAPID7 INC                                              | Rapid7 Inc                                                                                                                                 | CUSIP: 753422AF1<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |       465000 | PA      | $427218.27    | 0.01%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD SERIES 2024                              | EDEN RE II LTD SERIES 2024                                                                                                                 | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        64938 | NS      | $3564007.62   | 0.05%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Dominion Mortgage Trust                                 | Dominion Mortgage Trust 2025-RTL1                                                                                                          | CUSIP: 25746DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $9103454.10   | 0.14%             | 2030-03-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQSZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5809483 | PA      | $6022290.07   | 0.09%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO XXVI Ltd                                                                                                                  | CUSIP: 09630GAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3469830.00   | 0.05%             | 2034-10-20      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Achieve Mortgage                                        | ACHM Mortgage Trust 2024-HE1                                                                                                               | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       801607 | PA      | $828065.93    | 0.01%             | 2039-05-25      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QSQ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       980900 | PA      | $1014838.47   | 0.02%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                | Suriname Government International Bond                                                                                                     | CUSIP: 86886PAD4<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      3652000 | PA      | $3865642.00   | 0.06%             | 2050-12-31      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| GUARA NORTE SARL                                        | Guara Norte Sarl                                                                                                                           | CUSIP: 000000000<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |      5191225 | PA      | $4813519.77   | 0.07%             | 2034-06-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon CLO 2018-1 Ltd                                                                                                                      | CUSIP: 13877AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1959470.00   | 0.03%             | 2031-07-15      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FGRJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1246290 | PA      | $1294485.65   | 0.02%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $48451.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC                          | NOMURA CORPORATE FDG AMERS LLC                                                                                                             | CUSIP: 65538RAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120010000 | PA      | $120978360.69 | 1.85%             | 2059-01-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| PIRAMAL FINANCE LTD                                     | Piramal Finance Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 335800M751HM7MSTFQ19 | Long             | DBT              | CORP              | IN        |      5010000 | PA      | $4927110.75   | 0.08%             | 2028-01-29      | Fixed         | 7.80%                 | Yes           |                  2 | On Loan: No      |
| Mexico Government International Bonds                   | Mexico Government International Bonds                                                                                                      | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      2000000 | PA      | $1909936.00   | 0.03%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32083418 | PA      | $36171639.17  | 0.55%             | 2055-02-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                        | PURCHASED USD / SOLD CNH                                                                                                                   | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |            1 | NC      | $111231.14    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | EFMT 2024-RM2                                                                                                                              | CUSIP: 268431AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17609135 | PA      | $16827208.86  | 0.26%             | 2054-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AUNA SA                                                 | Auna SA                                                                                                                                    | CUSIP: 05151AAA1<br>LEI: 254900SOGP7YC0N9I368 | Long             | DBT              | CORP              | LU        |      5369858 | PA      | $5755064.76   | 0.09%             | 2029-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UHX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39978674 | PA      | $41202893.47  | 0.63%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOW AIR EHF                                             | Wow Air hf                                                                                                                                 | CUSIP: 000000000<br>LEI: 549300LW49V05P8Z2H93 | Long             | DBT              | CORP              | IS        |        19800 | PA      | $0.00         | 0.00%             | 2099-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2021-SFR1 Trust                                                                                                             | CUSIP: 33767WAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20563000 | PA      | $19880943.80  | 0.30%             | 2038-08-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| IPOTEKA-BANK ATIB                                       | Ipoteka-Bank ATIB                                                                                                                          | CUSIP: 000000000<br>LEI: 213800UWVX5JSNXJS434 | Long             | DBT              | CORP              | UZ        |  51340000000 | PA      | $4098943.58   | 0.06%             | 2027-04-25      | Fixed         | 20.50%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8032320 | PA      | $8439763.53   | 0.13%             | 2053-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384JW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3774356 | PA      | $3923373.50   | 0.06%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UBB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2301003 | PA      | $2368678.07   | 0.04%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383X6V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5036489 | PA      | $5218301.72   | 0.08%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CYTOKINETICS INC                                        | Cytokinetics Inc                                                                                                                           | CUSIP: 23282WAC4<br>LEI: 549300BE5DY1HW7IHA64 | Long             | DBT              | CORP              | US        |       955000 | PA      | $1117700.58   | 0.02%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIERHEA8 IRS ZAR R F  7.70890 BMIERHEB6 CCPVANILLA / Short: SMIERHEA8 IRS ZAR P V 03MJIBAR BMIERHEC4 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    997360000 | OU      | $410702.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                       | Battalion CLO XXII Ltd                                                                                                                     | CUSIP: 07134KAJ8<br>LEI: 5493003R1TSL3IKE4V49 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1803698.00   | 0.03%             | 2035-01-20      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384BLW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7340455 | PA      | $7792748.83   | 0.12%             | 2053-06-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| KWG GROUP HOLDINGS                                      | KWG Group Holdings Ltd                                                                                                                     | CUSIP: 000000000<br>LEI: 549300LK82ZOM9ZE7H90 | Long             | DBT              | CORP              | KY        |       519000 | PA      | $33799.88     | 0.00%             | 2024-08-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HBUF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17057821 | PA      | $16868072.81  | 0.26%             | 2054-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Achieve Mortgage                                        | FREED Mortgage Trust 2022-HE1                                                                                                              | CUSIP: 35634KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1697212 | PA      | $1728378.53   | 0.03%             | 2037-10-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CAS CAPITAL NO1 LTD                                     | CAS Capital No 1 Ltd                                                                                                                       | CUSIP: 000000000<br>LEI: 254900REJZW5L9QRTD85 | Long             | DBT              | CORP              | VG        |      7803000 | PA      | $7474294.41   | 0.11%             | 2026-07-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MBH BANK NYRT                                           | MBH Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 3H0Q3U74FVFED2SHZT16 | Long             | DBT              | CORP              | HU        |      1300000 | PA      | $1465356.86   | 0.02%             | 2035-11-08      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| ENOVIS CORP                                             | Enovis Corp                                                                                                                                | CUSIP: 194014AB2<br>LEI: 635400OP2DYYYMOIYL17 | Long             | DBT              | CORP              | US        |      1790000 | PA      | $1783735.00   | 0.03%             | 2028-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B96ZAV092 CDS USD R V 03MEVENT Z96ZAV1D2 CCPCDX / Short: B96ZAV092 CDS USD P F  1.00000 Z96ZAV0X9 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |        50000 | OU      | $2214.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust I LLC 2019-1                                                                                                      | CUSIP: 03464MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |            0 | PA      | $0.01         | 0.00%             | 2048-11-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382VLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31810582 | PA      | $3936254.10   | 0.06%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB15 LLC                                                                                                                         | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |      3750000 | PA      | $3280107.00   | 0.05%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                                         | TX Trust 2024-HOU                                                                                                                          | CUSIP: 90216DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $5974777.20   | 0.09%             | 2039-06-15      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31394CQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       710198 | PA      | $64886.58     | 0.00%             | 2035-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34480099 | PA      | $28860829.20  | 0.44%             | 2055-01-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Carlyle C17 CLO                                         | Carlyle C17 CLO Ltd                                                                                                                        | CUSIP: 14308FAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2853636.00   | 0.04%             | 2031-04-30      | Floating      | 10.54%                | No            |                  2 | On Loan: No      |
| MATCH GROUP FINANCECO 3                                 | Match Group Financeco 3 Inc                                                                                                                | CUSIP: 44932KAA4<br>LEI: 5493003IEL8HSZKWUI17 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $942959.81    | 0.01%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384ARX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4860435 | PA      | $5274836.43   | 0.08%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD CNH                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-972861.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED MXN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |            1 | NC      | $66535.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 958JXN005<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -31170866 | PA      | $-31170865.92 | -0.48%            | 2026-04-02      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $14057.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO XXX Ltd                                                                                                                   | CUSIP: 09630RAG4<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1928596.00   | 0.03%             | 2035-04-15      | Floating      | 10.96%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1586245 | PA      | $1633660.57   | 0.03%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                             | Onity Loan Investment Trust 2024-HB2                                                                                                       | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7750000 | PA      | $6990125.68   | 0.11%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                   | Lumentum Holdings Inc                                                                                                                      | CUSIP: 55024UAF6<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |      1975000 | PA      | $1829240.64   | 0.03%             | 2028-06-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TYLER TECHNOLOGIES INC                                  | Tyler Technologies Inc                                                                                                                     | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |      1240000 | PA      | $1465060.00   | 0.02%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners Clo XXII Ltd                                                                                                       | CUSIP: 08186WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2004858.00   | 0.03%             | 2035-04-20      | Floating      | 11.20%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11000000 | PA      | $11169689.30  | 0.17%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-131935.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FCZU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54911 | PA      | $55470.83     | 0.00%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2018-I                                                                                                                     | CUSIP: 06760HAA7<br>LEI: 549300MY0JQGDVPG6R89 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4833740.00   | 0.07%             | 2031-04-15      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge 2022-SFR1 Trust                                                                                                                     | CUSIP: 10805VAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14428000 | PA      | $14359182.77  | 0.22%             | 2037-11-17      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIERGTA4 IRS ILS R F  3.87750 BMIERGTB2 CCPVANILLA / Short: SMIERGTA4 IRS ILS P V 03MTELBO BMIERGTC0 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    190520000 | OU      | $69997.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       927500 | PA      | $127531.25    | 0.00%             | 2022-02-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB13 LLC                                                                                                                         | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |      1150000 | PA      | $1066962.18   | 0.02%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNMA 23 97 REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -19307562 | PA      | $-19307562.50 | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge 2024-SFR1 Trust                                                                                                                     | CUSIP: 10806DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2915000 | PA      | $2710064.71   | 0.04%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AUKL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1551782 | PA      | $100429.81    | 0.00%             | 2032-09-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $525.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H9W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10900000 | PA      | $11271190.78  | 0.17%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIEF2621 IRS THB R F  1.96500 BMIEF2639 CCPNDFOIS / Short: SMIEF2621 IRS THB P V 12MTHOR BMIEF2647 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    581400000 | OU      | $465896.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWISS RE CORE NAT CAT FUND                              | SWISS RE CORE NAT CAT FUND                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     50950111 | NS      | $55927936.84  | 0.86%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QSLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12375663 | PA      | $12602795.67  | 0.19%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396LCN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497403 | PA      | $40096.52     | 0.00%             | 2036-10-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | PURCHASED CZK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CZ        |            1 | NC      | $60923.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137ALAQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       496234 | PA      | $75275.16     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384K3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1905747 | PA      | $1974238.98   | 0.03%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GKMZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       286784 | PA      | $293534.50    | 0.00%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       586400 | PA      | $108484.00    | 0.00%             | 2026-10-21      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383UQX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112601090 | PA      | $1510571.77   | 0.02%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                 | Digital Realty Trust LP                                                                                                                    | CUSIP: 25389JAX4<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |      1830000 | PA      | $1906128.00   | 0.03%             | 2029-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NWD FINANCE (BVI) LTD                                   | NWD Finance BVI Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 25490076V8K09HMNCT88 | Long             | DBT              | CORP              | VG        |      1105000 | PA      | $404812.11    | 0.01%             | 2028-03-10      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                   | Pagaya AI Technology in Housing Trust 2023-1                                                                                               | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4500000 | PA      | $3709068.75   | 0.06%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JD.COM INC                                              | JD.com Inc                                                                                                                                 | CUSIP: 47215PAH9<br>LEI: 549300HVTWB0GJZ16V92 | Long             | DBT              | CORP              | KY        |      2355000 | PA      | $2479461.75   | 0.04%             | 2029-06-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384E8K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7350957 | PA      | $8563282.50   | 0.13%             | 2053-10-20      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PNMAC GMSR ISSUER TRUST 2022-GT1                                                                                                           | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11500000 | PA      | $11605498.70  | 0.18%             | 2027-05-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3284542 | PA      | $379696.39    | 0.01%             | 2043-01-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382J3W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1056772 | PA      | $159646.47    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| YUEXIU REIT MTN CO                                      | Yuexiu REIT MTN Co Ltd                                                                                                                     | CUSIP: 000000000<br>LEI: 3003005M4VITX5HI1X77 | Long             | DBT              |  | VG        |      7551000 | PA      | $7343243.37   | 0.11%             | 2026-02-02      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Orion CLO Ltd.                                          | Orion CLO 2024-4 LTD                                                                                                                       | CUSIP: 68626KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1974750.00   | 0.03%             | 2037-10-20      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| EDEN REII LTD 0.000 17MAR2028                           | EDEN REII LTD 0.000 17MAR2028                                                                                                              | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |        81053 | NS      | $981896.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618G7AE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1323277 | PA      | $1349048.68   | 0.02%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20254665 | PA      | $1328841.74   | 0.02%             | 2053-03-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                                                                      | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6250000 | PA      | $6355247.50   | 0.10%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AAJK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2139325 | PA      | $315455.39    | 0.00%             | 2042-12-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9069831 | PA      | $9292760.15   | 0.14%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon Capital CLO 2017-1 Ltd                                                                                                              | CUSIP: 13876HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $968686.00    | 0.01%             | 2030-07-15      | Floating      | 10.77%                | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                                     | Elmwood CLO VI Ltd                                                                                                                         | CUSIP: 29001VBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1300000 | PA      | $1302549.30   | 0.02%             | 2037-07-18      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLLW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3095923 | PA      | $383237.81    | 0.01%             | 2045-09-15      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                                 | WE Soda Investments Holding PLC                                                                                                            | CUSIP: 000000000<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |      5637000 | PA      | $5774937.39   | 0.09%             | 2028-10-06      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD CNH                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $94170.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HFKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13886706 | PA      | $13247984.03  | 0.20%             | 2054-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALPHA HOLDING SA                                        | Alpha Holding SA de CV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300R872G37EN6NT94 | Long             | DBT              | CORP              | MX        |      1439790 | PA      | $17997.38     | 0.00%             | 2022-12-19      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ZTO EXPRESS KY INC                                      | ZTO Express Cayman Inc                                                                                                                     | CUSIP: 98980AAB1<br>LEI: 549300SCJPK3YZJTJR78 | Long             | DBT              | CORP              | KY        |      1868000 | PA      | $1846424.60   | 0.03%             | 2027-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5699166 | PA      | $5935588.58   | 0.09%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137ASS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       529155 | PA      | $21576.79     | 0.00%             | 2032-07-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618A0PG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2419595 | PA      | $2454433.03   | 0.04%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179W5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        55082 | PA      | $56519.26     | 0.00%             | 2052-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Asset Based Lending LLC                                 | ABL 2024-RTL1                                                                                                                              | CUSIP: 00092EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11050000 | PA      | $11074742.06  | 0.17%             | 2029-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                                 | Long: BMIEDP4G3 CDS USD R F  1.00000 BMIEDP4H1 CORPORATE / Short: BMIEDP4G3 CDS USD P V 03MEVENT BMIEDP4J7 CORPORATE                       | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DCR              |  | GB        |     10000000 | OU      | $-301843.30   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-R1 LLC                                                                                                                           | CUSIP: 12530YAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9932000 | PA      | $8707539.34   | 0.13%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A1B20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128826 | PA      | $1344.10      | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-19252.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4235992 | PA      | $4875490.96   | 0.07%             | 2052-11-20      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                       | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAJ0<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      3251000 | PA      | $3208668.57   | 0.05%             | 2028-06-03      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | CARLYLE US CLO 2019-4 LTD                                                                                                                  | CUSIP: 14317VAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1750000 | PA      | $1720372.50   | 0.03%             | 2035-04-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | Long: BMIDL6NN2 CYS PLN R V 03MWIBOR WIBO3+63.25BPS / Short: BMIDL6NN2 CYS EUR P V 03MEURIB EUR003+0BPS                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | PL        |    527967209 | NC      | $1001677.22   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust Series 2024-BPL1                                                                                                           | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11820000 | PA      | $11905613.44  | 0.18%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $23838.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797NP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     30000000 | PA      | $29876770.80  | 0.46%             | 2025-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          167 | NC      | $174381.91    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3640479 | PA      | $444171.18    | 0.01%             | 2043-01-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $117685.70    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H2W59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17519242 | PA      | $2822714.21   | 0.04%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384XWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6469049 | PA      | $6652314.28   | 0.10%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6150252 | PA      | $6829110.08   | 0.10%             | 2052-10-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-95418.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |            1 | NC      | $-9423.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65768260 | PA      | $3300530.82   | 0.05%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384H5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2500000 | PA      | $2592342.75   | 0.04%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                    | Western Digital Corp                                                                                                                       | CUSIP: 958102AT2<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |      1690000 | PA      | $2297555.00   | 0.04%             | 2028-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SNOWFLAKE INC                                           | Snowflake Inc                                                                                                                              | CUSIP: 833445AC3<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |      2135000 | PA      | $2652470.63   | 0.04%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4342857 | PA      | $4458286.83   | 0.07%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon Capital CLO 2016-1 Ltd                                                                                                              | CUSIP: 13876EAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3869220.00   | 0.06%             | 2031-07-15      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                                                                                         | CUSIP: 3142FR2X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27249608 | PA      | $4978754.06   | 0.08%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIKISBREF                                               | Iceland Rikisbref                                                                                                                          | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |    553340042 | PA      | $4372505.06   | 0.07%             | 2035-09-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TBC BANK JSC                                            | TBC Bank JSC                                                                                                                               | CUSIP: 000000000<br>LEI: 2138001MSA39Q44QTA18 | Long             | DBT              | CORP              | GE        |      3481000 | PA      | $3354720.46   | 0.05%             | 2026-11-06      | Fixed         | 8.89%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QRSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4905326 | PA      | $5084629.73   | 0.08%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                            | Champs Trust 2025-1                                                                                                                        | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81747185 | PA      | $85232377.84  | 1.31%             | 2060-04-25      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                            | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                      | CUSIP: 44855PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $2046561.40   | 0.03%             | 2040-01-13      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                                      | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35830000 | PA      | $36906300.95  | 0.57%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust 2023-RM6                                                                                               | CUSIP: 10638AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3500286 | PA      | $3489097.06   | 0.05%             | 2063-01-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384YYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8633663 | PA      | $8609960.24   | 0.13%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618H9TS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5341291 | PA      | $5536160.64   | 0.08%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE SIDECAR 2021                                | MT LOGAN RE SIDECAR 2021                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |          860 | NS      | $1972012.15   | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SHIMAO GROUP HOLDINGS LT                                | Shimao Group Holdings Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 254900WTJ6B5CU69ZD26 | Long             | DBT              | CORP              | KY        |      4343000 | PA      | $244337.18    | 0.00%             | 2026-07-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13515732 | PA      | $901838.58    | 0.01%             | 2053-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BFCT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1662053 | PA      | $204052.27    | 0.00%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMIE2QFJ5 IRS CLP R V 00MCLICP BMIE2QFL0 CCPNDFCAMARAPROMEDIO / Short: BMIE2QFJ5 IRS CLP P F  4.99500 BMIE2QFK2 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  12297000000 | OU      | $-28078.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383VUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16761329 | PA      | $785400.67    | 0.01%             | 2053-02-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384AGA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6117038 | PA      | $6529091.09   | 0.10%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                    | New Mountain CLO 6 Ltd                                                                                                                     | CUSIP: 647908AJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2001226.00   | 0.03%             | 2037-10-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: BMIDXP549 CDS USD R F  4.00000 BMIDXP556 CORPORATE / Short: BMIDXP549 CDS USD P V 01MEVENT BMIDXP564 CORPORATE                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |      6954513 | OU      | $-47631.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Blueberry Park CLO                                      | Blueberry Park CLO Ltd                                                                                                                     | CUSIP: 09609QAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1500000 | PA      | $1496881.50   | 0.02%             | 2037-10-20      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2002956 | PA      | $2044734.98   | 0.03%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Harriman Park CLO                                       | Harriman Park CLO LTD                                                                                                                      | CUSIP: 413718AJ6<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1003609.00   | 0.02%             | 2034-04-20      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11146026 | PA      | $11336391.44  | 0.17%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                              | Evergy Inc                                                                                                                                 | CUSIP: 30034WAD8<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |      1855000 | PA      | $2200586.50   | 0.03%             | 2027-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PDD HOLDINGS INC                                        | PDD Holdings Inc                                                                                                                           | CUSIP: 722304AC6<br>LEI: 5493000573DS7005T657 | Long             | DBT              | CORP              | KY        |      3032000 | PA      | $2945588.00   | 0.05%             | 2025-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                                   | Alibaba Group Holding Ltd                                                                                                                  | CUSIP: 01609WBF8<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |      5862000 | PA      | $7709995.50   | 0.12%             | 2031-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3133TM7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        19477 | PA      | $19918.34     | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                 | Santander Bank Auto Credit-Linked Notes Series 2024-A                                                                                      | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1844059 | PA      | $1850460.16   | 0.03%             | 2032-06-15      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                        | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |            1 | NC      | $-1162165.32  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                 | Bryant Park Funding 2023-19 Ltd                                                                                                            | CUSIP: 11765AAY5<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |      5250000 | PA      | $5147840.25   | 0.08%             | 2038-04-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HAXJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4890692 | PA      | $4119821.01   | 0.06%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WHB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31594459 | PA      | $2038158.53   | 0.03%             | 2053-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Unison Trust                                            | Unison Trust 2021-1                                                                                                                        | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48538224 | PA      | $47356075.22  | 0.73%             | 2050-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | Long: BMIELETZ0 IRS MYR R F  3.50500 BMIELEU05 NDF / Short: BMIELETZ0 IRS MYR P V 03MKLIBO BMIELEU13 NDF                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | FR        |     98400000 | OU      | $239471.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | Long: BMIERGFN1 TRS USD R E BMIERGFN1 COMMODITYTRS / Short: BMIERGFN1 TRS USD P F   .13000 BMIERGFN1 COMMODITYTRS                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DCO              |  | US        |    100000000 | OU      | $-467533.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B96M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       114891 | PA      | $118133.40    | 0.00%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANCO DE OCCIDENTE SA                                   | Banco de Occidente SA                                                                                                                      | CUSIP: 000000000<br>LEI: 54930072MY36044H8N63 | Long             | DBT              | CORP              | CO        |      6087000 | PA      | $6726135.00   | 0.10%             | 2034-08-13      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BDF76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1146545 | PA      | $132037.54    | 0.00%             | 2044-09-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                                           | CUSIP: 3133CKQZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1208472 | PA      | $1278102.57   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HIDDEN HOLLOW ENERGY                                    | HIDDEN HOLLOW ENERGY                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       264075 | PA      | $264099.42    | 0.00%             | 2043-02-16      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: BMIE963K2 CDS USD R F  4.20000 BMIE963L0 CORPORATE / Short: BMIE963K2 CDS USD P V 01MEVENT BMIE963M8 CORPORATE                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |      4894900 | OU      | $-27249.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 15 Ltd                                                                                                                       | CUSIP: 05875UAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1960790.00   | 0.03%             | 2038-01-15      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                        | Empower CLO 2024-1 Ltd                                                                                                                     | CUSIP: 29244RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3006153.00   | 0.05%             | 2037-04-25      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                          | Ziff Davis Inc                                                                                                                             | CUSIP: 48123VAE2<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |       900000 | PA      | $847119.30    | 0.01%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                      | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    326285000 | PA      | $82090357.90  | 1.26%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AMPHASTAR PHARMACEUTICAL                                | Amphastar Pharmaceuticals Inc                                                                                                              | CUSIP: 03209RAB9<br>LEI: 54930055TH0ZLSAQMJ38 | Long             | DBT              | CORP              | US        |      1730000 | PA      | $1506073.87   | 0.02%             | 2029-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RAPID7 INC                                              | Rapid7 Inc                                                                                                                                 | CUSIP: 753422AH7<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |       570000 | PA      | $486957.84    | 0.01%             | 2029-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31397L3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1492977 | PA      | $107439.70    | 0.00%             | 2038-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                               | Block Inc                                                                                                                                  | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      1050000 | PA      | $934237.50    | 0.01%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| H WORLD GROUP LTD                                       | H World Group Ltd                                                                                                                          | CUSIP: 44332NAB2<br>LEI: 549300Y5ML31FVN83730 | Long             | DBT              | CORP              | KY        |      1064000 | PA      | $1142572.52   | 0.02%             | 2026-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIEQTG37 IRS KRW R F  2.50700 BMIEQTG45 CCPNDF / Short: SMIEQTG37 IRS KRW P V 03MKSDA BMIEQTG52 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  86567000000 | OU      | $773652.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GZ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6784361 | PA      | $7034963.08   | 0.11%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AVC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       200174 | PA      | $202216.76    | 0.00%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382WGF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14346876 | PA      | $508252.43    | 0.01%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                               | RMF Buyout Issuance Trust 2021-HB1                                                                                                         | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4500000 | PA      | $4205120.40   | 0.06%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31346AF83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        30530 | PA      | $29967.17     | 0.00%             | 2030-06-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MARRIOTT VACATION WORLDW                                | Marriott Vacations Worldwide Corp                                                                                                          | CUSIP: 57164YAF4<br>LEI: 549300WA6BT5H4F7IO94 | Long             | DBT              | CORP              | US        |      1670000 | PA      | $1528885.00   | 0.02%             | 2027-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31394UD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       588661 | PA      | $48543.12     | 0.00%             | 2035-12-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $90553.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89282119 | PA      | $11686957.95  | 0.18%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust                    | Mello Warehouse Securitization Trust 2025-1                                                                                                | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $9044580.60   | 0.14%             | 2059-05-25      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                        | NJ 2025-WBRK                                                                                                                               | CUSIP: 65486BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2368663.50   | 0.04%             | 2035-03-05      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID79NJ1 IRS CLP R V 00MCLICP BMID79NL6 CCPNDFCAMARAPROMEDIO / Short: BMID79NJ1 IRS CLP P F  5.05500 BMID79NK8 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   5285000000 | OU      | $-54207.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GWYD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       533119 | PA      | $543501.57    | 0.01%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                  | Romania Government International Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      4000000 | PA      | $4040443.12   | 0.06%             | 2033-01-17      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24429512 | PA      | $27098153.47  | 0.42%             | 2055-03-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-3740.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Maps LTD                                                | MAPS 2018-1 Ltd                                                                                                                            | CUSIP: 56564RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |       618741 | PA      | $615584.72    | 0.01%             | 2043-05-15      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UVE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8087470 | PA      | $8309270.12   | 0.13%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382LQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6591356 | PA      | $855776.78    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                              | Airbnb Inc                                                                                                                                 | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |      1553000 | PA      | $1490103.50   | 0.02%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                                                                                              | CUSIP: 143658BV3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |       480000 | PA      | $768720.00    | 0.01%             | 2027-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384EDD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2618000 | PA      | $2694870.24   | 0.04%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F26S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1591971 | PA      | $1637070.48   | 0.03%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCVY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1643983 | PA      | $1641966.46   | 0.03%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2023-RTL2                                                                                                             | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2775000 | PA      | $2799171.92   | 0.04%             | 2028-06-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXII Ltd                                                                                                                         | CUSIP: 55954HBE1<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2003978.00   | 0.03%             | 2036-07-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384HZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12142406 | PA      | $12304913.89  | 0.19%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       999374 | PA      | $1022576.68   | 0.02%             | 2054-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TELEFONICA DEL PERU S.A.                                | Telefonica del Peru SAA                                                                                                                    | CUSIP: 000000000<br>LEI: 549300L59XR0I8CDIL13 | Long             | DBT              | CORP              | PE        |      4500000 | PA      | $429670.45    | 0.01%             | 2027-04-10      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                  | Jazz Investments I Ltd                                                                                                                     | CUSIP: 472145AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1320000 | PA      | $1440075.19   | 0.02%             | 2030-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED USD / SOLD BRL                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-1984146.07  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |            1 | NC      | $-12312.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD 2024-VICT Mortgage Trust                                                                                                              | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3300000 | PA      | $3301803.78   | 0.05%             | 2041-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B1RV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1468214 | PA      | $1498838.64   | 0.02%             | 2063-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       729509 | PA      | $757035.64    | 0.01%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      3023000 | PA      | $2953997.61   | 0.05%             | 2026-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID81HX3 IRS CLP R V 00MCLICP BMID81HZ8 CCPNDFCAMARAPROMEDIO / Short: BMID81HX3 IRS CLP P F  5.08000 BMID81HY1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7128694209 | OU      | $-87940.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40547197 | PA      | $2705515.79   | 0.04%             | 2053-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GYJR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       563909 | PA      | $575318.83    | 0.01%             | 2064-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Janus Henderson B-BBB CLO ETF                           | Janus Henderson B-BBB CLO ETF                                                                                                              | CUSIP: 47103U753<br>LEI: 549300UAMX73GRTHWH74 | Long             | EC               | RF                | US        |      1013171 | NS      | $48692998.26  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| GRUPO AEROMEXICO SAB                                    | Grupo Aeromexico SAB de CV                                                                                                                 | CUSIP: 40054JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      7105000 | PA      | $6591666.59   | 0.10%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ADAG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1176941 | PA      | $79057.70     | 0.00%             | 2033-03-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                      | Ally Financial Inc                                                                                                                         | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     16000000 | PA      | $14749124.80  | 0.23%             | 2026-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384J7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15351585 | PA      | $15877601.03  | 0.24%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384B4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13235779 | PA      | $13730998.32  | 0.21%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ITRON INC                                               | Itron Inc                                                                                                                                  | CUSIP: 465741AN6<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $1131881.32   | 0.02%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF2 LLC                                                                                                                         | CUSIP: 693987AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1866676.20   | 0.03%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 24 59 REPO                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -12538673 | PA      | $-12538673.43 | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                    | PRET 2024-NPL5 LLC                                                                                                                         | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |      7876282 | PA      | $7847133.37   | 0.12%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings Clo Ltd 2022-IV                                                                                                                    | CUSIP: 06763HAU0<br>LEI: 549300NRFNRCBGSJ3239 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4961615.00   | 0.08%             | 2037-10-20      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FCZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       162764 | PA      | $164425.39    | 0.00%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                             | Onity Loan Investment Trust 2024-HB2                                                                                                       | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1414857.60   | 0.02%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AL5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1589002 | PA      | $306705.02    | 0.00%             | 2045-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PNMAC GMSR Issuer Trust                                                                                                                    | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |     41000000 | PA      | $41565890.20  | 0.64%             | 2029-03-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED ZAR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |            1 | NC      | $-1016.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BA5T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       414651 | PA      | $74780.90     | 0.00%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                                                      | CUSIP: 25714WBR3<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     91200000 | PA      | $1713386.23   | 0.03%             | 2029-09-23      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| MERIT MEDICAL SYSTEMS IN                                | Merit Medical Systems Inc                                                                                                                  | CUSIP: 589889AA2<br>LEI: 549300OYTY138SP2CE83 | Long             | DBT              | CORP              | US        |      1225000 | PA      | $1562487.50   | 0.02%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $51953.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVQZS5 IRS TWD R V 03MCPTW BMICVQZU0 CCPNDF / Short: BMICVQZS5 IRS TWD P F  1.35000 BMICVQZT3 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    514000000 | OU      | $101687.89    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                         | Golub Capital Partners CLO 74 B Ltd                                                                                                        | CUSIP: 38190CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2000000 | PA      | $1966958.00   | 0.03%             | 2037-07-25      | Floating      | 10.38%                | No            |                  2 | On Loan: No      |
| Hudson Yards                                            | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                      | CUSIP: 44855PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750000 | PA      | $1774378.73   | 0.03%             | 2040-01-13      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Navigator Aviation Ltd                                  | Navigator 2024-1 Aviation Ltd                                                                                                              | CUSIP: 63943DAB5<br>LEI: 984500UF8C3O89B30652 | Long             | ABS-O            | CORP              | KY        |      5238096 | PA      | $5208507.59   | 0.08%             | 2049-08-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| DOM REP CB NOTES                                        | Dominican Republic Central Bank Notes                                                                                                      | CUSIP: 25714PER5<br>LEI: 549300DTVR57NON7XL66 | Long             | DBT              | NUSS              | DO        |      8980000 | PA      | $152984.92    | 0.00%             | 2025-12-05      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HFA96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22363660 | PA      | $22954666.68  | 0.35%             | 2054-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |            1 | NC      | $-121437.46   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383CZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21813786 | PA      | $2647242.50   | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AYTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       986410 | PA      | $66527.75     | 0.00%             | 2032-11-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                             | Datadog Inc                                                                                                                                | CUSIP: 23804LAC7<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |      1704000 | PA      | $1540386.25   | 0.02%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 23 165 REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -16041213 | PA      | $-16041213.33 | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                                | Republic of South Africa Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1979039611 | PA      | $95459094.40  | 1.46%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIELEU21 IRS CNY R F  1.57850 BMIELEU39 CCPNDF / Short: SMIELEU21 IRS CNY P V 00MCNRR BMIELEU47 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    472900000 | OU      | $494862.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3579694 | PA      | $3681104.07   | 0.06%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38381DZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63096016 | PA      | $3453970.59   | 0.05%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FORTEBANK JSC                                           | ForteBank JSC                                                                                                                              | CUSIP: 34955XAB7<br>LEI: 529900TH5WJ6KE8N8Z35 | Long             | DBT              | CORP              | KZ        |      9679000 | PA      | $9473838.50   | 0.15%             | 2030-02-04      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       183000 | PA      | $28365.00     | 0.00%             | 2038-03-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2023-H11 LLC                                                                                                                          | CUSIP: 12530KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7600000 | PA      | $7153373.08   | 0.11%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HB7B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14599473 | PA      | $15082379.77  | 0.23%             | 2053-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TUI AG                                                  | TUI AG                                                                                                                                     | CUSIP: 000000000<br>LEI: 529900SL2WSPV293B552 | Long             | DBT              | CORP              | DE        |      1200000 | PA      | $1457897.04   | 0.02%             | 2031-07-26      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |            1 | NC      | $-100786.82   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                           | Wolfspeed Inc                                                                                                                              | CUSIP: 977852AD4<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |      1695000 | PA      | $492397.50    | 0.01%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176964299 | PA      | $1891412.12   | 0.03%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J7EV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3243079 | PA      | $3333602.73   | 0.05%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                       | Expedia Group Inc                                                                                                                          | CUSIP: 30212PBE4<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1564746.11   | 0.02%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385ENX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29146565 | PA      | $29406689.38  | 0.45%             | 2065-03-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                 | Bryant Park Funding 2024-22 Ltd                                                                                                            | CUSIP: 11766CAJ3<br>LEI: 5493000N8L82QL1KEO96 | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $6022296.00   | 0.09%             | 2037-04-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                             | FIGRE Trust 2023-HE3                                                                                                                       | CUSIP: 31684CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4450119 | PA      | $4570136.74   | 0.07%             | 2053-11-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BTSJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       103345 | PA      | $1902.38      | 0.00%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Trust 2024-BHP                                                                                                                       | CUSIP: 05493WAC6<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $8019552.00   | 0.12%             | 2039-08-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FGD43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2128180 | PA      | $2230147.92   | 0.03%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      2115326 | PA      | $232685.86    | 0.00%             | 2022-10-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                                                                                        | CUSIP: 65339KCY4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      2060000 | PA      | $2309260.00   | 0.04%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383AZU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14958104 | PA      | $1613295.87   | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                                     | Shift4 Payments Inc                                                                                                                        | CUSIP: 82452JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2185000 | PA      | $2222145.00   | 0.03%             | 2027-08-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 000000000<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |       800000 | PA      | $803472.00    | 0.01%             | 2030-03-08      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Peru LNG Srl                                            | Peru LNG Srl                                                                                                                               | CUSIP: 000000000<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |      3146918 | PA      | $2848987.36   | 0.04%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2015-3 Ltd                                                                                                                        | CUSIP: 92913DAJ3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1858300.00   | 0.03%             | 2031-10-20      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                 | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                                                                          | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12000000 | PA      | $12139023.60  | 0.19%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                              | Dexcom Inc                                                                                                                                 | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |      1025000 | PA      | $931187.67    | 0.01%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      1314000 | PA      | $1330149.06   | 0.02%             | 2030-10-14      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                         | Nigeria OMO Bill                                                                                                                           | CUSIP: 000000000<br>LEI: 549300G1JG004Y3K8S97 | Long             | STIV             | NUSS              | NG        |   7058834000 | PA      | $3611115.54   | 0.06%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3248710 | PA      | $3279242.28   | 0.05%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $22060.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                        | PURCHASED USD / SOLD NZD                                                                                                                   | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |            1 | NC      | $-67756.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39325400 | PA      | $607467.32    | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                    | Samarco Mineracao SA                                                                                                                       | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |     14719147 | PA      | $13862482.34  | 0.21%             | 2031-06-30      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                            | Champs Trust 2024-1                                                                                                                        | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49689335 | PA      | $51154007.81  | 0.78%             | 2059-07-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB14 LLC                                                                                                                         | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      4500000 | PA      | $3879755.10   | 0.06%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |            1 | NC      | $488943.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797NN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     13500000 | PA      | $13455744.57  | 0.21%             | 2025-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |       433000 | PA      | $419023.19    | 0.01%             | 2027-01-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| OHI GROUP SA                                            | OHI Group SA                                                                                                                               | CUSIP: 000000000<br>LEI: 529900GW2J8DSYJHEH26 | Long             | DBT              | CORP              | LU        |      3933000 | PA      | $3976263.00   | 0.06%             | 2029-07-22      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |        32000 | PA      | $4720.00      | 0.00%             | 2025-04-21      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1374352 | PA      | $1414614.73   | 0.02%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A1FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       195418 | PA      | $2614.38      | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HDFC BANK LTD                                           | HDFC Bank Ltd                                                                                                                              | CUSIP: 000000000<br>LEI: 335800ZQ6I4E2JXENC50 | Long             | DBT              | CORP              | IN        |      4700000 | PA      | $4485844.97   | 0.07%             | 2026-08-25      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                                                                               | CUSIP: 62886HBD2<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      2300000 | PA      | $2178628.86   | 0.03%             | 2027-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383TS46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39325400 | PA      | $816108.22    | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -14120017 | PA      | $-14120017.18 | -0.22%            | 2026-01-03      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| OTP BANK NYRT                                           | OTP Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 529900W3MOO00A18X956 | Long             | DBT              | CORP              | HU        |      3264000 | PA      | $3462092.16   | 0.05%             | 2033-05-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| ENVISTA HOLDINGS CORP                                   | Envista Holdings Corp                                                                                                                      | CUSIP: 29415FAD6<br>LEI: 549300BX623VURJZ5269 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1455000.00   | 0.02%             | 2028-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-1682845.74  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Champs Trust                                            | Champs Trust 2024-2                                                                                                                        | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44484778 | PA      | $46314450.30  | 0.71%             | 2059-11-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-196365.89   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRIP.COM GROUP LTD                                      | Trip.com Group Ltd                                                                                                                         | CUSIP: 89677QAA5<br>LEI: 2549004RMYDSRQL4KW41 | Long             | DBT              | CORP              | KY        |      2430000 | PA      | $2747115.00   | 0.04%             | 2029-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ALPHA SERV & HLDGS                                      | Alpha Services and Holdings SA                                                                                                             | CUSIP: 000000000<br>LEI: 5299009N55YRQC69CN08 | Long             | DBT              | CORP              | GR        |      6007000 | PA      | $7060068.65   | 0.11%             | 2030-06-10      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-16828.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                    | New Mountain CLO 7 Ltd                                                                                                                     | CUSIP: 64754YAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2003144.00   | 0.03%             | 2038-03-31      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $11775.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AQR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1134120 | PA      | $96054.17     | 0.00%             | 2045-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVQYE7 IRS TWD R V 03MCPTW BMICVQYG2 CCPNDF / Short: BMICVQYE7 IRS TWD P F  1.36000 BMICVQYF4 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2056500000 | OU      | $381188.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3540325 | PA      | $3689403.05   | 0.06%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BILL HOLDINGS INC                                       | BILL Holdings Inc                                                                                                                          | CUSIP: 090043AE0<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |      1860000 | PA      | $1586580.00   | 0.02%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BJ6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       792273 | PA      | $586130.11    | 0.01%             | 2045-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H3EF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10624744 | PA      | $6566220.43   | 0.10%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD NGN                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $284138.65    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INSMED INC                                              | Insmed Inc                                                                                                                                 | CUSIP: 457669AB5<br>LEI: 529900Q55QAG41CCAC11 | Long             | DBT              | CORP              | US        |       435000 | PA      | $980320.97    | 0.02%             | 2028-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       219130 | PA      | $26843.43     | 0.00%             | 2025-09-30      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                     | Sandstone Peak Ltd                                                                                                                         | CUSIP: 800130AW6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3885896.00   | 0.06%             | 2034-10-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                                                    | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |     21140000 | PA      | $22506749.62  | 0.34%             | 2041-10-25      | Floating      | 11.85%                | No            |                  2 | On Loan: No      |
| CLOUDFLARE INC                                          | Cloudflare Inc                                                                                                                             | CUSIP: 18915MAC1<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |      1720000 | PA      | $1750530.00   | 0.03%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                      | Harvest US CLO 2024-2 Ltd                                                                                                                  | CUSIP: 41756YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3443412.00   | 0.05%             | 2037-10-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AQX45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3381272 | PA      | $228554.70    | 0.00%             | 2032-06-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| CANACOL ENERGY LTD                                      | Canacol Energy Ltd                                                                                                                         | CUSIP: 000000000<br>LEI: 549300X5MNRWPMSM9N14 | Long             | DBT              | CORP              | CA        |      5622000 | PA      | $2614624.66   | 0.04%             | 2028-11-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust               | FARM 2023-1 Mortgage Trust                                                                                                                 | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2520910 | PA      | $1868908.04   | 0.03%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383ACD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1840552 | PA      | $1095318.57   | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                           | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |            1 | NC      | $22513.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11184152 | PA      | $11870079.26  | 0.18%             | 2055-01-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AKMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       136742 | PA      | $138137.57    | 0.00%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                           | Boeing Co/The                                                                                                                              | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        27000 | NS      | $1657260.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TBC BANK JSC                                            | TBC Bank JSC                                                                                                                               | CUSIP: 000000000<br>LEI: 2138001MSA39Q44QTA18 | Long             | DBT              | CORP              | GE        |      6004000 | PA      | $5894860.85   | 0.09%             | 2029-07-30      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3279271 | PA      | $3363971.70   | 0.05%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                        | Ventas Realty LP                                                                                                                           | CUSIP: 92277GAZ0<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |       700000 | PA      | $922950.00    | 0.01%             | 2026-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHTC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39407005 | PA      | $41270902.71  | 0.63%             | 2054-12-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2219326 | PA      | $2260057.26   | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6147138 | PA      | $5964626.13   | 0.09%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae                                                                                                                                 | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93000000 | PA      | $94054424.70  | 1.44%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36202C3Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          209 | PA      | $213.47       | 0.00%             | 2028-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H3V58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1597057 | PA      | $1104480.54   | 0.02%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -11337115 | PA      | $-11337115.13 | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDNC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       287693 | PA      | $290628.74    | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2034580 | PA      | $2077018.42   | 0.03%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                               | Five9 Inc                                                                                                                                  | CUSIP: 338307AF8<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |      1065000 | PA      | $906564.49    | 0.01%             | 2029-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJC21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35416131 | PA      | $38991219.56  | 0.60%             | 2054-10-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| MV24 CAPITAL BV                                         | MV24 Capital BV                                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      6169476 | PA      | $5885441.01   | 0.09%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $109781.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EV INTRA FUND CASH RESERVE                              | EV INTRA FUND CASH RESERVE                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | ABS-MBS          | CORP              | US        |    -70000000 | PA      | $-70000000.00 | -1.07%            | 2040-12-31      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                    | Halseypoint Clo 5 Ltd                                                                                                                      | CUSIP: 406371AG9<br>LEI: 549300VBED2CGY7JQG51 | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3418313.50   | 0.05%             | 2035-01-30      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     22668000 | PA      | $4023570.00   | 0.06%             | 2027-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10000000 | PA      | $10268622.00  | 0.16%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                                                                             | CUSIP: 629377CG5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       505000 | PA      | $1347087.50   | 0.02%             | 2048-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HDMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15429022 | PA      | $15782306.15  | 0.24%             | 2054-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                      | MetroNet Infrastructure Issuer LLC                                                                                                         | CUSIP: 59170JAH1<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |      1375000 | PA      | $1423965.68   | 0.02%             | 2054-04-20      | Fixed         | 7.59%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID73TH2 IRS CLP R V 00MCLICP BMID73TK5 CCPNDFCAMARAPROMEDIO / Short: BMID73TH2 IRS CLP P F  5.07000 BMID73TJ8 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  13103000000 | OU      | $-150742.14   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC Issuer Trust-FMSR                                                                                                                      | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37000000 | PA      | $37504672.60  | 0.57%             | 2029-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy XXI CLO Ltd                                                                                                                         | CUSIP: 36320XAM6<br>LEI: 549300BW4412X0TZDD77 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3994936.00   | 0.06%             | 2031-04-20      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25202827 | PA      | $1158024.56   | 0.02%             | 2053-02-20      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384B4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11099115 | PA      | $11518614.93  | 0.18%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                            | Ares LXI CLO Ltd                                                                                                                           | CUSIP: 04019EAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3350000 | PA      | $3320613.80   | 0.05%             | 2037-04-20      | Floating      | 11.11%                | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR NOTE (CBT)JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         5042 | NC      | $798840.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                | Long: BMIE56VJ8 IRS USD R V 12MUSCPI BMIE56VL3 CCPINFLATIONZERO / Short: BMIE56VJ8 IRS USD P F  2.61750 BMIE56VK5 CCPINFLATIONZERO         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     43800000 | OU      | $-56401.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                         | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                                                                                         | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19000000 | PA      | $18948848.20  | 0.29%             | 2039-12-15      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2022-SFR1 Trust                                                                                                                       | CUSIP: 00179WAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000000 | PA      | $9590381.00   | 0.15%             | 2039-03-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14430677 | PA      | $2112079.61   | 0.03%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OKTA INC                                                | Okta Inc                                                                                                                                   | CUSIP: 679295AD7<br>LEI: 549300N8J06I8MRHU620 | Long             | DBT              | CORP              | US        |      1535000 | PA      | $1513510.00   | 0.02%             | 2025-09-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| XPLR INFRASTRUCTURE LP                                  | XPLR Infrastructure LP                                                                                                                     | CUSIP: 65341BAG1<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |      2480000 | PA      | $2337400.00   | 0.04%             | 2026-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                      | A&D Mortgage Trust 2024-NQM6                                                                                                               | CUSIP: 00249YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1440000 | PA      | $1456670.88   | 0.02%             | 2070-01-25      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383X2T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17831620 | PA      | $18512415.49  | 0.28%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10000000 | PA      | $10374245.00  | 0.16%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID73QF9 IRS CLP R V 00MCLICP BMID73QH5 CCPNDFCAMARAPROMEDIO / Short: BMID73QF9 IRS CLP P F  5.09000 BMID73QG7 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  13102000000 | OU      | $-172526.48   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIKISBREF                                               | Iceland Rikisbref                                                                                                                          | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |    285838940 | PA      | $2172909.39   | 0.03%             | 2031-01-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDWK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       170029 | PA      | $171764.41    | 0.00%             | 2063-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goddard Funding LLC                                     | Goddard Funding LLC                                                                                                                        | CUSIP: 380241AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6860000 | PA      | $6937651.77   | 0.11%             | 2052-10-30      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SMIEJXL22 IRS MXN R F  8.41950 BMIEJXL30 CCPOIS / Short: SMIEJXL22 IRS MXN P V 01MTIEF BMIEJXL48 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    763900000 | OU      | $1165301.50   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2073436 | PA      | $2150586.89   | 0.03%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17971735 | PA      | $19168842.31  | 0.29%             | 2055-01-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| KERNEL HOLDING SA                                       | Kernel Holding SA                                                                                                                          | CUSIP: 000000000<br>LEI: 5493003GR6L4DZOS2U12 | Long             | DBT              | CORP              | LU        |      3292000 | PA      | $2959934.81   | 0.05%             | 2027-10-27      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                | Republic of South Africa Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    230000000 | PA      | $12037427.26  | 0.18%             | 2038-03-31      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF1 LLC                                                                                                                         | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2700000 | PA      | $2549770.65   | 0.04%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7335893 | PA      | $7542471.20   | 0.12%             | 2055-03-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | Long: BMIDYNLX1 CDS USD R F  7.85000 / Short: BMIDYNLX1 CDS USD P V 01MEVENT                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     10973571 | OU      | $-60420.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                                                                              | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      2049000 | PA      | $2019289.50   | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $50315.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5107193 | PA      | $5219956.25   | 0.08%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO XVI Ltd                                                                                                        | CUSIP: 08181VBG9<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1960742.00   | 0.03%             | 2038-01-17      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                        | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |            1 | NC      | $-14121.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                | RRP GNMA2 30 YR REPO                                                                                                                       | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |    -15719806 | PA      | $-15719806.12 | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |    -14554524 | PA      | $-14554524.10 | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 05971PAD0<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      6647000 | PA      | $6551793.02   | 0.10%             | 2031-05-20      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383DUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35756550 | PA      | $5216923.57   | 0.08%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $1083.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                      | Harvest US CLO 2024-3 Ltd                                                                                                                  | CUSIP: 41756FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $999948.00    | 0.02%             | 2038-01-18      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| ProShares Short VIX Short-Term Futures ETF              | ProShares Short VIX Short-Term Futures ETF                                                                                                 | CUSIP: 74347W130<br>LEI: 549300Q4G1Z8K7HCIM83 | Long             | EC               | RF                | US        |       224200 | NS      | $8387322.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                             | Long: BMIEDP3Y5 CDS USD R F  1.00000 BMIEDP3Z2 CORPORATE / Short: BMIEDP3Y5 CDS USD P V 03MEVENT BMIEDP408 CORPORATE                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     17676000 | OU      | $-362244.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VineBrook Homes                                         | VINE 2023-SFR1 Trust                                                                                                                       | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15000000 | PA      | $14080002.00  | 0.22%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383XYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13410474 | PA      | $14569959.13  | 0.22%             | 2053-04-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                     | Avianca Midco 2 PLC                                                                                                                        | CUSIP: 05369YAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      8897431 | PA      | $8018809.69   | 0.12%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2912468 | PA      | $3012444.26   | 0.05%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 31393RTM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       114268 | PA      | $1163.95      | 0.00%             | 2033-06-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| BLACKLINE INC                                           | BlackLine Inc                                                                                                                              | CUSIP: 09239BAD1<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |      1955000 | PA      | $1876800.47   | 0.03%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                          | BAHA Trust 2024-MAR                                                                                                                        | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7822500 | PA      | $8041686.45   | 0.12%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB13 LLC                                                                                                                         | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $4286129.50   | 0.07%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -18635483 | PA      | $-18635482.57 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1277725 | PA      | $1298150.44   | 0.02%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140N8ZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1522372 | PA      | $1580159.82   | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nuveen Global High Income Fund                          | Nuveen Global High Income Fund                                                                                                             | CUSIP: 67075G103<br>LEI: 549300I4IAH7O6ZZEH53 | Long             | EC               | RF                | US        |        83400 | NS      | $1034160.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15784576 | PA      | $15588433.35  | 0.24%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $174644.86    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UZBEKISTAN INTL BOND                                    | Republic of Uzbekistan International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |   6450000000 | PA      | $507082.54    | 0.01%             | 2026-10-12      | Fixed         | 16.25%                | Yes           |                  2 | On Loan: No      |
| TINKOFF BK (TCS FINANCE)                                | Tinkoff Bank JSC Via TCS Finance Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 213800VIPIONINOCLD68 | Long             | DBT              | CORP              | IE        |      1226000 | PA      | $0.00         | 0.00%             | 2026-12-20      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BKU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9965184 | PA      | $1697627.96   | 0.03%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2023-RTL3                                                                                                             | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13700000 | PA      | $13842189.56  | 0.21%             | 2028-08-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B1SA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       432384 | PA      | $50744.38     | 0.00%             | 2042-12-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2021-SFR1 Trust                                                                                                                       | CUSIP: 00179DAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2250000 | PA      | $2071001.70   | 0.03%             | 2038-06-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                                      | Betony CLO 2 Ltd                                                                                                                           | CUSIP: 08763RAC4<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2835459.00   | 0.04%             | 2031-04-30      | Floating      | 10.19%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4567970 | PA      | $4680247.43   | 0.07%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD NGN                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $1600457.05   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVE2L3 IRS TWD R V 03MCPTW BMICVE2N9 CCPNDF / Short: BMICVE2L3 IRS TWD P F  1.32000 BMICVE2M1 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    633800000 | OU      | $149113.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B9LK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315122 | PA      | $318337.25    | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                                   | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8500000 | PA      | $8881400.95   | 0.14%             | 2041-10-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       440391 | PA      | $60553.76     | 0.00%             | 2027-09-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382LPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19245650 | PA      | $2360885.04   | 0.04%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-10INV                                                                                                         | CUSIP: 33851RBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6680237 | PA      | $5469139.85   | 0.08%             | 2051-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HDSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12686469 | PA      | $13037157.09  | 0.20%             | 2054-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382J3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46177390 | PA      | $5685226.34   | 0.09%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JSC KASPI.KZ                                            | JSC Kaspi.kz                                                                                                                               | CUSIP: 000000000<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |      5957000 | PA      | $5841727.76   | 0.09%             | 2030-03-26      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-613276.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384DLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6161819 | PA      | $6408185.65   | 0.10%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EGP / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | EG        |            1 | NC      | $326280.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       663790 | PA      | $81314.28     | 0.00%             | 2029-09-30      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-23018.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38380TU53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2444054 | PA      | $120894.41    | 0.00%             | 2047-08-20      | Floating      | 0.07%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-HB14 LLC                                                                                                                         | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1179769.00   | 0.02%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                                                                                         | CUSIP: 3142FR3N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8340080 | PA      | $1676910.77   | 0.03%             | 2050-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384MR90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3870736 | PA      | $3986067.18   | 0.06%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDH32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1063227 | PA      | $1098760.78   | 0.02%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12601414 | PA      | $845383.48    | 0.01%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       312569 | PA      | $38289.70     | 0.00%             | 2030-09-30      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| INTEGER HOLDINGS CORP                                   | Integer Holdings Corp                                                                                                                      | CUSIP: 45826HAC3<br>LEI: 549300SUD2ED5XG6X569 | Long             | DBT              | CORP              | US        |       905000 | PA      | $960205.00    | 0.01%             | 2030-03-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Coral-US Co-Borrower, LLC                               | Coral-US Co-Borrower LLC 2025 Term Loan B7                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2535002 | PA      | $2488826.94   | 0.04%             | 2032-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital Securities Ltd.                        | Long: BMIEQ8LH6 CDS USD R F  1.00000 BMIEQ8LJ2 CORPORATE / Short: BMIEQ8LH6 CDS USD P V 03MEVENT BMIEQ8LK9 CORPORATE                       | CUSIP: 000000000<br>LEI: K9WDOH4D2PYBSLSOB484 | N/A              | DCR              |  | GB        |      3190000 | OU      | $4358.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOTAL PLAY TELECOM                                      | Total Play Telecomunicaciones SA de CV                                                                                                     | CUSIP: 000000000<br>LEI: 4469000001BSAPAMOQ06 | Long             | DBT              | CORP              | MX        |       476000 | PA      | $425934.46    | 0.01%             | 2028-12-31      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396YQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       900753 | PA      | $90811.59     | 0.00%             | 2038-04-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1403844 | PA      | $1462518.78   | 0.02%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2025-I                                                                                                                     | CUSIP: 067927AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2923302.00   | 0.04%             | 2038-04-20      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140ARS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1169072 | PA      | $1171746.04   | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BGL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1415883 | PA      | $890853.59    | 0.01%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY OP LP                                    | Federal Realty OP LP                                                                                                                       | CUSIP: 313747BD8<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              |  | US        |      1395000 | PA      | $1392907.50   | 0.02%             | 2029-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384KR45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10835183 | PA      | $11218493.85  | 0.17%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                       | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAK7<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      3240000 | PA      | $3193857.70   | 0.05%             | 2031-12-03      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Trust 2024-BHP                                                                                                                       | CUSIP: 05493WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1694214.90   | 0.03%             | 2039-08-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust 2025-NQM1     | Santander Mortgage Asset Receivable Trust 2025-NQM1                                                                                        | CUSIP: 80262BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $3034589.10   | 0.05%             | 2065-01-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                                                                                       | CUSIP: 060505682<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |         3000 | NS      | $3510240.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137F3E59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1381522 | PA      | $287745.55    | 0.00%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HL6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17000000 | PA      | $17428751.90  | 0.27%             | 2055-05-25      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $152901.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 32 Ltd                                      | Elmwood CLO 32 Ltd                                                                                                                         | CUSIP: 29003TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2999580.00   | 0.05%             | 2037-10-18      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384WH81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6817664 | PA      | $7011878.11   | 0.11%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-6019.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B92XUMHV2 CDS USD R V 03MEVENT Z92XUMHW0 CCPSOVEREIGN / Short: B92XUMHV2 CDS USD P F  1.00000 Z92XUMHX8 CCPSOVEREIGN                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     12871000 | OU      | $1444438.19   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382M2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28208150 | PA      | $3480995.70   | 0.05%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP FHR 24 5414 REPO                                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -32046558 | PA      | $-32046558.36 | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |            1 | NC      | $-31438.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALNYLAM PHARMACEUTICALS                                 | Alnylam Pharmaceuticals Inc                                                                                                                | CUSIP: 02043QAB3<br>LEI: 529900S3ZI14OWRJII50 | Long             | DBT              | CORP              | US        |      1760000 | PA      | $2022175.64   | 0.03%             | 2027-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                 | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                                                                          | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15500000 | PA      | $15565375.90  | 0.24%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                             | LOANDEPOT GMSR Master Trust Seres 2018-GT1                                                                                                 | CUSIP: 53946TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24000000 | PA      | $23937254.40  | 0.37%             | 2025-10-16      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners Funding                          | Golub Capital Partners ABS Funding 2024-2                                                                                                  | CUSIP: 38180AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $5036415.00   | 0.08%             | 2034-07-25      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                | RRP GNR 23 63 REPO                                                                                                                         | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |    -12242385 | PA      | $-12242385.22 | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-1574544.66  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |            1 | NC      | $-51799.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                                           | CUSIP: 3133KQJL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1826318 | PA      | $1860692.77   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO LTD                                       | BATTALION CLO LTD                                                                                                                          | CUSIP: 07134FAG5<br>LEI: 5493006S0D1X0TK7V334 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5006645.00   | 0.08%             | 2037-03-13      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BASC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1110999 | PA      | $208796.23    | 0.00%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38380FYW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3687373 | PA      | $495683.91    | 0.01%             | 2047-07-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2023-H12 LLC                                                                                                                          | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11000000 | PA      | $10118511.70  | 0.16%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HAU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9368032 | PA      | $9966066.60   | 0.15%             | 2053-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384ELZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10548395 | PA      | $11894102.13  | 0.18%             | 2053-09-20      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                       | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 000000000<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      1318000 | PA      | $1196291.40   | 0.02%             | 2033-04-24      | Fixed         | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-6INV                                                                                                          | CUSIP: 33851GBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4059809 | PA      | $3286081.70   | 0.05%             | 2051-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13102125 | PA      | $14490575.84  | 0.22%             | 2055-02-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137F7ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16527326 | PA      | $621972.85    | 0.01%             | 2050-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8751183 | PA      | $9253412.58   | 0.14%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                  | RR 35 LTD                                                                                                                                  | CUSIP: 74988EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7500000 | PA      | $7350585.00   | 0.11%             | 2040-01-15      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor Abs Trust           | Center Street Lending Resi-Investor ABS Mortgage Trust 2024-RTL1                                                                           | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8450000 | PA      | $8573539.85   | 0.13%             | 2029-10-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383LCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9069879 | PA      | $10103104.57  | 0.15%             | 2052-11-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382URP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8016727 | PA      | $1358409.52   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797QA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      8150000 | PA      | $8079010.08   | 0.12%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FCGF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3849056 | PA      | $3959299.68   | 0.06%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMIE57159 IRS USD R V 12MUSCPI BMIE57175 CCPINFLATIONZERO / Short: BMIE57159 IRS USD P F  2.61400 BMIE57167 CCPINFLATIONZERO         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     40690000 | OU      | $-45601.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-40209.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-1576305.38  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LIMAK ISKENDERUN                                        | Limak Iskenderun Uluslararasi Liman Isletmeciligi AS                                                                                       | CUSIP: 000000000<br>LEI: 5299001DUZ9PI7TCRC47 | Long             | DBT              | CORP              | TR        |      3672692 | PA      | $3581128.56   | 0.05%             | 2036-07-10      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2015-1 Ltd                                                                                                               | CUSIP: 69689BAJ7<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1946636.00   | 0.03%             | 2034-05-21      | Floating      | 11.09%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BLY35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5766161 | PA      | $5785754.81   | 0.09%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | Long: BEV3FTUB2 IRS USD R V 00MCPURN CPURNSA INFL SWAP / Short: BEV3FTUB2 IRS USD P F  2.08500 INFL SWAP                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     19500000 | OU      | $2849962.05   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B1RS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5004104 | PA      | $5055167.26   | 0.08%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -22020120 | PA      | $-22020120.05 | -0.34%            | 2026-04-02      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                     | Avianca Midco 2 PLC                                                                                                                        | CUSIP: 05369YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      2515000 | PA      | $2199065.70   | 0.03%             | 2030-02-14      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B5XY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1778965 | PA      | $1758811.45   | 0.03%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                       | Vedanta Resources Finance II PLC                                                                                                           | CUSIP: 92243XAM3<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      1600000 | PA      | $1471218.35   | 0.02%             | 2030-07-24      | Fixed         | 9.47%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 14 Ltd                                                                                                                       | CUSIP: 05874XAW9<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2457222.50   | 0.04%             | 2037-07-20      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Allegany Park CLO, Ltd.                                 | Allegany Park CLO Ltd                                                                                                                      | CUSIP: 01714PAJ8<br>LEI: 549300D5KL0IVFLIND32 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $964565.00    | 0.01%             | 2035-01-20      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| ITTIHAD INTERNATIONAL                                   | Ittihad International Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 2549003ERUOB9GHDTJ15 | Long             | DBT              | CORP              | KY        |      5647000 | PA      | $5807692.44   | 0.09%             | 2028-11-09      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| LONGFOR HOLDINGS LTD                                    | Longfor Group Holdings Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 254900UJX27B2F1JYR13 | Long             | DBT              | CORP              | KY        |       340000 | PA      | $273167.63    | 0.00%             | 2029-09-16      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1948374 | PA      | $2032243.91   | 0.03%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385FPN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16666667 | PA      | $16903123.67  | 0.26%             | 2055-04-20      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 15 Ltd                                                                                                                       | CUSIP: 05875TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $6911268.00   | 0.11%             | 2038-01-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                     | Peru Government International Bonds                                                                                                        | CUSIP: 715638DU3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      2000000 | PA      | $1670200.00   | 0.03%             | 2034-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                                                                          | CUSIP: 14315MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1882242.00   | 0.03%             | 2031-07-27      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE B 1 EQUITY/EQUITY                           | MT LOGAN RE B 1 EQUITY/EQUITY                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |         7464 | NS      | $10586708.43  | 0.16%             |  |  |  | No            |                  3 | On Loan: No      |
| Carval CLO LTD                                          | CarVal CLO IV Ltd                                                                                                                          | CUSIP: 14687FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $993613.00    | 0.02%             | 2034-07-20      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| CHINA OIL & GAS GROUP                                   | China Oil & Gas Group Ltd                                                                                                                  | CUSIP: 000000000<br>LEI: 52990063CVI7GDV4JZ06 | Long             | DBT              | CORP              | BM        |      9952000 | PA      | $9577565.85   | 0.15%             | 2026-06-30      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FFSJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3410945 | PA      | $1967842.93   | 0.03%             | 2051-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384B3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000000 | PA      | $20685548.00  | 0.32%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF5 LLC                                                                                                                         | CUSIP: 69381JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4003000 | PA      | $3681710.01   | 0.06%             | 2054-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AUJD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        80648 | PA      | $9529.61      | 0.00%             | 2041-12-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                               | PG&E Corp                                                                                                                                  | CUSIP: 69331C306<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EP               | CORP              | US        |         8000 | NS      | $347920.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GA26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5444816 | PA      | $5618578.59   | 0.09%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED USD / SOLD CAD                                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |            1 | NC      | $-264343.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          109 | NC      | $-217098.16   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA3                                                                                                    | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |      6500000 | PA      | $7916044.50   | 0.12%             | 2033-10-25      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| PGIM Global High Yield Fund Inc                         | PGIM Global High Yield Fund Inc                                                                                                            | CUSIP: 69346J106<br>LEI: F0ATD1Y4J8CHDKHSLD09 | Long             | EC               | RF                | US        |       430326 | NS      | $5400591.30   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 24 46 REPO                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -30637337 | PA      | $-30637336.67 | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9436668 | PA      | $9652481.09   | 0.15%             | 2055-03-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140NP2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1129789 | PA      | $1172674.36   | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382WAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5351126 | PA      | $922625.08    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED CZK / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CZ        |            1 | NC      | $60659.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIEF2555 IRS THB R F  1.97000 BMIEF2563 CCPNDFOIS / Short: SMIEF2555 IRS THB P V 12MTHOR BMIEF2571 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1218100000 | OU      | $984945.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                   | ON Semiconductor Corp                                                                                                                      | CUSIP: 682189AU9<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      3625000 | PA      | $3141968.75   | 0.05%             | 2029-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| HAEMONETICS CORP                                        | Haemonetics Corp                                                                                                                           | CUSIP: 405024AC4<br>LEI: 549300ZEL6TXZS6F5F95 | Long             | DBT              | CORP              | US        |      1440000 | PA      | $1375920.00   | 0.02%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED MXN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |            1 | NC      | $4963626.93   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                | Indonesia Government International Bonds                                                                                                   | CUSIP: 455780DR4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      4000000 | PA      | $3959353.00   | 0.06%             | 2033-01-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2024-PJ1                                                                                               | CUSIP: 36268VBX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5672727 | PA      | $5847137.32   | 0.09%             | 2054-06-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B1QY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3053042 | PA      | $3049296.55   | 0.05%             | 2063-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BTYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41263094 | PA      | $44607426.60  | 0.68%             | 2054-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383WJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51120547 | PA      | $2990163.50   | 0.05%             | 2053-03-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-1255438.81  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                | Sinclair Television Group Inc                                                                                                              | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $990555.00    | 0.02%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                | Republic of South Africa Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    413920389 | PA      | $18454557.74  | 0.28%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1812000 | PA      | $1790172.65   | 0.03%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $17883.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H32N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2742636 | PA      | $1721053.71   | 0.03%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2014-1 Ltd                                                                                                                        | CUSIP: 92917EAA6<br>LEI: 549300ITL5IR423IJ183 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1935108.00   | 0.03%             | 2031-04-18      | Floating      | 10.53%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384J2U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10661138 | PA      | $10788770.87  | 0.17%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J8D70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7546355 | PA      | $7756996.28   | 0.12%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                         | Oaktree CLO 2019-4 Ltd                                                                                                                     | CUSIP: 67400JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2435980.00   | 0.04%             | 2037-07-20      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |       563000 | PA      | $557565.81    | 0.01%             | 2028-01-10      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |     -9782259 | PA      | $-9782258.53  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CORE SCIENTIFIC INC                                     | Core Scientific Inc                                                                                                                        | CUSIP: 21874AAE6<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |       310000 | PA      | $264200.16    | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-131375.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-15900.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                      | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      5641000 | PA      | $1507709.31   | 0.02%             | 2055-02-12      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| REAP HIDDEN HOLLOW                                      | REAP HIDDEN HOLLOW                                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7117779 | PA      | $7118447.70   | 0.11%             | 2043-02-16      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B7YD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       149565 | PA      | $153786.13    | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B66T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       516145 | PA      | $443939.04    | 0.01%             | 2043-11-15      | Floating      | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA6                                                                                                    | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |      6900000 | PA      | $7730181.09   | 0.12%             | 2050-12-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 42 Senior Loan Fund                                                                                                                 | CUSIP: 26245AAC1<br>LEI: 549300GTVIVSKVBYOB52 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1953020.00   | 0.03%             | 2037-07-15      | Floating      | 10.76%                | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge 2024-SFR1 Trust                                                                                                                     | CUSIP: 10806DAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000000 | PA      | $944214.40    | 0.01%             | 2040-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF3 LLC                                                                                                                         | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3563443.20   | 0.05%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AK7C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1079857 | PA      | $233804.99    | 0.00%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -216 | NC      | $-220643.72   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-15.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF3 LLC                                                                                                                         | CUSIP: 74390BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $925927.30    | 0.01%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383XXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000000 | PA      | $20278956.00  | 0.31%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-1615945.98  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FQ4S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1651874 | PA      | $1733640.16   | 0.03%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FLJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3779078 | PA      | $3879523.54   | 0.06%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura International PLC                                | BB CHILE CASH/BB REPO                                                                                                                      | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | Long             | RA               | CORP              | US        |      1860000 | PA      | $1860000.00   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384ABM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12346900 | PA      | $12808729.62  | 0.20%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GMJS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       486073 | PA      | $497813.31    | 0.01%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384YA27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       690312 | PA      | $690062.95    | 0.01%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GRUPO AEROMEXICO SAB                                    | Grupo Aeromexico SAB de CV                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |       973000 | PA      | $902701.14    | 0.01%             | 2031-11-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| BANK OF GEORGIA JSC                                     | Bank of Georgia JSC                                                                                                                        | CUSIP: 000000000<br>LEI: 549300RPLD8RXL49Z691 | Long             | DBT              | CORP              | GE        |      6866000 | PA      | $6765042.89   | 0.10%             | 2029-07-16      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81056000 | PA      | $84036412.91  | 1.29%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJYC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25376878 | PA      | $25940092.69  | 0.40%             | 2055-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-8790.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID7SBQ6 IRS CLP R V 00MCLICP BMID7SBS2 CCPNDFCAMARAPROMEDIO / Short: BMID7SBQ6 IRS CLP P F  5.12000 BMID7SBR4 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   6551305791 | OU      | $-102614.22   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                                    | STAR 2022-SFR3 Trust                                                                                                                       | CUSIP: 78474PAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000000 | PA      | $9944392.00   | 0.15%             | 2039-05-17      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Vale SA                                                 | Vale SA                                                                                                                                    | CUSIP: 91912E105<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |       384500 | NS      | $3579695.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                                      | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |            1 | NC      | $-106752.04   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3000000 | PA      | $3110676.30   | 0.05%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDH57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1483782 | PA      | $1559245.46   | 0.02%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5533434 | PA      | $5645395.08   | 0.09%             | 2064-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7028319 | PA      | $903277.10    | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FCGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3067552 | PA      | $3151577.54   | 0.05%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      3999900 | PA      | $589985.25    | 0.01%             | 2024-10-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCHN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4877879 | PA      | $5011152.33   | 0.08%             | 2054-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384MG68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12662662 | PA      | $13092173.16  | 0.20%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14267813 | PA      | $14401904.18  | 0.22%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCOLOMBIA SA                                          | Bancolombia SA                                                                                                                             | CUSIP: 05968LAN2<br>LEI: 54930052NWJRPNMP1W58 | Long             | DBT              | CORP              | CO        |      4523000 | PA      | $4698248.16   | 0.07%             | 2034-12-24      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                                                      | CUSIP: 25714RCZ5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    450030000 | PA      | $7642551.64   | 0.12%             | 2025-08-08      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GKQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       407321 | PA      | $419072.21    | 0.01%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                       | Post Holdings Inc                                                                                                                          | CUSIP: 737446AT1<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      1630000 | PA      | $1923512.13   | 0.03%             | 2027-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EUROPE ASIA INVST FIN BV                                | Europe Asia Investment Finance BV                                                                                                          | CUSIP: 000000000<br>LEI: 724500NLUHSB0SRCRO66 | Long             | DBT              | CORP              | NL        |   3683800000 | PA      | $283421.56    | 0.00%             | 2026-07-21      | Fixed         | 18.70%                | Yes           |                  3 | On Loan: No      |
| MKS INSTRUMENTS INC                                     | MKS Instruments Inc                                                                                                                        | CUSIP: 55306NAA2<br>LEI: 549300KEQATBHAGVF505 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1724862.94   | 0.03%             | 2030-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman CLO XVII Ltd                                                                                                              | CUSIP: 64129VAQ6<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1997758.00   | 0.03%             | 2038-07-22      | Floating      | 11.02%                | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | CARLYLE US CLO 2019-3 LTD                                                                                                                  | CUSIP: 14314KAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3008772.00   | 0.05%             | 2037-04-20      | Floating      | 11.61%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384C7X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2418021 | PA      | $2833984.71   | 0.04%             | 2053-10-20      | Floating      | 10.78%                | No            |                  2 | On Loan: No      |
| Brookhaven Park CLO Ltd                                 | Brookhaven Park CLO LTD                                                                                                                    | CUSIP: 113520AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3007458.00   | 0.05%             | 2037-04-19      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B1DK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       368761 | PA      | $6916.01      | 0.00%             | 2028-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383DSE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22265750 | PA      | $286878.60    | 0.00%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ICNQ Mortgage Trust                                     | ICNQ 2024-MF Mortgage Trust                                                                                                                | CUSIP: 450953AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11850000 | PA      | $11838904.85  | 0.18%             | 2034-12-10      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $14938.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVERSIONES Y REPRESENTA                                | IRSA Inversiones y Representaciones SA                                                                                                     | CUSIP: 450047AJ4<br>LEI: 549300QJINFBX83IZ837 | Long             | DBT              | CORP              | AR        |      4440000 | PA      | $4255740.00   | 0.07%             | 2035-03-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $296198.57    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                | Suriname Government International Bond                                                                                                     | CUSIP: 86886PAC6<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |      9406331 | PA      | $8686746.68   | 0.13%             | 2033-07-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy XXI CLO Ltd                                                                                                                         | CUSIP: 36320WAS5<br>LEI: 549300BW4412X0TZDD77 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5017690.00   | 0.08%             | 2031-04-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384YC25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1316261 | PA      | $1349742.49   | 0.02%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382JNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6500572 | PA      | $945270.21    | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                             | GOLD 100 OZ FUTR JUN25                                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          290 | NC      | $5239292.59   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| EDEN RE II LTD                                          | EDEN RE II LTD                                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       938482 | NS      | $839941.39    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AQWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       517690 | PA      | $12862.07     | 0.00%             | 2027-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $1026.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                                                                           | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |         3100 | NS      | $3602200.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31416BUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        54467 | PA      | $57702.36     | 0.00%             | 2032-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B9T61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1494503 | PA      | $1509753.04   | 0.02%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382KXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8298512 | PA      | $1033517.43   | 0.02%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B73P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       859885 | PA      | $868659.49    | 0.01%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDH40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       886990 | PA      | $917063.72    | 0.01%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PARSONS CORP                                            | Parsons Corp                                                                                                                               | CUSIP: 70202LAD4<br>LEI: 549300ZXH0VRBSEPX752 | Long             | DBT              | CORP              | US        |      1750000 | PA      | $1853250.00   | 0.03%             | 2029-03-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797NM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      4000000 | PA      | $3990111.81   | 0.06%             | 2025-05-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385EP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22583333 | PA      | $23235826.47  | 0.36%             | 2055-04-20      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Frigorifico Concepcion SA                               | Frigorifico Concepcion SA Term Loan B                                                                                                      | CUSIP: 000000000<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | LON              | CORP              | PY        |      5420000 | PA      | $5474200.00   | 0.08%             | 2026-12-08      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| ZORLU ENERJI ELEKTRIK                                   | Zorlu Enerji Elektrik Uretim AS                                                                                                            | CUSIP: 000000000<br>LEI: 7890005B5CSNL39OYO75 | Long             | DBT              | CORP              | TR        |      8838000 | PA      | $8115146.87   | 0.12%             | 2030-04-23      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 14 Ltd                                      | Elmwood CLO 14 Ltd                                                                                                                         | CUSIP: 29003WAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1996310.00   | 0.03%             | 2035-04-20      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382KUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10763921 | PA      | $1474675.48   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AMYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1917412 | PA      | $311058.95    | 0.00%             | 2045-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11482457 | PA      | $11866656.57  | 0.18%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY BROADBAND CORP                                  | Liberty Broadband Corp                                                                                                                     | CUSIP: 530307AE7<br>LEI: 549300MIX43II8JLN536 | Long             | DBT              | CORP              | US        |      1535000 | PA      | $1555010.60   | 0.02%             | 2053-03-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MICROSTRATEGY INC                                       | MicroStrategy Inc                                                                                                                          | CUSIP: 594972AR2<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |      2915000 | PA      | $2665476.00   | 0.04%             | 2029-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2022-SFR3 Trust                                                                                                       | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2500000 | PA      | $2501954.50   | 0.04%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                                      | CUSIP: 31335PL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        55579 | PA      | $55620.08     | 0.00%             | 2035-06-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon Capital CLO 2016-2 Ltd                                                                                                              | CUSIP: 13876WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $971271.00    | 0.01%             | 2031-10-15      | Floating      | 10.52%                | No            |                  2 | On Loan: No      |
| LIBERTY COSTA RICA SR SF                                | Liberty Costa Rica Senior Secured Finance                                                                                                  | CUSIP: 530371AA1<br>LEI: 549300W6O2PHTPCYQ751 | Long             | DBT              | CORP              | KY        |       434000 | PA      | $461170.57    | 0.01%             | 2031-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| WOW AIR EHF                                             | Wow Air hf                                                                                                                                 | CUSIP: 000000000<br>LEI: 549300LW49V05P8Z2H93 | Long             | DBT              | CORP              | IS        |       900000 | PA      | $0.00         | 0.00%             | 2099-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3848392 | PA      | $3955812.29   | 0.06%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon Capital CLO 2022-1 Ltd                                                                                                              | CUSIP: 13877JAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1900000 | PA      | $1870833.10   | 0.03%             | 2035-04-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                  | CenterPoint Energy Inc                                                                                                                     | CUSIP: 15189TBD8<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |       935000 | PA      | $1057017.50   | 0.02%             | 2026-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Orbia Advance Corp SAB de CV                            | Orbia Advance Corp SAB de CV                                                                                                               | CUSIP: 000000000<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | EC               | CORP              | MX        |      1917600 | NS      | $1294664.80   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CAJUN GLOBAL LLC                                        | Cajun Global LLC                                                                                                                           | CUSIP: 12803PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10400000 | PA      | $10451272.00  | 0.16%             | 2055-02-20      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | BMIELZVP2 EATON VANCE                                                                                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    100000000 | NC      | $663051.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                   | Hightower Holding LLC                                                                                                                      | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |      1330000 | PA      | $1361627.40   | 0.02%             | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BGUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3967954 | PA      | $2571454.25   | 0.04%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B2EJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1070334 | PA      | $87070.62     | 0.00%             | 2043-05-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618A9D51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       293957 | PA      | $296956.59    | 0.00%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                             | Datadog Inc                                                                                                                                | CUSIP: 23804LAB9<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |       853000 | PA      | $964671.18    | 0.01%             | 2025-06-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVJ240 IRS TWD R V 03MCPTW BMICVJ265 CCPNDF / Short: BMICVJ240 IRS TWD P F  1.37500 BMICVJ257 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    623800000 | OU      | $103951.06    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXII Ltd                                                                                                                         | CUSIP: 55954HBC5<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |      3500000 | PA      | $3477607.00   | 0.05%             | 2036-07-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                  | RR 38 Ltd                                                                                                                                  | CUSIP: 74988FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3900844.00   | 0.06%             | 2040-04-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust               | FARM 2022-1 Mortgage Trust                                                                                                                 | CUSIP: 30328CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2464287 | PA      | $1816074.83   | 0.03%             | 2052-01-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                                        | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    213404319 | NS      | $213404318.88 | 3.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384C6Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2428522 | PA      | $2517138.51   | 0.04%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2018-1 Ltd                                                                                                               | CUSIP: 69703PAS8<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |      4500000 | PA      | $4505337.00   | 0.07%             | 2037-04-18      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1703745 | PA      | $1777084.25   | 0.03%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       344000 | PA      | $44720.00     | 0.00%             | 2021-11-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J8X29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4482185 | PA      | $4569943.19   | 0.07%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AFPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1607936 | PA      | $45113.70     | 0.00%             | 2042-07-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B92XULBT5 CDS USD R V 03MEVENT Z92XULBU2 CCPCORPORATE / Short: B92XULBT5 CDS USD P F  1.00000 Z92XULBV0 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     23940000 | OU      | $557952.82    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ETSY INC                                                | Etsy Inc                                                                                                                                   | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |      2180000 | PA      | $1862265.00   | 0.03%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                                      | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195400000 | PA      | $194995463.38 | 2.99%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       217162 | PA      | $222204.24    | 0.00%             | 2050-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 36179YUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       993703 | PA      | $1018645.17   | 0.02%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384U6C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5100000 | PA      | $5265950.94   | 0.08%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393253998 | PA      | $5667026.06   | 0.09%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ZSCALER INC.                                            | Zscaler Inc                                                                                                                                | CUSIP: 98980GAB8<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |      1465000 | PA      | $2205521.49   | 0.03%             | 2025-07-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS IN                                | Halozyme Therapeutics Inc                                                                                                                  | CUSIP: 40637HAF6<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |      1655000 | PA      | $2071678.47   | 0.03%             | 2028-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ANEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       474500 | PA      | $86226.48     | 0.00%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                  | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                                               | CUSIP: 000000000<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      3220000 | PA      | $3346190.67   | 0.05%             | 2038-06-29      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | Long: BMIELEY19 IRS MYR R F  3.48500 BMIELEY27 NDF / Short: BMIELEY19 IRS MYR P V 03MKLIBO BMIELEY35 NDF                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | FR        |     93652000 | OU      | $201025.16    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                                | AES Panama Generation Holdings SRL                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |       784134 | PA      | $686254.58    | 0.01%             | 2030-05-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                            | CHAMPS TRUST 2024-3                                                                                                                        | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78607363 | PA      | $81414856.13  | 1.25%             | 2060-01-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| OHI GROUP SA                                            | OHI Group SA                                                                                                                               | CUSIP: 67712MAB5<br>LEI: 529900GW2J8DSYJHEH26 | Long             | DBT              | CORP              | LU        |     10990000 | PA      | $11110890.00  | 0.17%             | 2029-07-22      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| EVOLENT HEALTH INC                                      | Evolent Health Inc                                                                                                                         | CUSIP: 30050BAH4<br>LEI: 549300CZOCFHQ2BBTR11 | Long             | DBT              | CORP              | US        |      1155000 | PA      | $940170.00    | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383VXN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9451060 | PA      | $634037.61    | 0.01%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B5YV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       153664 | PA      | $156869.18    | 0.00%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382W5G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9140552 | PA      | $5354249.85   | 0.08%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bills                                                                                                                        | CUSIP: 912797LB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     13500000 | PA      | $13477897.53  | 0.21%             | 2025-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3504052 | PA      | $597148.91    | 0.01%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XXII Ltd                                                                                                              | CUSIP: 55819XBQ4<br>LEI: 254900YXXBTCF4NGD347 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2967909.00   | 0.05%             | 2038-01-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| OTP BANK NYRT                                           | OTP Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 529900W3MOO00A18X956 | Long             | DBT              | CORP              | HU        |      3364000 | PA      | $3395885.47   | 0.05%             | 2035-07-30      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $44188.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANT PRIVATE PLACEMENT                               | ALLIANT PRIVATE PLACEMENT                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      8000000 | NS      | $8027048.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica       | FRESB 2021-SB92 Mortgage Trust                                                                                                             | CUSIP: 30323PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21967431 | PA      | $594530.94    | 0.01%             | 2041-08-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BKJC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       709344 | PA      | $24369.23     | 0.00%             | 2044-09-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                     | Exact Sciences Corp                                                                                                                        | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |      2025000 | PA      | $1802250.00   | 0.03%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 682305000000 | PA      | $40800605.92  | 0.63%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIV Ltd                               | Marble Point Clo XXIV Ltd                                                                                                                  | CUSIP: 56607WAJ7<br>LEI: 549300110Z5KVNWF6X83 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2004162.00   | 0.03%             | 2035-04-20      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| INTERDIGITAL INC                                        | InterDigital Inc                                                                                                                           | CUSIP: 45867GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       455000 | PA      | $1189268.31   | 0.02%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                               | ORL Trust 2024-GLKS                                                                                                                        | CUSIP: 67120DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17550000 | PA      | $17279233.34  | 0.26%             | 2039-12-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B72W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2254979 | PA      | $2277989.42   | 0.03%             | 2063-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2023-H11 LLC                                                                                                                          | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2075000 | PA      | $1904632.13   | 0.03%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                      | Tricon Residential 2021-SFR1 Trust                                                                                                         | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3551000 | PA      | $3458460.58   | 0.05%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384YZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5268590 | PA      | $5268236.07   | 0.08%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2570839 | PA      | $395796.38    | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TULLOW OIL PLC                                          | Tullow Oil PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |      2891000 | PA      | $2288949.25   | 0.04%             | 2026-05-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| Radnor Re LTD                                           | Radnor RE 2022-1 Ltd                                                                                                                       | CUSIP: 75049XAA0<br>LEI: 254900E0VCENS5C16U77 | Long             | ABS-MBS          | CORP              | US        |       147114 | PA      | $147663.91    | 0.00%             | 2032-09-25      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396V5N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       830192 | PA      | $82424.58     | 0.00%             | 2037-06-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                             | FIGRE Trust 2024-HE2                                                                                                                       | CUSIP: 316927AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1612910 | PA      | $1639785.93   | 0.03%             | 2054-05-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                                          | Eden Re II Ltd                                                                                                                             | CUSIP: 27954JAA5<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |     37500000 | PA      | $35351250.00  | 0.54%             | 2030-03-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     11119600 | PA      | $1834734.00   | 0.03%             | 2028-05-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MBH BANK NYRT                                           | MBH Bank Nyrt                                                                                                                              | CUSIP: 000000000<br>LEI: 3H0Q3U74FVFED2SHZT16 | Long             | DBT              | CORP              | HU        |       417000 | PA      | $503152.76    | 0.01%             | 2027-10-19      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           22 | NC      | $-15749.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Harvest US CLO Ltd                                      | Harvest US CLO 2024-2 Ltd                                                                                                                  | CUSIP: 41756XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $989085.00    | 0.02%             | 2037-10-15      | Floating      | 11.16%                | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 16 Ltd                                                                                                                       | CUSIP: 05876KAS4<br>LEI: 2549003CI27B7ZDOMR46 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2918133.00   | 0.04%             | 2038-04-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2024-NPL1 Trust                                                                                                                        | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6123853 | PA      | $6141044.06   | 0.09%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Star Trust                                              | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2164000 | PA      | $2140725.10   | 0.03%             | 2038-04-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                   | INTOWN 2025-STAY Mortgage Trust                                                                                                            | CUSIP: 46117WAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13900000 | PA      | $13669444.87  | 0.21%             | 2042-03-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| ACCESS BANK PLC                                         | Access Bank PLC                                                                                                                            | CUSIP: 000000000<br>LEI: 029200328C3N9YI2D660 | Long             | DBT              | CORP              | NG        |      6696000 | PA      | $6458409.18   | 0.10%             | 2026-09-21      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383VQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42529771 | PA      | $2853169.25   | 0.04%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      1954200 | PA      | $254046.00    | 0.00%             | 2035-05-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL                                 | BioMarin Pharmaceutical Inc                                                                                                                | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $998042.50    | 0.02%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                     | Axon Enterprise Inc                                                                                                                        | CUSIP: 05464CAB7<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |       530000 | PA      | $1438393.10   | 0.02%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -17434730 | PA      | $-17434730.30 | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SMIEU0677 IRS BRL R F 13.52000 BMIEU0685 CCPNDFPREDISWAP / Short: SMIEU0677 IRS BRL P V 00MBRCDI BMIEU0693 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    131100000 | OU      | $56261.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOTAL PLAY TELECOM                                      | Total Play Telecomunicaciones SA de CV                                                                                                     | CUSIP: 89157PAD0<br>LEI: 4469000001BSAPAMOQ06 | Long             | DBT              | CORP              | MX        |      7761850 | PA      | $7017549.59   | 0.11%             | 2032-12-31      | Fixed         | 11.12%                | No            |                  2 | On Loan: No      |
| Tricon Residential                                      | Tricon Residential 2025-SFR1 Trust                                                                                                         | CUSIP: 895974AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $3997157.20   | 0.06%             | 2042-03-17      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618J7ET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8261264 | PA      | $8332656.25   | 0.13%             | 2064-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                                                  | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |       603000 | PA      | $594363.05    | 0.01%             | 2031-05-20      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382KWY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15553143 | PA      | $1958160.86   | 0.03%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $-7018.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BSTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1594905 | PA      | $293960.69    | 0.00%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP FNR 23 14 REPO                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -60920117 | PA      | $-60920116.86 | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 40 Ltd                                      | Elmwood CLO 40 Ltd                                                                                                                         | CUSIP: 29004GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1978540.00   | 0.03%             | 2038-03-22      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| Canacol Energy Ltd                                      | Canacol Energy Ltd                                                                                                                         | CUSIP: 134808302<br>LEI: 549300X5MNRWPMSM9N14 | Long             | EC               | CORP              | CA        |       147000 | NS      | $316690.85    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sixth Street CLO LTD.                                   | Sixth Street CLO XXII Ltd                                                                                                                  | CUSIP: 83011LAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1400000 | PA      | $1367692.20   | 0.02%             | 2038-04-21      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $128408.89    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       662187 | PA      | $81117.91     | 0.00%             | 2028-09-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| PALO ALTO NETWORKS                                      | Palo Alto Networks Inc                                                                                                                     | CUSIP: 697435AF2<br>LEI: 549300QXR2YVZV231H43 | Long             | DBT              | CORP              | US        |       580000 | PA      | $2167054.73   | 0.03%             | 2025-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $51969.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31385HJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       221314 | PA      | $217713.95    | 0.00%             | 2035-08-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED MXN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |            1 | NC      | $31757.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FGD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4724688 | PA      | $4851291.48   | 0.07%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPM Lending Facility                                    | JPM Lending Facility                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60225000 | PA      | $60624050.85  | 0.93%             | 2029-07-15      | Variable      | 11.32%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15000000 | PA      | $15349860.00  | 0.24%             | 2055-05-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                        | NJ 2025-WBRK                                                                                                                               | CUSIP: 65486BAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5875000 | PA      | $5310923.04   | 0.08%             | 2035-03-05      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds              | Philippines Government International Bonds                                                                                                 | CUSIP: 718286CW5<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      4000000 | PA      | $4003350.80   | 0.06%             | 2033-07-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HADD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20000000 | PA      | $20691362.00  | 0.32%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED MXN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | MX        |            1 | NC      | $848436.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD BRL                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $-2504498.32  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                           | HTA Group Ltd 2024 Term Loan Tranche A                                                                                                     | CUSIP: 000000000<br>LEI: 213800WEFU8O8X6EPU13 | Long             | LON              | CORP              | US        |       690000 | PA      | $690000.00    | 0.01%             | 2028-09-13      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED JPY / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |            1 | NC      | $819710.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46129988 | PA      | $2582430.51   | 0.04%             | 2063-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| NUTANIX INC                                             | Nutanix Inc                                                                                                                                | CUSIP: 67059NAJ7<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |      1825000 | PA      | $1974394.14   | 0.03%             | 2029-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FUBY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1130015 | PA      | $1158566.45   | 0.02%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BC7B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       116301 | PA      | $2001.17      | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA2                                                                                                    | CUSIP: 35564KDY2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |      6610000 | PA      | $7872008.96   | 0.12%             | 2033-08-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust 2024-3                                                                                                              | CUSIP: 81749JCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1526439 | PA      | $1397390.33   | 0.02%             | 2054-04-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRM FNT1 Excess LLC                                                                                                                        | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29189039 | PA      | $29469674.43  | 0.45%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBVG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6899061 | PA      | $7062166.41   | 0.11%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD CNH                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $274940.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2022-SFR1 Trust                                                                                                       | CUSIP: 74333YAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16150000 | PA      | $14750460.38  | 0.23%             | 2041-02-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HBGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8568001 | PA      | $8367490.20   | 0.13%             | 2054-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                 | Vale SA                                                                                                                                    | CUSIP: 000000000<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |     50226400 | PA      | $2832074.57   | 0.04%             | 2049-12-29      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10792151 | PA      | $11239849.19  | 0.17%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust 2014-C22                                                                                        | CUSIP: 46642NAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       895000 | PA      | $601977.00    | 0.01%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                                     | Elmwood CLO VI Ltd                                                                                                                         | CUSIP: 29001WAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $981056.00    | 0.02%             | 2037-07-18      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-17802.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORL TRUST                                               | ORL Trust 2024-GLKS                                                                                                                        | CUSIP: 67120DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8250000 | PA      | $8177674.73   | 0.13%             | 2039-12-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $36938.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385FCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16316667 | PA      | $16894978.63  | 0.26%             | 2055-04-20      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| EDEN RE II LTD UNSECURED                                | EDEN RE II LTD UNSECURED                                                                                                                   | CUSIP: 000000000<br>LEI: 549300LKX8PCP3SC3F42 | Long             | STIV             | CORP              | US        |       257143 | NS      | $583945.72    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2018-2 Ltd                                                                                                                        | CUSIP: 92917TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $903123.00    | 0.01%             | 2031-07-15      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCR87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34642041 | PA      | $34449189.09  | 0.53%             | 2054-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384ARZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4338509 | PA      | $4708410.88   | 0.07%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BTC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1752478 | PA      | $1736322.62   | 0.03%             | 2054-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO XII-B Ltd                                                                                                      | CUSIP: 081917AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $2968794.00   | 0.05%             | 2037-10-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 23 165 REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |     -9119819 | PA      | $-9119818.75  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD EGP                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-151705.05   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIMAK YENILENEBILIR                                     | Limak Yenilenebilir Enerji AS                                                                                                              | CUSIP: 53263MAA0<br>LEI: 789000WFO2FHRONHFN18 | Long             | DBT              | CORP              | TR        |      4902000 | PA      | $4774915.65   | 0.07%             | 2030-08-12      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396LLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       382280 | PA      | $39776.54     | 0.00%             | 2036-11-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America 2021-2 Trust                                                                                                      | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28915054 | PA      | $27740448.89  | 0.43%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140NQVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1526593 | PA      | $1584182.80   | 0.02%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BEV2YFUS6 IRS USD R V 00MCPI CPURNSA+0BPS CCP LCH INFL / Short: BEV2YFUS6 IRS USD P F  2.42000 INFL SWAP CCP LCH                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      4400000 | OU      | $229122.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5080667 | PA      | $5220305.79   | 0.08%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO XXXIV Ltd                                                                                                                 | CUSIP: 09631KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $992731.00    | 0.02%             | 2035-04-20      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| FINANCIERA INDEPENDENCIA                                | Financiera Independencia SAB de CV SOFOM ENR                                                                                               | CUSIP: 000000000<br>LEI: 4469000001BNUHDNSG66 | Long             | SN               | CORP              | MX        |      1121000 | PA      | $1118197.47   | 0.02%             | 2028-03-01      | Variable      | 10.00%                | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                       | EURO-BOBL FUTURE JUN25                                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -93 | NC      | $-86114.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BJD25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3913935 | PA      | $3970288.76   | 0.06%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                           | NYC Commercial Mortgage Trust 2025-3BP                                                                                                     | CUSIP: 67120UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12850000 | PA      | $12453410.45  | 0.19%             | 2042-02-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GX96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5000000 | PA      | $5239274.00   | 0.08%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                             | OCP CLO 2024-32 Ltd                                                                                                                        | CUSIP: 67570CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5000000 | PA      | $5011350.00   | 0.08%             | 2037-04-23      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                           | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |            1 | NC      | $-11931.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HBLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14441537 | PA      | $13798757.42  | 0.21%             | 2054-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396LLS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       573420 | PA      | $60131.69     | 0.00%             | 2036-11-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| PIH COMMUNICATION LLC                                   | PIH COMMUNICATION LLC TERM LOAN                                                                                                            | CUSIP: 000000000<br>LEI: 254900AHBU7ZVXHYQB65 | Long             | LON              | CORP              | US        |      4338750 | PA      | $4321395.00   | 0.07%             | 2029-12-12      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust              | Mercury Financial Credit Card Master Trust                                                                                                 | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12500000 | PA      | $12657301.25  | 0.19%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | Cascade Funding Mortgage Trust                                                                                                             | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300000 | PA      | $8086939.62   | 0.12%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BLKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       342617 | PA      | $12237.51     | 0.00%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EL PUERTO DE LIVERPOOL                                  | El Puerto de Liverpool SAB de CV                                                                                                           | CUSIP: 283837AD4<br>LEI: 4469000001BO4JEXZL32 | Long             | DBT              | CORP              | MX        |      5942000 | PA      | $5997143.78   | 0.09%             | 2037-01-22      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| MARA HOLDINGS INC                                       | MARA Holdings Inc                                                                                                                          | CUSIP: 565788AG1<br>LEI: 549300M8ISKPTX2W7F94 | Long             | DBT              | CORP              | US        |      1260000 | PA      | $998334.72    | 0.02%             | 2031-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Digicel International Finance Limited                   | Digicel International Finance Limited 2024 Term Loan                                                                                       | CUSIP: 000000000<br>LEI: 5493007V023VOEW4FK27 | Long             | LON              | CORP              | LC        |      7315079 | PA      | $7228870.64   | 0.11%             | 2027-05-25      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO 2016-3 Ltd                                                                                                                | CUSIP: 09628XAE0<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $888093.00    | 0.01%             | 2030-11-15      | Floating      | 10.54%                | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      4436000 | PA      | $2982100.60   | 0.05%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPM7306 ZL                                              | JPM7306 ZL                                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000000 | PA      | $51068070.00  | 0.78%             | 2055-04-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                                | Puma International Financing SA                                                                                                            | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |       228000 | PA      | $226486.65    | 0.00%             | 2029-04-25      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383CB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11767391 | PA      | $102476.32    | 0.00%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25497473 | PA      | $4162770.95   | 0.06%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HJG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35740392 | PA      | $39497400.95  | 0.61%             | 2055-02-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 24 108 REPO                                                                                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -38467634 | PA      | $-38467633.70 | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD OMR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-455.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       168660 | PA      | $171575.59    | 0.00%             | 2049-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       370210 | PA      | $381119.38    | 0.01%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 16 Ltd                                      | Elmwood CLO 16 Ltd                                                                                                                         | CUSIP: 29002UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2002608.00   | 0.03%             | 2037-04-20      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A1A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97072 | PA      | $1010.37      | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1360992 | PA      | $1401674.82   | 0.02%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Siminn HF                                               | Siminn HF                                                                                                                                  | CUSIP: 000000000<br>LEI: 254900X9GQZM6UGXYF10 | Long             | EC               | CORP              | IS        |      2023336 | NS      | $217919.55    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                    | CHNGE Mortgage Trust 2022-NQM1                                                                                                             | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1764000 | PA      | $1775861.14   | 0.03%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                             | FIGRE Trust 2023-HE2                                                                                                                       | CUSIP: 316925AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3912701 | PA      | $3990838.04   | 0.06%             | 2053-05-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382KAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12148637 | PA      | $1665356.97   | 0.03%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                      | FORESEA Holding SA                                                                                                                         | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      8629000 | PA      | $8213339.17   | 0.13%             | 2030-06-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HHC82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11017021 | PA      | $10909628.83  | 0.17%             | 2054-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B7Y36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       149069 | PA      | $150589.85    | 0.00%             | 2063-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SBA IO Trust                                            | SBAIO 2018-1 Trust                                                                                                                         | CUSIP: 78411DAA8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    119432454 | PA      | $6496635.85   | 0.10%             | 2044-03-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| AETHON UN/AETHIN UN FIN                                 | Aethon United BR LP / Aethon United Finance Corp                                                                                           | CUSIP: 00810GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       740000 | PA      | $743802.12    | 0.01%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED EUR / SOLD CZK                                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |            1 | NC      | $-168397.17   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B92XULF87 CDS USD R V 03MEVENT Z92XULF95 CCPCORPORATE / Short: B92XULF87 CDS USD P F  1.00000 Z92XULFA2 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     16567000 | OU      | $700115.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       257885 | PA      | $28689.71     | 0.00%             | 2032-09-30      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                             | PURCHASED USD / SOLD CNH                                                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |            1 | NC      | $56809.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                         | Oaktree CLO 2019-4 Ltd                                                                                                                     | CUSIP: 67402CBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3001908.00   | 0.05%             | 2037-07-20      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2021-2 Ltd                                                                                                               | CUSIP: 69702AAG8<br>LEI: 254900HTQ89UZTKY6247 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1970986.00   | 0.03%             | 2038-02-15      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2025-RCF1 LLC                                                                                                                         | CUSIP: 74390RAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $860831.40    | 0.01%             | 2055-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCP71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12476960 | PA      | $12816049.81  | 0.20%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        14387 | NC      | $22686004.17  | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384ACL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26280228 | PA      | $28552905.08  | 0.44%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2021-SFR1 Trust                                                                                                             | CUSIP: 33767WAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19405000 | PA      | $18725549.45  | 0.29%             | 2038-08-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     13367669 | PA      | $1584068.78   | 0.02%             | 2024-05-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UZBEK INDUSTRIAL AND CON                                | Uzbek Industrial and Construction Bank ATB                                                                                                 | CUSIP: 000000000<br>LEI: 213800C2NIFPFTXYIU69 | Long             | DBT              | CORP              | UZ        |      6224000 | PA      | $6387418.90   | 0.10%             | 2029-07-24      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| ALPHA HOLDING SA                                        | Alpha Holding SA de CV                                                                                                                     | CUSIP: 000000000<br>LEI: 549300R872G37EN6NT94 | Long             | DBT              | CORP              | MX        |      2653787 | PA      | $19903.41     | 0.00%             | 2025-02-10      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-263127.16   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-185329.14   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BMID6FY31 IRS CLP R V 00MCLICP BMID6FY56 CCPNDFCAMARAPROMEDIO / Short: BMID6FY31 IRS CLP P F  4.93500 BMID6FY49 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  15985000000 | OU      | $-4409.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HQWX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2496269 | PA      | $2528503.16   | 0.04%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2025-I                                                                                                                     | CUSIP: 067928AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3842156.00   | 0.06%             | 2038-04-20      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD MXN                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-976544.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurohold Bulgaria AD                                    | Eurohold Bulgaria AD                                                                                                                       | CUSIP: 000000000<br>LEI: 74780000J0W85Y204X80 | Long             | EC               | CORP              | BG        |      5122844 | NS      | $5525624.05   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIEK6SS5 IRS INR R F  6.01100 BMIEK6ST3 CCPNDFOIS / Short: SMIEK6SS5 IRS INR P V 06MMIBOR BMIEK6SU0 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   6157160000 | OU      | $1225401.19   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-202378.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                     | Global Payments Inc                                                                                                                        | CUSIP: 37940XAU6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      3720000 | PA      | $3314520.00   | 0.05%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                    | CHNGE Mortgage Trust 2022-4                                                                                                                | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8432805 | PA      | $8596091.53   | 0.13%             | 2057-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKMB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7097651 | PA      | $7272105.83   | 0.11%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004216 | PA      | $152694.41    | 0.00%             | 2044-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| CLEALCO ACUCAR E ALCOOL SA                              | Clealco Acucar E Alcool SA 2025 Term Loan                                                                                                  | CUSIP: 000000000<br>LEI: 549300PTHN698FP7LU33 | Long             | LON              | CORP              | BR        |      4447500 | PA      | $4447500.00   | 0.07%             | 2025-12-31      | Floating      | 16.29%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383GT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       295393 | PA      | $169313.27    | 0.00%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRIGORIFICO CONCEPCION                                  | Frigorifico Concepcion SA                                                                                                                  | CUSIP: 358648AA1<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | DBT              | CORP              | PY        |      2421000 | PA      | $1805121.62   | 0.03%             | 2028-07-21      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| GENER MEDIT/CENT TERMICA                                | Generacion Mediterranea SA / Central Termica Roca SA                                                                                       | CUSIP: 36875KAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |      2540525 | PA      | $2260051.04   | 0.03%             | 2031-11-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1631320 | PA      | $1676855.16   | 0.03%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                   | Petroleos del Peru SA                                                                                                                      | CUSIP: 000000000<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |      7522000 | PA      | $4640020.17   | 0.07%             | 2047-06-19      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC               | Retained Vantage Data Centers Issuer LLC                                                                                                   | CUSIP: 000000000<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |     10000000 | PA      | $7285900.91   | 0.11%             | 2048-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TIMES CHINA HLDG LTD                                    | Times China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 2549000KTINB9ZPZP710 | Long             | DBT              | CORP              | KY        |      1041000 | PA      | $40890.48     | 0.00%             | 2023-07-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384KGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4214000 | PA      | $4325911.62   | 0.07%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BVX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16721742 | PA      | $17217188.82  | 0.26%             | 2055-02-25      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BBMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23038404 | PA      | $23620509.86  | 0.36%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIGEL LUXEMBOURG SA                                    | Unigel Luxembourg SA                                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |       298712 | PA      | $273739.68    | 0.00%             | 2027-12-31      | Fixed         | 13.50%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384JQ56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2804439 | PA      | $2905703.93   | 0.04%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1366821 | PA      | $1425657.54   | 0.02%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                 | Akamai Technologies Inc                                                                                                                    | CUSIP: 00971TAN1<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      3885000 | PA      | $3772335.00   | 0.06%             | 2029-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382NXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10116452 | PA      | $1452222.78   | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUDK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11325742 | PA      | $12028815.08  | 0.18%             | 2055-01-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       696134 | PA      | $726099.98    | 0.01%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONFLUENT INC                                           | Confluent Inc                                                                                                                              | CUSIP: 20717MAB9<br>LEI: 254900MRZ83YWUV7SN74 | Long             | DBT              | CORP              | US        |      1005000 | PA      | $925102.50    | 0.01%             | 2027-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618G7AA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       608537 | PA      | $626278.12    | 0.01%             | 2054-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AMXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1960232 | PA      | $72437.83     | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIEQTG60 IRS KRW R F  2.51300 BMIEQTG78 CCPNDF / Short: SMIEQTG60 IRS KRW P V 03MKSDA BMIEQTG86 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  31037000000 | OU      | $283623.38    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GBVS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2101497 | PA      | $2184734.31   | 0.03%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                                | RRP GNMA2 30YR REPO                                                                                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |    -12721283 | PA      | $-12721282.93 | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 31396RKW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       847650 | PA      | $61921.19     | 0.00%             | 2036-05-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                 | Colombia Government International Bonds                                                                                                    | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      2000000 | PA      | $1952926.50   | 0.03%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CAMPOSOL SA                                             | Camposol SA                                                                                                                                | CUSIP: 000000000<br>LEI: 5493008B0STMH3JFSW17 | Long             | DBT              | CORP              | PE        |      3662000 | PA      | $3451274.24   | 0.05%             | 2027-02-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 18 Ltd                                                                                                                       | CUSIP: 05875XAE8<br>LEI: 2549009NE3IA6DAH4G62 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1961206.00   | 0.03%             | 2038-04-15      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384KQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24976230 | PA      | $25859801.60  | 0.40%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                        | Duke Energy Corp                                                                                                                           | CUSIP: 26441CBY0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $2073375.00   | 0.03%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRM FHT1 Excess Owner LLC                                                                                                                  | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56928328 | PA      | $57426587.49  | 0.88%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                     | Exact Sciences Corp                                                                                                                        | CUSIP: 30063PAD7<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |       720000 | PA      | $686160.00    | 0.01%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                   | Venezuela Government International Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      1812900 | PA      | $257205.19    | 0.00%             | 2019-10-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       633690 | PA      | $119235.86    | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6373656 | PA      | $730747.31    | 0.01%             | 2043-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES GROUP                                 | American Airlines Group Inc                                                                                                                | CUSIP: 02376RAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1840000 | PA      | $1841567.79   | 0.03%             | 2025-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A6AC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       653503 | PA      | $13493.80     | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                | Petroleos de Venezuela SA                                                                                                                  | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     60086639 | PA      | $7120266.73   | 0.11%             | 2026-11-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 31395T6U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       321147 | PA      | $26171.40     | 0.00%             | 2032-06-15      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF4 LLC                                                                                                                         | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3100000 | PA      | $2851756.34   | 0.04%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKLL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2761212 | PA      | $2838546.68   | 0.04%             | 2055-03-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BDHY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3234377 | PA      | $3348336.30   | 0.05%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618GWYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       555865 | PA      | $567733.31    | 0.01%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137B02M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1278005 | PA      | $84612.59     | 0.00%             | 2033-02-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| ECOBANK TRANSNATIONAL                                   | Ecobank Transnational Inc                                                                                                                  | CUSIP: 000000000<br>LEI: 213800USCE9Y111R4656 | Long             | DBT              | CORP              | TG        |      4216000 | PA      | $4346221.70   | 0.07%             | 2029-10-15      | Fixed         | 10.12%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136APHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2650018 | PA      | $511161.13    | 0.01%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds | Republic of South Africa Government International Bonds                                                                                    | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      6000000 | PA      | $5663947.50   | 0.09%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                   | Sixth Street CLO XV Ltd                                                                                                                    | CUSIP: 83012BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4992560.00   | 0.08%             | 2037-10-24      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| TOTAL PLAY TELECOM                                      | Total Play Telecomunicaciones SA de CV                                                                                                     | CUSIP: 89157PAA6<br>LEI: 4469000001BSAPAMOQ06 | Long             | DBT              | CORP              | MX        |      2349000 | PA      | $2101932.88   | 0.03%             | 2028-12-31      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38379CAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1999526 | PA      | $77000.35     | 0.00%             | 2042-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF GEORGIA JSC                                     | Bank of Georgia JSC                                                                                                                        | CUSIP: 062269AA3<br>LEI: 549300RPLD8RXL49Z691 | Long             | DBT              | CORP              | GE        |       200000 | PA      | $196958.13    | 0.00%             | 2029-07-16      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6350474 | PA      | $6629162.74   | 0.10%             | 2052-11-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 55 CLO Ltd                                                                                                                          | CUSIP: 26245QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $965139.00    | 0.01%             | 2031-04-15      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384AF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5477818 | PA      | $5674147.38   | 0.09%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO 2015-3 Ltd                                                                                                                | CUSIP: 09628MAG9<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1765126.00   | 0.03%             | 2031-04-20      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| RIKISBREF                                               | Iceland Rikisbref                                                                                                                          | CUSIP: 000000000<br>LEI: 549300K5GD3JPA2LLG98 | Long             | DBT              | NUSS              | IS        |   1468762777 | PA      | $8982181.07   | 0.14%             | 2042-02-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | CARLYLE US CLO 2019-4 LTD                                                                                                                  | CUSIP: 14317WAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1964630.00   | 0.03%             | 2035-04-15      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1773462 | PA      | $1822964.99   | 0.03%             | 2064-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONTROLADORA MABE SA CV                                 | Controladora Mabe SA de CV                                                                                                                 | CUSIP: 000000000<br>LEI: 549300TVP7EHIDGWNR87 | Long             | DBT              | CORP              | MX        |      2200000 | PA      | $1894200.00   | 0.03%             | 2028-10-23      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FCT20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1118248 | PA      | $233269.09    | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                     | STAR 2021-SFR2 Trust                                                                                                                       | CUSIP: 78474LAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000000 | PA      | $991688.50    | 0.02%             | 2039-01-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                | Microchip Technology Inc                                                                                                                   | CUSIP: 595017BF0<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |      2065000 | PA      | $1945818.94   | 0.03%             | 2030-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America 2021-2 Trust                                                                                                      | CUSIP: 43732VAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19201678 | PA      | $18499009.90  | 0.28%             | 2026-12-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sprite Limited                                          | Sprite 2021-1 Ltd                                                                                                                          | CUSIP: 85208UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8919481 | PA      | $8936082.19   | 0.14%             | 2046-11-15      | Fixed         | 8.84%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2021-SFR2 Trust                                                                                                             | CUSIP: 33767TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12501000 | PA      | $11836040.56  | 0.18%             | 2038-09-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | PURCHASED NZD / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NZ        |            1 | NC      | $56629.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10193709 | PA      | $10241727.83  | 0.16%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIVIAN AUTO INC                                         | Rivian Automotive Inc                                                                                                                      | CUSIP: 76954AAB9<br>LEI: 25490004LNKJ84MFYY24 | Long             | DBT              | CORP              | US        |      1985000 | PA      | $2032143.75   | 0.03%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383XB86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26583594 | PA      | $1745422.96   | 0.03%             | 2053-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ALU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       908867 | PA      | $177096.63    | 0.00%             | 2044-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-228082.09   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2022-1 Ltd                                                                                                               | CUSIP: 69689QAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2450000 | PA      | $2452491.65   | 0.04%             | 2035-04-20      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618ATL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1009514 | PA      | $1051077.10   | 0.02%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PT PAKUWON JATI                                         | Pakuwon Jati Tbk PT                                                                                                                        | CUSIP: 000000000<br>LEI: 254900GUXQAQB065PM73 | Long             | DBT              | CORP              | ID        |      1520000 | PA      | $1448126.04   | 0.02%             | 2028-04-29      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 31396KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       521802 | PA      | $64859.07     | 0.00%             | 2036-07-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                                     | Crown Point CLO 10 Ltd                                                                                                                     | CUSIP: 22846GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1972078.00   | 0.03%             | 2034-07-20      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA1                                                                                                    | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |     35825000 | PA      | $40118554.60  | 0.61%             | 2033-08-25      | Floating      | 9.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8554500 | PA      | $8857840.00   | 0.14%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF3 LLC                                                                                                                         | CUSIP: 74390BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1406454.00   | 0.02%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136AKKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       808288 | PA      | $54272.55     | 0.00%             | 2042-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: SEV501CF5 IRS USD R F  2.08500 2 CCPINFLATIONZERO / Short: SEV501CF5 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     19500000 | OU      | $-2845777.35  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF UZBEKIS                                | National Bank of Uzbekistan                                                                                                                | CUSIP: 000000000<br>LEI: 253400TZJ7T1YULTGN68 | Long             | DBT              | NUSS              | UZ        |      6927000 | PA      | $7090557.97   | 0.11%             | 2029-07-05      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| BANK OF CYPRUS HOLDINGS                                 | Bank of Cyprus Holdings PLC                                                                                                                | CUSIP: 000000000<br>LEI: 635400L14KNHZXPUZM19 | Long             | DBT              | CORP              | IE        |       213000 | PA      | $282509.51    | 0.00%             | 2028-12-21      | Fixed         | 11.88%                | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                  | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |            1 | NC      | $-23952.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust               | FARM 2024-1 Mortgage Trust                                                                                                                 | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2130962 | PA      | $1845094.55   | 0.03%             | 2053-10-01      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618HTAN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1200546 | PA      | $1224837.79   | 0.02%             | 2064-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ANH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1294420 | PA      | $189388.06    | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                         | NIGERIA OMO BILL                                                                                                                           | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  37923382000 | PA      | $19508179.36  | 0.30%             | 2026-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DAYFORCE INC                                            | Dayforce Inc                                                                                                                               | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |       955000 | PA      | $916800.00    | 0.01%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                      | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |            1 | NC      | $-25372.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           58 | NC      | $58876.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382LJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26320116 | PA      | $3618760.62   | 0.06%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38385EJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28431953 | PA      | $29185555.87  | 0.45%             | 2055-03-20      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                                    | STAR 2024-SFR4 Trust                                                                                                                       | CUSIP: 85520AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8576000 | PA      | $8629082.01   | 0.13%             | 2041-10-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: BMIEEYXF3 CDS USD R F  4.20000 / Short: BMIEEYXF3 CDS USD P V 01MEVENT                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     18332600 | OU      | $-102039.25   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMICVE0E1 IRS TWD R V 03MCPTW BMICVE0G6 CCPNDF / Short: BMICVE0E1 IRS TWD P F  1.27000 BMICVE0F8 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    623800000 | OU      | $185679.14    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TCW Ltd                                                 | TCW CLO 2024-3 Ltd                                                                                                                         | CUSIP: 87252WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2011466.00   | 0.03%             | 2037-10-20      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                          | RRP GNR 24 44 REPO                                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |    -24757917 | PA      | $-24757916.94 | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| OI SA                                                   | Oi SA                                                                                                                                      | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |      3421712 | PA      | $2788695.28   | 0.04%             | 2027-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy 31 Clo Ltd                                                                                                                          | CUSIP: 36320HAJ8<br>LEI: 549300XTB6S9P2VMDV60 | Long             | ABS-CBDO         | CORP              | KY        |      2300000 | PA      | $2309947.50   | 0.04%             | 2036-04-15      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                           | Golar LNG Ltd                                                                                                                              | CUSIP: 000000000<br>LEI: 213800C2VSFZG3EZLO34 | Long             | DBT              | CORP              | BM        |      4600000 | PA      | $4613570.00   | 0.07%             | 2029-09-19      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                             | Bear Mountain Park CLO Ltd                                                                                                                 | CUSIP: 07403KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1375000 | PA      | $1364563.75   | 0.02%             | 2037-07-15      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO VIII Ltd                                                                                                       | CUSIP: 08180YAE0<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4938710.00   | 0.08%             | 2031-01-20      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| WORKIVA INC                                             | Workiva Inc                                                                                                                                | CUSIP: 98139AAD7<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1888500.00   | 0.03%             | 2028-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137AXRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1069278 | PA      | $76786.64     | 0.00%             | 2033-01-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BPM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5035683 | PA      | $5172348.94   | 0.08%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32304124 | PA      | $33221761.12  | 0.51%             | 2054-06-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-7268.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEA LTD                                                 | Sea Ltd                                                                                                                                    | CUSIP: 81141RAF7<br>LEI: 529900OM6JLLW44YKI15 | Long             | DBT              | CORP              | KY        |      1290000 | PA      | $1959510.00   | 0.03%             | 2025-12-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |            1 | NC      | $-33919.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $2267.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NWD FINANCE (BVI) LTD                                   | NWD Finance BVI Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 25490076V8K09HMNCT88 | Long             | DBT              | CORP              | VG        |       312000 | PA      | $89655.17     | 0.00%             | 2025-05-30      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| ECOBANK TRANSNATIONAL                                   | Ecobank Transnational Inc                                                                                                                  | CUSIP: 27889PAC7<br>LEI: 213800USCE9Y111R4656 | Long             | DBT              | CORP              | TG        |      2475000 | PA      | $2561346.56   | 0.04%             | 2029-10-15      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| UZBEK ICB (DARYO FNC)                                   | Uzbek Industrial and Construction Bank ATB via Daryo Finance BV                                                                            | CUSIP: 000000000<br>LEI: 724500TIE8NNUYL1F445 | Long             | DBT              | CORP              | NL        |  97751435000 | PA      | $7576247.67   | 0.12%             | 2025-06-15      | Fixed         | 18.75%                | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3228517 | PA      | $3311906.76   | 0.05%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2024-III                                                                                                                   | CUSIP: 067940AA4<br>LEI: 254900XKSMU0WUDSV074 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1960626.00   | 0.03%             | 2037-07-20      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                         | Spotify USA Inc                                                                                                                            | CUSIP: 84921RAB6<br>LEI: 2138008WM218QBKRII94 | Long             | DBT              | CORP              | US        |      1895000 | PA      | $2444739.50   | 0.04%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BCV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64542 | PA      | $65200.35     | 0.00%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust 2022-MH1                                                                                                            | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2537563 | PA      | $2458789.25   | 0.04%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AKMP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       145744 | PA      | $148783.87    | 0.00%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers CLO 28 Ltd                                                                                                  | CUSIP: 64130QAL5<br>LEI: 5493008C5LSWKG3UQ392 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3009279.00   | 0.05%             | 2038-10-20      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BUPX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1350428 | PA      | $172509.86    | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 3128SGAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15877 | PA      | $15429.43     | 0.00%             | 2035-01-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383UAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19662700 | PA      | $210156.90    | 0.00%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ACM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2276177 | PA      | $147379.96    | 0.00%             | 2033-03-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13592335 | PA      | $915309.21    | 0.01%             | 2053-02-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HC2Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8535890 | PA      | $8765184.93   | 0.13%             | 2054-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BKM22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16849176 | PA      | $17516549.06  | 0.27%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA2                                                                                                    | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |      4425000 | PA      | $5086428.20   | 0.08%             | 2033-12-25      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |            1 | NC      | $754.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                      | Liberty Media Corp-Liberty Formula One                                                                                                     | CUSIP: 531229AQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1795000 | PA      | $2184350.27   | 0.03%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                                  | Pacira BioSciences Inc                                                                                                                     | CUSIP: 695127AG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       535000 | PA      | $544263.32    | 0.01%             | 2029-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMIERJVJ6 IRS USD R V 12MSOFR BMIERJVL1 CCPOIS / Short: BMIERJVJ6 IRS USD P F  3.75850 BMIERJVK3 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    122220000 | OU      | $1274351.27   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                   | Brazil Government International Bonds                                                                                                      | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      2000000 | PA      | $1964608.48   | 0.03%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                | Long: BMIE56K19 IRS USD R V 12MUSCPI BMIE56K35 CCPINFLATIONZERO / Short: BMIE56K19 IRS USD P F  2.60000 BMIE56K27 CCPINFLATIONZERO         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     61100000 | OU      | $-27666.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $1526.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRIGORIFICO CONCEPCION                                  | Frigorifico Concepcion SA                                                                                                                  | CUSIP: 000000000<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | DBT              | CORP              | PY        |      3143000 | PA      | $2343451.98   | 0.04%             | 2028-07-21      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                       | Kosmos Energy Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |      4667000 | PA      | $3988188.58   | 0.06%             | 2028-03-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| SAREPTA THERAPEUTICS INC                                | Sarepta Therapeutics Inc                                                                                                                   | CUSIP: 803607AD2<br>LEI: 549300IKDPIED8J8IG21 | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1511201.05   | 0.02%             | 2027-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD IDR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $147324.25    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384AGE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12433285 | PA      | $13678236.13  | 0.21%             | 2053-05-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |            1 | NC      | $-26757.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618B5Y97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101400 | PA      | $102434.47    | 0.00%             | 2063-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners Clo XXII Ltd                                                                                                       | CUSIP: 08186UAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2002216.00   | 0.03%             | 2035-04-20      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                                                   | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       771954 | PA      | $795417.15    | 0.01%             | 2039-09-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-8790.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD EUR                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-2116865.60  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136BUBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20889115 | PA      | $22852052.22  | 0.35%             | 2055-01-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Star Trust                                              | STAR 2021-SFR1 Trust                                                                                                                       | CUSIP: 85521DAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5644000 | PA      | $5563114.14   | 0.09%             | 2038-04-17      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $91270.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEBIO PHARMA INC                                    | Bridgebio Pharma Inc                                                                                                                       | CUSIP: 10806XAH5<br>LEI: 54930028YG89VTY2J114 | Long             | DBT              | CORP              | US        |       530000 | PA      | $581461.37    | 0.01%             | 2031-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32277267 | PA      | $32925949.48  | 0.50%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD SERIES 2022 1 C                          | EDEN RE II LTD SERIES 2022 1 C                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        27451 | NS      | $55472.94     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| LCH Ltd.                                                | Long: SMIET4UW9 IRS HUF R F  6.15000 BMIET4UX7 CCPVANILLA / Short: SMIET4UW9 IRS HUF P V 06MBUBOR BMIET4UY5 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  11710200000 | OU      | $375627.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                                    | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     53095000 | PA      | $61553166.24  | 0.94%             | 2034-01-25      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                | Rain City Mortgage Trust 2024-RTL1                                                                                                         | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7350000 | PA      | $7415648.73   | 0.11%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382P3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2285873 | PA      | $308548.03    | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AWLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3635968 | PA      | $3631507.36   | 0.06%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137H8CD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65208539 | PA      | $11582725.42  | 0.18%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38383CB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23298647 | PA      | $204240.60    | 0.00%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137BFVY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       536933 | PA      | $379022.55    | 0.01%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| POLARIS RENEWABLE ENERGY                                | Polaris Renewable Energy Inc                                                                                                               | CUSIP: 000000000<br>LEI: 254900IRAKXV4MM4QF30 | Long             | DBT              | CORP              | CA        |      3125000 | PA      | $3203468.75   | 0.05%             | 2029-12-03      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust                                    | STAR 2025-SFR5 Trust                                                                                                                       | CUSIP: 85520CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9670000 | PA      | $9781005.80   | 0.15%             | 2042-02-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137FCN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1409730 | PA      | $293613.91    | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED EUR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |            1 | NC      | $2409670.53   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| iShares Broad USD High Yield Corporate Bond ETF         | iShares Broad USD High Yield Corporate Bond ETF                                                                                            | CUSIP: 46435U853<br>LEI: 549300X7H67ZLUE3IZ46 | Long             | EC               | RF                | US        |      4454600 | NS      | $163038360.00 | 2.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT JUN25                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -568 | NC      | $-2209402.43  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ANPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2268452 | PA      | $366027.85    | 0.01%             | 2045-05-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2024-R1 LLC                                                                                                                           | CUSIP: 12530YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5770000 | PA      | $5271699.34   | 0.08%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618FHBS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       293788 | PA      | $301435.08    | 0.00%             | 2053-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                                         | CUSIP: 3137HCP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4246711 | PA      | $4355986.34   | 0.07%             | 2054-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2021-SFR1 Trust                                                                                                             | CUSIP: 33767WAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37071000 | PA      | $35624856.58  | 0.55%             | 2038-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                          | PURCHASED PEN / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |            1 | NC      | $-117685.70   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                       | Kosmos Energy Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |      6700000 | PA      | $5416885.68   | 0.08%             | 2031-10-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136ABCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2408182 | PA      | $269052.82    | 0.00%             | 2043-01-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| IONIS PHARMACEUTICALS IN                                | Ionis Pharmaceuticals Inc                                                                                                                  | CUSIP: 462222AF7<br>LEI: 549300SI4ZGLG0BLUZ92 | Long             | DBT              | CORP              | US        |      1870000 | PA      | $1828402.54   | 0.03%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618H9TR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5688288 | PA      | $5808548.18   | 0.09%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384AM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5776300 | PA      | $6240120.75   | 0.10%             | 2053-06-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384BL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7530519 | PA      | $7625600.48   | 0.12%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                 | DraftKings Holdings Inc                                                                                                                    | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |      1055000 | PA      | $930869.02    | 0.01%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12883430 | PA      | $13339388.76  | 0.20%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                   | Uber Technologies Inc                                                                                                                      | CUSIP: 90353TAM2<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      1990000 | PA      | $2617845.00   | 0.04%             | 2028-12-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                                | Sunac China Holdings Ltd                                                                                                                   | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       219662 | PA      | $30203.53     | 0.00%             | 2026-09-30      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2012-3 Ltd                                                                                            | CUSIP: 14312GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $971924.00    | 0.01%             | 2032-01-14      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618BA4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2705502 | PA      | $2702182.32   | 0.04%             | 2063-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25959808 | PA      | $1359959.07   | 0.02%             | 2063-04-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                                         | CUSIP: 3618AHWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       107257 | PA      | $110284.14    | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38382MGX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24656557 | PA      | $2900040.15   | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140QSBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5332798 | PA      | $5517310.46   | 0.08%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman Loan Advisers CLO 59 Ltd                                                                                                  | CUSIP: 640973AA1<br>LEI: 254900ERHU6RJHYSL744 | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1950006.00   | 0.03%             | 2039-01-23      | Floating      | 9.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                                          | CUSIP: 3136A9Z50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1772257 | PA      | $82172.65     | 0.00%             | 2042-11-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                          | FirstKey Homes 2021-SFR3 Trust                                                                                                             | CUSIP: 33768JAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9268000 | PA      | $8786669.20   | 0.13%             | 2038-12-17      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Octagon 60 Ltd                                          | Octagon 60 Ltd                                                                                                                             | CUSIP: 675936AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2504687.50   | 0.04%             | 2037-10-20      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED IDR / SOLD USD                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ID        |            1 | NC      | $-33262.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B92XUJTR5 CDS USD R V 03MEVENT Z92XUJTS3 CCPSOVEREIGN / Short: B92XUJTR5 CDS USD P F  1.00000 Z92XUJTT1 CCPSOVEREIGN                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      7651000 | OU      | $280675.94    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MT LOGAN RE                                             | MT LOGAN RE                                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        10000 | NS      | $23235607.00  | 0.36%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD SAR                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $-26282.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                          | ACM Auto Trust 2025-1                                                                                                                      | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000000 | PA      | $1010224.00   | 0.02%             | 2031-11-20      | Fixed         | 7.87%                 | No            |                  2 | On Loan: No      |
| Borr Drilling Ltd                                       | Borr Drilling Ltd                                                                                                                          | CUSIP: 000000000<br>LEI: 213800J2JPCTXLHQ5R78 | Long             | EC               | CORP              | BM        |       724100 | NS      | $1230970.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS DE TESORERIA                                      | Peru Government Bond                                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     27365000 | PA      | $7994394.79   | 0.12%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| GOLOMT BANK OF MONGOLIA                                 | Golomt Bank                                                                                                                                | CUSIP: 000000000<br>LEI: 549300QLH7BRA4EIZO16 | Long             | DBT              | CORP              | MN        |      2272000 | PA      | $2278628.79   | 0.03%             | 2027-05-20      | Fixed         | 11.00%                | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-258.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | PURCHASED USD / SOLD CNH                                                                                                                   | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |            1 | NC      | $175438.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | PURCHASED USD / SOLD PEN                                                                                                                   | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |            1 | NC      | $-21718.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-21

**Name of Applicant:** Global Opportunities Portfolio

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer