# EDGAR Filing Document

**Accession Number:** 0000916183
**File Stem:** 0000916183-25-000029
**Filing Date:** 2025-8
**Character Count:** 317380
**Document Hash:** fb9b118fe253d79cd7ecdd0d7eaaaf6e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000916183-25-000029.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0000916183-25-000029

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC.
- **CENTRAL INDEX KEY:** 0000916183

**ORGANIZATION NAME:**
- **EIN:** 943194834
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08216
- **FILM NUMBER:** 251277428

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC
- **DATE OF NAME CHANGE:** 20231205

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO LOW DURATION OPPORTUNITIES FUND
- **DATE OF NAME CHANGE:** 20231103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC.
- **DATE OF NAME CHANGE:** 20230918

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Strategic Income Fund, Inc.

- **b. Investment Company Act file number:** 811-08216

- **c. CIK number of Registrant:** 0000916183

- **d. LEI of Registrant:** SXMV4TXSOGB1HGOZUF63

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1055754704.99

**Total Liabilities:** $843627473.41

**Net Assets:** $212127231.58

**Delayed Delivery Securities:** $2177950.65

**Cash Not Reported:** $9738969.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4427.036600 | **1-Year:** 74007.284100 | **5-Year:** 45689.463800 | **10-Year:** 5026.261900 | **30-Year:** 1026.486100

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

- **3-Month:** 11558.364700 | **1-Year:** 11498.807900 | **5-Year:** 19489.253400 | **10-Year:** 4128.559400 | **30-Year:** 70.710300

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -8.45%               | 13.75%               | 9.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-38903.17               | $-1262184.23                               |
| Month 2  | $-1660046.65             | $1616698.83                                |
| Month 3  | $933402.13               | $4970924.13                                |

### Schedule of Portfolio Investments

| Name                                                                       | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                        | BOUGHT TRY SOLD USD 20250724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5805.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A     | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $655080.57    | 0.31%             | 2036-03-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                         | FANNIE MAE FNR 2008 67 ZW                                 | CUSIP: 31397MCX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46468 | PA      | $47356.01     | 0.02%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -757915 | PA      | $-772991.28   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 503901 FN 07/29 FIXED 6.5                       | CUSIP: 31383HX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $226.42       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780518 GN 06/26 FIXED 7                         | CUSIP: 36225ASF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $333.14       | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-118                                                 | FANNIE MAE FNR 2007 118 AC                                | CUSIP: 31396YCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1657074 | PA      | $1692407.02   | 0.80%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 662051 FN 08/32 FIXED 6.5                       | CUSIP: 31391BQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1799 | PA      | $1820.00      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625    | CUSIP: L4191BAB9<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    1710000 | PA      | $1496250.00   | 0.71%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE  | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    7832679 | PA      | $3335982.83   | 1.57%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                  | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2602500.00   | 1.23%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.6* 04/08/21-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-892026.67   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A        | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $983457.00    | 0.46%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  107400000 | PA      | $56847.70     | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 583498 FN 05/31 FIXED 8                         | CUSIP: 31387GGF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11832 | PA      | $11873.77     | 0.01%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                             | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A       | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2558000 | PA      | $2355020.14   | 1.11%             | 2039-12-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 748116 FN 10/33 FIXED 6.5                       | CUSIP: 31403GDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        652 | PA      | $678.70       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                        | ANTARES HOLDINGS SR UNSECURED 144A 10/29 6.35             | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1516039.08   | 0.71%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY JETBLUE AIRWAYS/LOYALTY           | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     827000 | PA      | $805089.69    | 0.38%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6            | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |     700139 | PA      | $656744.89    | 0.31%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                 | EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5       | CUSIP: 30162RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      42976 | PA      | $2148.80      | 0.00%             | 2026-04-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 04/30 6.875                     | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2860000 | PA      | $2836310.05   | 1.34%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4496                                                    | FREDDIE MAC FHR 4496 BI                                   | CUSIP: 3137BKS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5159184 | PA      | $282864.63    | 0.13%             | 2038-11-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F022683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -600000 | PA      | $-497663.63   | -0.23%            | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1           | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |     207627 | NS      | $92938.26     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-49090.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 775469 FN 05/34 FIXED 6.5                       | CUSIP: 31404QQW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3190 | PA      | $3310.65      | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL H00437 FG 12/36 FIXED 7                 | CUSIP: 3128MSPW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25303 | PA      | $25426.40     | 0.01%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 421282 GN 04/27 FIXED 7.5                       | CUSIP: 36206T6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24081 | PA      | $24142.34     | 0.01%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS LLC                                               | FORTITUDE GROUP HOLDINGS COMPANY GUAR 144A 04/30 6.25     | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |     600000 | PA      | $617546.61    | 0.29%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST-1996-1                                               | VENDEE MORTGAGE TRUST VENDE 1996 1 1Z                     | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2699 | PA      | $2708.54      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -979950 | PA      | $-982476.09   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $30589.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC  | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    5400545 | PA      | $1222917.40   | 0.58%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250814                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $197.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                               | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                      | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12245 | PA      | $12260.94     | 0.01%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                  | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    1166886 | PA      | $1033423.53   | 0.49%             | 2028-02-01      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 08/17/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $253585.27    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 995050 FN 09/37 FIXED VAR                       | CUSIP: 31416BL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146690 | PA      | $153855.64    | 0.07%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                           | NEW YORK NY NYC 02/55 FIXED 6.385                         | CUSIP: 64966SNJ1<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     630000 | PA      | $655605.47    | 0.31%             | 2055-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.70 7/12/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-578670.82   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $85984.62     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                               | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    1066208 | NS      | $1009111.38   | 0.48%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                   | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28336 | PA      | $26478.16     | 0.01%             | 2034-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 SE                                   | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13155073 | PA      | $1761468.22   | 0.83%             | 2048-04-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 752997 FN 10/33 FIXED 6.5                       | CUSIP: 31403MRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5778 | PA      | $5969.04      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR              | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     112380 | PA      | $73650.73     | 0.03%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C64701 FG 03/32 FIXED 7                 | CUSIP: 31287QGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1481 | PA      | $1563.85      | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2311830000 | PA      | $1212214.71   | 0.57%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 450811 FN 11/28 FIXED 6.5                       | CUSIP: 31380UYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $382.39       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | OIS CAD CAONREPO/3.5000 06/20/14-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-32029.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250828                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6639.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-86823.50    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                       | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1300000 | PA      | $1294377.50   | 0.61%             | 2030-12-19      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORPORATION                                                    | HF SINCLAIR CORP SR UNSECURED 01/35 6.25                  | CUSIP: 403949AS9<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1015722.13   | 0.48%             | 2035-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2018-4A                                             | MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A              | CUSIP: 57109G104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5800 | PA      | $309.47       | 0.00%             | 2028-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 2311                                                           | FREDDIE MAC FHR 2311 Z                                    | CUSIP: 3133TSDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11857 | PA      | $12183.19     | 0.01%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                      | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1300000 | PA      | $1278390.19   | 0.60%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-250523.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1            | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136711 | PA      | $128118.37    | 0.06%             | 2035-07-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 08/25 0.00000                               | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     319000 | PA      | $317129.71    | 0.15%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80397 FG 04/26 FIXED 7.5               | CUSIP: 31335GNN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $167.53       | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1363901.82   | 0.64%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875         | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     647045 | PA      | $572634.83    | 0.27%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                       | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25              | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101600.50    | 0.05%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020687<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1950000 | PA      | $-1544729.26  | -0.73%            | 2054-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253862 FN 04/31 FIXED 6.5                       | CUSIP: 31371J5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        131 | PA      | $130.82       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 632024 GN 12/36 FIXED 6                         | CUSIP: 36291MD59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3330 | PA      | $3438.51      | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                              | FANNIEMAE WHOLE LOAN FNW 2003 W4 2A                       | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5169 | PA      | $5224.23      | 0.00%             | 2042-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 190328 FN 12/32 FIXED VAR                       | CUSIP: 31368HLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47567 | PA      | $49432.42     | 0.02%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WOOD GUNDY REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6252983 | PA      | $-6267735.14  | -2.95%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-50                                                         | FANNIE MAE FNR 2001 50 BA                                 | CUSIP: 31392AJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9621 | PA      | $9733.19      | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $131505.08    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A             | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $974252.60    | 0.46%             | 2032-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 04/29 4.65          | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     300000 | PA      | $269805.96    | 0.13%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  258800000 | PA      | $266851120.48 | 125.80%           | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627597 GN 12/37 FIXED 6                         | CUSIP: 36291GGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4807 | PA      | $4963.35      | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MANUCHAR GROUP BV                                                          | MANUCHAR GROUP SARL MANUCHAR GROUP SARL                   | CUSIP: ACI2YDMC5<br>LEI: 2549001MEFA4EOZSYR71 | Long             | DBT              | CORP              | BE        |    1400000 | PA      | $1616148.29   | 0.76%             | 2032-07-07      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80453 FG 12/26 FIXED 7.5               | CUSIP: 31335GQE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $422.56       | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2004-AR2                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2004 AR2 5A2         | CUSIP: 36185N4A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13836 | PA      | $12483.78     | 0.01%             | 2034-08-19      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR             | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     172062 | PA      | $161725.64    | 0.08%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1           | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2860 | PA      | $2782.68      | 0.00%             | 2035-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                           | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A            | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124399 | PA      | $1187229.44   | 0.56%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01381 FG 04/32 FIXED 7                 | CUSIP: 31283HRA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2079 | PA      | $2195.85      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                          | CI FINANCIAL CORP CI FINANCIAL CORP                       | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    1300000 | PA      | $1372283.84   | 0.65%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-511765.10   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                                | SAMMONS FINANCIAL GROUP SAMMONS FINANCIAL GROUP           | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1073112.48   | 0.51%             | 2034-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL1779 GN 03/52 FIXED 4                         | CUSIP: 3617Y86Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36868 | PA      | $34618.89     | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2                  | CUSIP: 31392GVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17078 | PA      | $18098.01     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1199726 | PA      | $-1203741.75  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     783931 | PA      | $7633139.44   | 3.60%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-41                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 41 3A                | CUSIP: 31392MEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54154 | PA      | $49769.43     | 0.02%             | 2032-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 97 SB             | CUSIP: 38381YHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9137442 | PA      | $1144160.30   | 0.54%             | 2049-08-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 802206 FN 10/34 FIXED 6.5                       | CUSIP: 31405XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2067 | PA      | $2164.85      | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL3208 GN 03/52 FIXED 4                         | CUSIP: 3617YAR59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     763296 | PA      | $716949.86    | 0.34%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS B COMMON STOCK                    | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      52880 | NS      | $81900.54     | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BE3702 FN 06/47 FIXED 4                         | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5146 | PA      | $4876.78      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F070690<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $14671655.32  | 6.92%             | 2054-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST C 144A     | CUSIP: 46652DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $153510.00    | 0.07%             | 2036-12-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25122.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOEING CO/THE SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-6357.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 713298 FN 06/33 FIXED 6.5                       | CUSIP: 31401NNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $579.36       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-12886.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1829                                                           | FREDDIE MAC FHR 1829 ZB                                   | CUSIP: 3133T6J36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $37.74        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                        | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                  | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    1000000 | PA      | $806896.19    | 0.38%             | 2030-11-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 456586 GN 08/27 FIXED 7.5                       | CUSIP: 36208PF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4694 | PA      | $4713.49      | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-3                                          | MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 8A1             | CUSIP: 576434PB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13983 | PA      | $14614.76     | 0.01%             | 2034-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 453008 GN 01/28 FIXED 7.5                       | CUSIP: 36208KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6235 | PA      | $6264.15      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 498356 GN 02/29 FIXED 7.5                       | CUSIP: 36210PTM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6274 | PA      | $6302.24      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000          | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      37296 | PA      | $31267.88     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                              | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                    | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     597398 | PA      | $523039.44    | 0.25%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22320.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725246 FN 01/34 FIXED VAR                       | CUSIP: 31402CWF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10105 | PA      | $10443.35     | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 4 JUMBOS                                | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8100000 | PA      | $7532455.60   | 3.55%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 758557 FN 07/34 FIXED 6.5                       | CUSIP: 31403UWS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5036 | PA      | $5302.99      | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     950000 | PA      | $717999.33    | 0.34%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 410324 GN 03/26 FIXED 7.5                       | CUSIP: 36206FYV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3042 | PA      | $3046.12      | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE  | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     733943 | PA      | $181555.10    | 0.09%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 755211 FN 10/33 FIXED 6.5                       | CUSIP: 31403RAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1143 | PA      | $1194.56      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1898303.60  | -0.89%            | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                           | FREDDIE MAC FHR 2322 KZ                                   | CUSIP: 3133TUHY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173102 | PA      | $180517.13    | 0.09%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 448605 GN 07/27 FIXED 7.5                       | CUSIP: 36208EKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7557 | PA      | $7593.31      | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 07/34 6.375           | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1000664.75   | 0.47%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $4987915.64   | 2.35%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 491153 GN 01/29 FIXED 7.5                       | CUSIP: 36210FTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $398.14       | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                   | FANNIE MAE FNR 2022 3 YS                                  | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  106707182 | PA      | $1325228.51   | 0.62%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1939209 | PA      | $-1940258.33  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2325                                                           | FREDDIE MAC FHR 2325 ZN                                   | CUSIP: 3133TU5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84433 | PA      | $88311.44     | 0.04%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CZECHOSLOVAK GROUP AS                                                      | CZECHOSLOVAK GROUP CZECHOSLOVAK GROUP                     | CUSIP: ACI2Y9W17<br>LEI: 315700SWFD7G70AVG768 | Long             | DBT              | CORP              | CZ        |    1000000 | PA      | $1201303.52   | 0.57%             | 2031-01-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-70                                                         | FANNIE MAE FNR 2002 70 QZ                                 | CUSIP: 31392FCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     915610 | PA      | $943308.48    | 0.44%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2               | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23575 | PA      | $24660.25     | 0.01%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5           | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |  130400000 | PA      | $2230145.09   | 1.05%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.8* 8/07/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $523458.38    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC 2173 REMIC                                                           | FREDDIE MAC FHR 2173 Z                                    | CUSIP: 3133TLM62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10477 | PA      | $10750.32     | 0.01%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1875629 | PA      | $-1893486.98  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                         | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     121860 | NS      | $4117101.76   | 1.94%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AI9192 FN 08/41 FIXED 4.5                       | CUSIP: 3138APGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45780 | PA      | $45630.29     | 0.02%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T4                                            | FANNIEMAE GRANTOR TRUST FNGT 2002 T4 A1                   | CUSIP: 31392B6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141686 | PA      | $145869.19    | 0.07%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5065                                                    | FREDDIE MAC FHR 5065 IG                                   | CUSIP: 3137F8RG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     435521 | PA      | $71793.04     | 0.03%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 596686 FN 11/31 FIXED 6.5                       | CUSIP: 31387W2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1230 | PA      | $1258.61      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P50545 FG 03/37 FIXED 7.5               | CUSIP: 31288LTA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25987 | PA      | $26360.10     | 0.01%             | 2037-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 454351 GN 01/28 FIXED 7.5                       | CUSIP: 36208LWL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14990 | PA      | $15065.54     | 0.01%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447328 GN 06/27 FIXED 7.5                       | CUSIP: 36208C4M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $381.97       | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-410072.10   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CE4252 GN 10/51 FIXED 4                         | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3483226 | PA      | $3256973.67   | 1.54%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                  | STELLANTIS FIN US INC COMPANY GUAR 144A 03/35 6.45        | CUSIP: 85855CAL4<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1055576.98   | 0.50%             | 2035-03-18      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR GOVT                                                           | REPUBLIC OF EL SALVADOR SR UNSECURED 144A 11/54 9.65      | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     300000 | PA      | $309750.00    | 0.15%             | 2054-11-21      | Fixed         | 9.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AL0152 FN 06/40 FIXED VAR                       | CUSIP: 3138EGE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     612766 | PA      | $642732.85    | 0.30%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-64251.45    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743965 FN 11/33 FIXED 6.5                       | CUSIP: 31403BQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $386.82       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                       | BAYER US FINANCE LLC COMPANY GUAR 144A 01/29 6.25         | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     200000 | PA      | $210061.61    | 0.10%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R2                              | MORGAN STANLEY REREMIC TRUST MSRR 2014 R2 2B 144A         | CUSIP: 61763LBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6019964 | PA      | $5539014.92   | 2.61%             | 2046-12-26      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                        | INTESA SANPAOLO SPA 144A 11/33 7.2                        | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3600000 | PA      | $4044436.45   | 1.91%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-93                                                         | FANNIE MAE FNR 2002 93 A1                                 | CUSIP: 31392GRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137565 | PA      | $140663.23    | 0.07%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 771196 FN 04/34 FIXED 6.5                       | CUSIP: 31404KXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3744 | PA      | $3898.36      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                    | WINDSTREAM SERVICES/ESCR SR SECURED 144A 10/31 8.25       | CUSIP: 97381AAA0<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1048140.99   | 0.49%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 414844 GN 11/25 FIXED 7                         | CUSIP: 36206LZH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $139.85       | 0.00%             | 2025-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 750674 FN 10/33 FIXED 6.5                       | CUSIP: 31403J6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43536 | PA      | $44989.70     | 0.02%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                                    | BOOZ ALLEN HAMILTON INC COMPANY GUAR 04/35 5.95           | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     400000 | PA      | $406955.60    | 0.19%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 410289 GN 10/25 FIXED 7.5                       | CUSIP: 36206FXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $89.19        | 0.00%             | 2025-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | OIS CAD CAONREPO/3.5000 06/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $69714.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1509345 | PA      | $-1538851.54  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR UNSECURED 144A 02/29 6        | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $702000.00    | 0.33%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | INTELSAT EMERGENCE SA CALL EXP17FEB27                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        563 | NC      | $1351.70      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -943214 | PA      | $-953652.29   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.00 7/15/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1561523.26   | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                            | DETROIT MI DET 04/44 ADJUSTABLE VAR                       | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |    2982954 | PA      | $2334159.42   | 1.10%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6481.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 10/28 11.75      | CUSIP: 650929AA0<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $943750.00    | 0.44%             | 2028-10-15      | Fixed         | 11.75%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $445.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507      | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     464439 | PA      | $486506.44    | 0.23%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6              | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1416635 | PA      | $283947.66    | 0.13%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -838580 | PA      | $-847787.20   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-18                                            | FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A1                  | CUSIP: 31392GFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66607 | PA      | $68608.28     | 0.03%             | 2042-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 526692 FN 12/29 FIXED 6.5                       | CUSIP: 31384LC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $882.83       | 0.00%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 8/24/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $38318.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.7* 7/22/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1619163.27   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A          | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     576052 | PA      | $511553.63    | 0.24%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250711                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $302.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 489119 FN 07/29 FIXED 6.5                       | CUSIP: 31382QK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7467 | PA      | $7713.01      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1996-2                                               | VENDEE MORTGAGE TRUST VENDE 1996 2 1Z                     | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3659 | PA      | $3683.50      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                       | EDISON INTERNATIONAL SR UNSECURED 11/28 5.25              | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3267670.20   | 1.54%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4383046 | PA      | $-4393478.87  | -2.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                  | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR       | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    1000000 | NS      | $999380.00    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F070682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6800000 | PA      | $7133404.48   | 3.36%             | 2054-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-700.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                    | FREDDIE MAC FHR 5060 IP                                   | CUSIP: 3137F87A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7496394 | PA      | $1359997.37   | 0.64%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C00450 FG 03/26 FIXED 7.5               | CUSIP: 31292GQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.15        | 0.00%             | 2026-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -559820 | PA      | $-561831.04   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                                         | FANNIE MAE FNR 2020 38 QI                                 | CUSIP: 3136BADX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     511447 | PA      | $100554.84    | 0.05%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1801205 | PA      | $-1807171.35  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP JPM                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $445.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447529 GN 04/27 FIXED 7.5                       | CUSIP: 36208DEA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.04        | 0.00%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-126                                                 | FANNIE MAE FNR 2012 126 PI                                | CUSIP: 3136A9ZM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221804 | PA      | $18043.93     | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  JUN25 XCME 20250916                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -4 | NC      | $21752.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX MPC II SARL                                          | CHILE ELECTRICITY LUX GOVT GUARANT 144A 10/35 5.58        | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1026380 | PA      | $1028004.09   | 0.48%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2484                                                           | FREDDIE MAC FHR 2484 LZ                                   | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181499 | PA      | $190297.77    | 0.09%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BM2006 FN 01/48 FIXED VAR                       | CUSIP: 3140J6GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63663 | PA      | $60320.39     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C01086 FG 11/30 FIXED 7.5               | CUSIP: 31292HF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $80.80        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EQUINIX INC SNR S* SP GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $41449.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO S.? R.L. EO 01/31 6.25                 | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |    5074400 | PA      | $1762718.18   | 0.83%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD                                                         | ELMWOOD CLO II LTD. ELMW2 2019 2A SUB 144A                | CUSIP: 29001RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1212500 | PA      | $634657.37    | 0.30%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $698.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80401 FG 05/26 FIXED 7.5               | CUSIP: 31335GNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $52.87        | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5191547.22   | 2.45%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01324 FG 10/31 FIXED 7                 | CUSIP: 31283HPH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32332 | PA      | $34141.36     | 0.02%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4539266 | PA      | $-4587302.73  | -2.16%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 451387 GN 08/27 FIXED 7.5                       | CUSIP: 36208HNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $93.33        | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -765000 | PA      | $-769926.60   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 632082 GN 07/37 FIXED 6                         | CUSIP: 36291MFX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86552 | PA      | $89141.71     | 0.04%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-1                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1            | CUSIP: 22541SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42185 | PA      | $42321.55     | 0.02%             | 2034-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                    | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |    1650000 | PA      | $2260987.72   | 1.07%             | 2031-11-28      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-177503.94   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -709622 | PA      | $-714165.16   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1650718 | PA      | $-1655407.53  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 742880 FN 10/33 FIXED 6.5                       | CUSIP: 31403AJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $384.57       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                   | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128577 | PA      | $131273.07    | 0.06%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 412531 GN 12/25 FIXED 7                         | CUSIP: 36206JHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.25         | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 491193 FN 03/29 FIXED 6.5                       | CUSIP: 31382SUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $345.32       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                     | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     490902 | PA      | $532612.09    | 0.25%             | 2046-06-21      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 01/28 3.375              | CUSIP: ACI1FL2Y4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1100000 | PA      | $1088128.38   | 0.51%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-43                                                  | FANNIE MAE FNR 2012 43 SI                                 | CUSIP: 3136A5YM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200524 | PA      | $7696.12      | 0.00%             | 2041-07-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2290                                                           | FREDDIE MAC FHR 2290 ZD                                   | CUSIP: 3133TRE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19533 | PA      | $19886.35     | 0.01%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                 | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1016469 | PA      | $1106846.45   | 0.52%             | 2050-12-15      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR              | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1900000 | PA      | $2028599.39   | 0.96%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250811                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $141.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPERTIES LP                                                    | ESSENTIAL PROPER COMPANY GUAR 07/31 2.95                  | CUSIP: 29670VAA7<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |     100000 | PA      | $88988.85     | 0.04%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                    | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR       | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |    1300000 | NS      | $1306266.00   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BJ3524 FN 11/47 FIXED 4                         | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120589 | PA      | $114230.75    | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-89                                                         | FANNIE MAE FNR 2003 89 IO                                 | CUSIP: 31393TFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2113407 | PA      | $34790.91     | 0.02%             | 2042-12-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A               | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2977296.28   | 1.40%             | 2041-10-25      | Floating      | 11.81%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.25000 06/15/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5432192.64   | 2.56%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                       | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A        | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1992433 | PA      | $1314400.63   | 0.62%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                                    | FREDDIE MAC FHR 4324 IO                                   | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     522784 | PA      | $33650.85     | 0.02%             | 2036-08-15      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 747151 FN 10/33 FIXED 6.5                       | CUSIP: 31403FBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27371 | PA      | $28286.55     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 54 3A                | CUSIP: 31393LFM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229967 | PA      | $238957.00    | 0.11%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 503022 FN 06/29 FIXED 6.5                       | CUSIP: 31383GYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1235.22      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                  | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3558000 | PA      | $3235556.25   | 1.53%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250807                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $455.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 676839 FN 01/33 FIXED 6                         | CUSIP: 31391T4Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        958 | PA      | $973.17       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-385                                                        | FANNIEMAE STRIP FNS 385 7                                 | CUSIP: 3136FEW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     354163 | PA      | $50267.72     | 0.02%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 712129 FN 06/33 FIXED 6.5                       | CUSIP: 31401MEA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $78.64        | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-969927.71   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CK0445 GN 02/52 FIXED 4                         | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     236678 | PA      | $221699.13    | 0.10%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $64171.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6           | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40385 | PA      | $40039.13     | 0.02%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 739477 FN 10/33 FIXED 6.5                       | CUSIP: 31402VQ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7096 | PA      | $7370.05      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6         | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2738000 | PA      | $2567848.36   | 1.21%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735487 FN 04/35 FIXED VAR                       | CUSIP: 31402RCY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4672 | PA      | $4859.17      | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-47                                                         | FANNIE MAE FNR 2003 47 PE                                 | CUSIP: 31393CRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6704 | PA      | $6964.00      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A        | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1192803 | PA      | $1119136.13   | 0.53%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-153861.36   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 09/25 0.00000                               | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     411000 | PA      | $407520.07    | 0.19%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2186395.71   | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-73068.99    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                 | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196302 | PA      | $89887.06     | 0.04%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 557681 GN 08/31 FIXED 6                         | CUSIP: 36213LRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1162 | PA      | $1175.01      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 687742 FN 02/33 FIXED 6                         | CUSIP: 31400HBK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5983 | PA      | $6080.17      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-103200.88   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20G                                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1             | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2732 | PA      | $2756.75      | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C36310 FG 02/30 FIXED 7.5               | CUSIP: 31294DAK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.36         | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A              | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21956 | PA      | $22530.06     | 0.01%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL3                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4           | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4858 | PA      | $2246.52      | 0.00%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                       | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33788 | PA      | $30686.73     | 0.01%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 683892 FN 01/33 FIXED 6                         | CUSIP: 31400CXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13485 | PA      | $13957.40     | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-70                                                  | FANNIE MAE FNR 2019 70 IO                                 | CUSIP: 3136B7KN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72349 | PA      | $15069.99     | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-22                                                         | FANNIE MAE FNR 2005 22 DB                                 | CUSIP: 31394DBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     485290 | PA      | $500736.80    | 0.24%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 781808 FN 11/34 FIXED 6.5                       | CUSIP: 31404XR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19906 | PA      | $20563.48     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2             | CUSIP: 03072SDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39319 | PA      | $26478.31     | 0.01%             | 2032-11-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-3                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 1A3             | CUSIP: 57645DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180951 | PA      | $87547.29     | 0.04%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535951 FN 03/31 FIXED VAR                       | CUSIP: 31384WL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        494 | PA      | $499.58       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                    | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |    4756701 | PA      | $4528759.49   | 2.13%             | 2027-05-13      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                        | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       2103 | PA      | $830.76       | 0.00%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -273000 | PA      | $-277177.59   | -0.13%            | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000          | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      17064 | PA      | $16582.05     | 0.01%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL2                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4           | CUSIP: 7609856D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126020 | PA      | $118847.34    | 0.06%             | 2031-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                   | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2613988 | PA      | $3624230.20   | 1.71%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| BPCE SA                                                                    | BPCE SA 144A 01/36 VAR                                    | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     750000 | PA      | $788001.10    | 0.37%             | 2036-01-14      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                              | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1                  | CUSIP: 31393XFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     417338 | PA      | $430754.78    | 0.20%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 453009 GN 01/28 FIXED 7.5                       | CUSIP: 36208KGS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7052 | PA      | $7087.75      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM HOLDINGS II LLC                                                 | WINDSTREAM UNITS EQUITY                                   | CUSIP: 952YSX903<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      28052 | NS      | $549869.16    | 0.26%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 807392 FN 10/31 FIXED 8                         | CUSIP: 31406D7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5389 | PA      | $5457.64      | 0.00%             | 2031-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-5                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A       | CUSIP: 74928WBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5169117 | PA      | $1768570.22   | 0.83%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80408 FG 06/26 FIXED 7.5               | CUSIP: 31335GNZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $329.22       | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -195917 | PA      | $-196048.76   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 533972 GN 05/32 FIXED 6.5                       | CUSIP: 36212HFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75630 | PA      | $78064.79     | 0.04%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | US 10YR NOTE (CBT)SEP25 XCBT 20250919                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         18 | NC      | $35131.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BROOKS AUTOMATION (ALTAR BIDCO INC)                                        | ALTAR BIDCO, INC. 2ND LIEN TL                             | CUSIP: 02090CAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     700000 | PA      | $663250.00    | 0.31%             | 2030-02-01      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $685656.68    | 0.32%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-35                                                         | FANNIE MAE FNR 1997 35 PJ                                 | CUSIP: 31359PTR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.77        | 0.00%             | 2027-06-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AD0938 FN 04/39 FIXED VAR                       | CUSIP: 31418NBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243446 | PA      | $255335.61    | 0.12%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1996-46                                                         | FANNIE MAE FNR 1996 46 ZA                                 | CUSIP: 31359KF85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $71.12        | 0.00%             | 2026-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |    5052105 | PA      | $5861863.81   | 2.76%             | 2029-12-31      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250922                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $549.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                         | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $393932.60    | 0.19%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| TIERRA MOJADA LUXEMBOURG II SARL                                           | TIERRA MOJADA LUX II SRL SR SECURED 144A 12/40 5.75       | CUSIP: 30260LAA3<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |     688057 | PA      | $650588.47    | 0.31%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $8662.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | INTELSAT EMERGENCE SA COMMON STOCK                        | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      98888 | NS      | $3411317.98   | 1.61%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 445792 GN 01/28 FIXED 7.5                       | CUSIP: 36207YF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4550 | PA      | $4573.12      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. COMMON STOCK                                      | CUSIP: B7XL4M900<br>LEI: 254900YEMWCRRAGD4978 | Long             | EC               | CORP              | BR        |     358638 | NS      | $42246.29     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20250724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2221.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1            | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95749 | PA      | $95151.12     | 0.04%             | 2035-08-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 10/29 5.5                | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     391000 | PA      | $324530.00    | 0.15%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.30000 01/17/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13856.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A    | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3193437 | PA      | $469594.95    | 0.22%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 763726 FN 01/34 FIXED 6.5                       | CUSIP: 31404BPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $745.52       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/36 8.375                     | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      80000 | PA      | $77240.92     | 0.04%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5               | CUSIP: 31283HAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53978 | PA      | $54754.70     | 0.03%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 569853 FN 11/27 FLOATING VAR                    | CUSIP: 31386QBW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3631 | PA      | $3649.69      | 0.00%             | 2027-11-01      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 1998-1                                           | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A             | CUSIP: 36228FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239922 | PA      | $232709.85    | 0.11%             | 2027-09-19      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20250701                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-69.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                               | FANNIEMAE WHOLE LOAN FNW 2004 W8 3A                       | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103922 | PA      | $106688.55    | 0.05%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP BRC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-21194.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1815435.80   | 0.86%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T2                                            | FANNIEMAE GRANTOR TRUST FNGT 2004 T2 1A3                  | CUSIP: 31393X7C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44213 | PA      | $45691.13     | 0.02%             | 2043-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 701432 GN 11/38 FIXED 6                         | CUSIP: 36296UHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107445 | PA      | $111635.77    | 0.05%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-17055.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1258116 | PA      | $-1269828.02  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2536490 | PA      | $-2562501.33  | -1.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD BRL BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1652.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01227 FG 03/31 FIXED 7                 | CUSIP: 31283HLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4743 | PA      | $5008.77      | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B              | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    2000000 | PA      | $2314673.02   | 1.09%             | 2032-04-26      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A    | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $585000.00    | 0.28%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                   | F+G ANNUITIES + LIFE INC F+G ANNUITIES + LIFE INC         | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $722155.44    | 0.34%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1          | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66427 | PA      | $65956.90     | 0.03%             | 2034-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735394 FN 02/35 FIXED VAR                       | CUSIP: 31402Q7F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6496 | PA      | $6763.74      | 0.00%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4066                                                    | FREDDIE MAC FHR 4066 SA                                   | CUSIP: 3137ARFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1461352 | PA      | $119155.14    | 0.06%             | 2038-05-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 257030 FN 11/47 FIXED 6.5                       | CUSIP: 31371NPP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2756 | PA      | $2832.65      | 0.00%             | 2047-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                        | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85    | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      45000 | PA      | $40969.96     | 0.02%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 407308 FN 11/28 FIXED 6.5                       | CUSIP: 31378SNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1219 | PA      | $1259.31      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A     | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     987342 | PA      | $941107.63    | 0.44%             | 2035-02-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 918263 FN 04/37 FIXED 6.5                       | CUSIP: 31411YFC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105526 | PA      | $107124.48    | 0.05%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 06/15/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1141457.08  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY            | CUSIP: 38381YVM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21427852 | PA      | $2840866.00   | 1.34%             | 2049-09-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 888743 FN 01/36 FIXED VAR                       | CUSIP: 31410GLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181144 | PA      | $189834.81    | 0.09%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -200811 | PA      | $-201337.66   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                             | EPR PROPERTIES SR UNSECURED 08/29 3.75                    | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95259.16     | 0.04%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-498613.47   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-60                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A1               | CUSIP: 31394XVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1049344 | PA      | $1057503.82   | 0.50%             | 2044-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 353706 GN 06/27 FIXED 7.5                       | CUSIP: 36203M3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1257.64      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                        | SVB FINL TR                                               | CUSIP: 000000000<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |       5040 | NS      | $100.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 08/25/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $773492.69    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 704395 FN 05/33 FIXED 6.5                       | CUSIP: 31401CRQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9408 | PA      | $9720.08      | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1804783 | PA      | $-1828341.44  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                            | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1054 | NS      | $4216.00      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FREDDIE MAC 3871                                                           | FREDDIE MAC FHR 3871 JB                                   | CUSIP: 3137AC7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     891069 | PA      | $933903.03    | 0.44%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11396.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W3                                               | FANNIEMAE WHOLE LOAN FNW 2001 W3 A                        | CUSIP: 3139216F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133196 | PA      | $133403.71    | 0.06%             | 2041-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95          | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     900000 | PA      | $878348.88    | 0.41%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 677569 FN 02/33 FIXED 6                         | CUSIP: 31391UW68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1234 | PA      | $1255.30      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020489<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $91433.70     | 0.04%             | 2039-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                               | FANNIEMAE WHOLE LOAN FNW 2004 W2 5A                       | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22586 | PA      | $23421.89     | 0.01%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 763753 FN 01/34 FIXED 6.5                       | CUSIP: 31404BQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1759 | PA      | $1843.93      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A      | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     976280 | PA      | $965912.07    | 0.46%             | 2037-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250822                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3468.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL5027 GN 03/52 FIXED 4                         | CUSIP: 3617YCSQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180523 | PA      | $168557.93    | 0.08%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                                    | FREDDIE MAC FHR 4976 DI                                   | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     455500 | PA      | $87186.70     | 0.04%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 745112 FN 10/35 FIXED VAR                       | CUSIP: 31403CYH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5976 | PA      | $6319.07      | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2033210.02   | 0.96%             | 2033-05-20      | Floating      | 12.82%                | No            |                  3 | On Loan: No      |
| CACI INTERNATIONAL INC                                                     | CACI INTERNATIONAL INC COMPANY GUAR 144A 06/33 6.375      | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1136517.81   | 0.54%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -932156 | PA      | $-934502.38   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A            | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1278437 | PA      | $1276776.22   | 0.60%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253585 FN 01/31 FIXED 8                         | CUSIP: 31371JUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        910 | PA      | $949.54       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3272383 | PA      | $-3353061.76  | -1.58%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2040                                                           | FREDDIE MAC FHR 2040 PE                                   | CUSIP: 3133TD3W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3288 | PA      | $3345.75      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                   | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567103 | PA      | $424040.22    | 0.20%             | 2046-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1065707 | PA      | $-1085556.68  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1438055.23   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/20/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-485026.16   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5          | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     912000 | PA      | $994082.74    | 0.47%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A           | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $159101.70    | 0.08%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 783390 FN 09/34 FIXED 6.5                       | CUSIP: 31405AKB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $530.01       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $38549.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | TWITTER INC TERM LOAN                                     | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2687497 | PA      | $2628922.79   | 1.24%             | 2029-10-26      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A                | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31794 | PA      | $31930.88     | 0.02%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T16                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T16 A1                  | CUSIP: 31392FDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     650427 | PA      | $682441.98    | 0.32%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 QS                                   | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5420514 | PA      | $725151.42    | 0.34%             | 2049-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -766307 | PA      | $-770517.01   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2412222 | PA      | $-2418681.13  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1A7                     | CUSIP: 31393UNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     612146 | PA      | $609704.03    | 0.29%             | 2043-08-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-30214.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8977009 | PA      | $-9007934.50  | -4.25%            |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-1A                                             | MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A              | CUSIP: 57109X107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9871 | PA      | $9.09         | 0.00%             | 2029-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                  | CUSIP: 46583VAB5<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |     164888 | PA      | $170040.90    | 0.08%             | 2029-06-01      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                 | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1495 | PA      | $1548.13      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG         | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     600000 | PA      | $72000.00     | 0.03%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                 | FANNIE MAE FNR 2012 138 AI                                | CUSIP: 3136AAEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240443 | PA      | $4139.25      | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 422120 GN 05/27 FIXED 7.5                       | CUSIP: 36206U4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $131.13       | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A        | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1549399.68   | 0.73%             | 2036-12-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                   | F+G ANNUITIES + LIFE INC COMPANY GUAR 10/34 6.25          | CUSIP: 30190AAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $396261.16    | 0.19%             | 2034-10-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-958246.58   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -809625 | PA      | $-810454.68   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C62740 FG 01/32 FIXED 7                 | CUSIP: 31287NBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32678 | PA      | $34505.83     | 0.02%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253398 FN 08/30 FIXED 8                         | CUSIP: 31371JNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1710 | PA      | $1777.03      | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-479255.47   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                     | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |     906702 | NS      | $1.07         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2000-T6                                           | FANNIEMAE GRANTOR TRUST FNGT 2000 T6 A1                   | CUSIP: 31358SR37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26842 | PA      | $26963.01     | 0.01%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 455360 GN 12/27 FIXED 7.5                       | CUSIP: 36208MZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $52.86        | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15           | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $15250.00     | 0.01%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 569341 GN 04/32 FIXED 6.5                       | CUSIP: 36200QP24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52375 | PA      | $54140.54     | 0.03%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 543927 GN 02/31 FIXED 8.5                       | CUSIP: 36212UHC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4420 | PA      | $4574.59      | 0.00%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 10/25 0.00000                               | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     296000 | PA      | $292137.56    | 0.14%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 04/07/21-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1601565.33   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1             | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2120 | PA      | $2138.83      | 0.00%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                           | FREDDIE MAC FHR 2417 CJ                                   | CUSIP: 31339D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302076 | PA      | $313475.60    | 0.15%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                              | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A       | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $945380.70    | 0.45%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5       | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     600000 | PA      | $595476.00    | 0.28%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -285847 | PA      | $-289037.58   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -914939 | PA      | $-915907.07   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP BOA                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-19869.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 494976 FN 06/29 FIXED 6.5                       | CUSIP: 31382W2H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $211.00       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 699270 GN 09/38 FIXED 6                         | CUSIP: 36296R2B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65576 | PA      | $68029.14     | 0.03%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725851 FN 07/34 FIXED VAR                       | CUSIP: 31402DL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1988 | PA      | $1991.78      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875        | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     340000 | PA      | $367399.92    | 0.17%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-60                                                         | FANNIE MAE FNR 2001 60 ZM                                 | CUSIP: 3139213J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4824 | PA      | $5065.39      | 0.00%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3704.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G06623 FG 04/39 FIXED 5.5               | CUSIP: 3128M8VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     772662 | PA      | $793166.15    | 0.37%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743468 FN 10/33 FIXED 6.5                       | CUSIP: 31403A6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13360 | PA      | $13816.10     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     784000 | PA      | $729098.68    | 0.34%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C42995 FG 12/26 FIXED 8                 | CUSIP: 31298BKG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5285 | PA      | $5295.54      | 0.00%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A6           | CUSIP: 760985W72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     597554 | PA      | $281400.19    | 0.13%             | 2031-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MTGE LOAN TRUST 1998-5                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 5 A 144A             | CUSIP: 36228FAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9992 | PA      | $9886.37      | 0.00%             | 2027-06-19      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                     | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         69 | NS      | $43.43        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1            | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199764 | PA      | $504.68       | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                    | BPCE SA 05/35 1                                           | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     900000 | PA      | $922695.57    | 0.43%             | 2035-05-30      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C38907 FG 06/29 FIXED 6.5               | CUSIP: 31294F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1197.27      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250807                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4804.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A     | CUSIP: 46654PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2099727.08   | 0.99%             | 2038-11-15      | Floating      | 10.97%                | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3                   | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51266 | PA      | $52499.54     | 0.02%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    2333520 | PA      | $2196175.78   | 1.04%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                           | FREDDIE MAC FHR 2322 PZ                                   | CUSIP: 3133TUKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160455 | PA      | $167110.29    | 0.08%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                         | FANNIE MAE FNR 1997 79 PL                                 | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1185 | PA      | $1185.02      | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 729682 FN 08/33 FIXED 6.5                       | CUSIP: 31402HUF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20131 | PA      | $20806.89     | 0.01%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                         | FANNIE MAE FNR 2001 46 ZL                                 | CUSIP: 313920XQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33906 | PA      | $34757.47     | 0.02%             | 2031-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627727 GN 07/37 FIXED 6                         | CUSIP: 36291GLG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77006 | PA      | $79310.38     | 0.04%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     242293 | PA      | $202556.95    | 0.10%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                                  | FANNIE MAE FNR 2020 47 SA                                 | CUSIP: 3136BATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     802355 | PA      | $98664.46     | 0.05%             | 2050-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 463328 GN 01/28 FIXED 7.5                       | CUSIP: 36208WVV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1300 | PA      | $1302.82      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL 785735 FH 12/26 FLOATING VAR            | CUSIP: 31348SLQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        729 | PA      | $726.64       | 0.00%             | 2026-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5407.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 07/29 4                  | CUSIP: ACI1X3WT2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $396306.77    | 0.19%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -607762 | PA      | $-622424.77   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254463 FN 08/32 FIXED 6.5                       | CUSIP: 31371KTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1982 | PA      | $2049.43      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D72907 FG 07/26 FIXED 7.5               | CUSIP: 3128FEGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $170.71       | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2018-3                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A             | CUSIP: 33844P105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12000 | PA      | $0.00         | 0.00%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -291900 | PA      | $-299176.82   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 747686 FN 11/33 FIXED 6.5                       | CUSIP: 31403FUK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4402 | PA      | $4547.83      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                        | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487   | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1000000 | PA      | $834632.30    | 0.39%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 345096 GN 03/26 FIXED 7.5                       | CUSIP: 36203CKH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.64         | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                                   | FANNIE MAE FNR 2019 1 HS                                  | CUSIP: 3136B3ZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53587 | PA      | $5915.38      | 0.00%             | 2049-02-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 410253 GN 12/25 FIXED 7                         | CUSIP: 36206FWN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $23.66        | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                    | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                     | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92563 | PA      | $77280.63     | 0.04%             | 2036-07-26      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | AT&T INC SNR S* ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $8188.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $3620.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 888215 FN 12/36 FIXED VAR                       | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76809 | PA      | $80874.02     | 0.04%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR            | CUSIP: 31336SNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        363 | PA      | $369.26       | 0.00%             | 2033-04-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-92                                                         | FANNIE MAE FNR 2004 92 BW                                 | CUSIP: 31394BRK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137900 | PA      | $141642.57    | 0.07%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20250724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-276.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725034 FN 12/33 FIXED VAR                       | CUSIP: 31402CPT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3867 | PA      | $4001.49      | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                             | COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A               | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103880 | PA      | $103355.52    | 0.05%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A          | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60306 | PA      | $62259.92     | 0.03%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W1                                               | FANNIEMAE WHOLE LOAN FNW 2002 W1 2A                       | CUSIP: 31392CMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188863 | PA      | $189326.73    | 0.09%             | 2042-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5       | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1644739.63   | 0.78%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-3                                               | VENDEE MORTGAGE TRUST VENDE 2000 3 2Z                     | CUSIP: 911760PM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     474833 | PA      | $498170.83    | 0.23%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A3 144A        | CUSIP: 62951MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1159359 | PA      | $1071436.42   | 0.51%             | 2034-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 702022 FN 05/33 FIXED 6.5                       | CUSIP: 31400Y4F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        931 | PA      | $961.73       | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 616975 GN 02/36 FIXED 6                         | CUSIP: 36290TMY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4530 | PA      | $4745.70      | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C37903 FG 04/30 FIXED 7.5               | CUSIP: 31294EX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.43        | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040685<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1766555.17  | -0.83%            | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2230                                                     | FREDDIE MAC FHR 2230 Z                                    | CUSIP: 3133TNSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7375 | PA      | $7652.72      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5       | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    3000000 | PA      | $1044855.00   | 0.49%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                             | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        219 | NS      | $513.49       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2441402 | PA      | $-3358723.50  | -1.58%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A           | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2178708.84   | 1.03%             | 2035-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/20/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31944.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 430603 GN 02/28 FIXED 7.5                       | CUSIP: 36207FKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1000 | PA      | $1004.06      | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                   | ALTICE FRANCE HOLDING SA SR SECURED REGS 05/27 8          | CUSIP: BL5F4LII6<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    1100000 | PA      | $467116.33    | 0.22%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-10482.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                | ILLINOIS ST ILS 04/35 FIXED 6.725                         | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      11538 | PA      | $12210.00     | 0.01%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                                           | FREDDIE MAC FHR 2457 PE                                   | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38396 | PA      | $40154.51     | 0.02%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1             | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      32812 | PA      | $33130.77     | 0.02%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                                        | SVB FINL TR COMMON STOCK UNIT                             | CUSIP: 000000000<br>LEI: 549300D2KJ20JMXE7542 | Long             | EP               | CORP              | US        |       1202 | NS      | $637060.00    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 323328 FN 09/28 FLOATING VAR                    | CUSIP: 31374TD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1111 | PA      | $1115.10      | 0.00%             | 2028-09-01      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 255071 FN 01/34 FIXED 6.5                       | CUSIP: 31371LJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2796 | PA      | $2928.88      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535283 FN 05/30 FIXED VAR                       | CUSIP: 31384VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2758 | PA      | $2868.36      | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 496602 GN 04/29 FIXED 6                         | CUSIP: 36210MU33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2926 | PA      | $2963.68      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 257154 FN 03/28 FIXED 4.5                       | CUSIP: 31371NTK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4063 | PA      | $4046.80      | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                             | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |   17707907 | NS      | $20.86        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -378100 | PA      | $-387262.20   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 681706 GN 12/38 FIXED 6                         | CUSIP: 36295VKT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1822 | PA      | $1901.54      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 398916 FN 09/27 FIXED 8                         | CUSIP: 31378HDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        131 | PA      | $131.06       | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV5            | CUSIP: 126673JX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2296723 | PA      | $1909496.26   | 0.90%             | 2034-11-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                          | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A3 144A        | CUSIP: 57643QBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1060392 | PA      | $714706.77    | 0.34%             | 2035-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3869320 | PA      | $-3913107.81  | -1.84%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  DEC25 XCME 20260317                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -5 | NC      | $18837.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                       | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1094236 | PA      | $916477.55    | 0.43%             | 2029-07-06      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO260626                                | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1706060000 | PA      | $895972.25    | 0.42%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 791804 FN 08/34 FIXED 6.5                       | CUSIP: 31405KU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7366 | PA      | $7608.88      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $479733.21    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                    | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      68102 | NS      | $119859.52    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2005-PW1                                       | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 C          | CUSIP: 07387BEG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128667 | PA      | $126490.53    | 0.06%             | 2040-12-11      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A              | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6816 | PA      | $868.43       | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $293741.39    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-7                                                          | FANNIE MAE FNR 2005 7 ZY                                  | CUSIP: 31394B5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16032 | PA      | $16581.85     | 0.01%             | 2035-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-59                                                  | FANNIE MAE FNR 2019 59 HS                                 | CUSIP: 3136B6MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5389354 | PA      | $716324.88    | 0.34%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -610509 | PA      | $-621045.49   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-79                                                         | FANNIE MAE FNR 2001 79 BA                                 | CUSIP: 31392BMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151097 | PA      | $153397.93    | 0.07%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 NS                                   | CUSIP: 3137FPYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5003229 | PA      | $667032.96    | 0.31%             | 2049-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA 2023 USD TERM LOAN B14                   | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     791919 | PA      | $719545.70    | 0.34%             | 2028-08-15      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735741 FN 07/35 FIXED VAR                       | CUSIP: 31402RLW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1645 | PA      | $1700.76      | 0.00%             | 2035-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6100.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS            | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10706155 | PA      | $1340965.15   | 0.63%             | 2049-09-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                                  | FANNIE MAE FNR 2016 40 IO                                 | CUSIP: 3136ASD86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2250902 | PA      | $211246.26    | 0.10%             | 2036-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A               | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2997818.88   | 1.41%             | 2041-11-25      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A          | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4500 | PA      | $1150357.65   | 0.54%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                     | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    1131000 | PA      | $1029210.00   | 0.49%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A3                  | CUSIP: 31392GVS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11627 | PA      | $12179.79     | 0.01%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II FIXED TERM LOAN                   | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1193291 | PA      | $1193291.10   | 0.56%             | 2025-12-21      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                         | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15          | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65758 | PA      | $63129.18     | 0.03%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1614547 | PA      | $-1616217.22  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.2* 9/16/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2750640.52   | 1.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250709                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3003.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL4384 GN 02/52 FIXED 4                         | CUSIP: 3617YB2R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     875371 | PA      | $821976.75    | 0.39%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-636.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                             | COUNTRYWIDE HOME LOANS CWHL 2004 12 16A1                  | CUSIP: 12669FP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103810 | PA      | $100747.12    | 0.05%             | 2034-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 446811 GN 06/27 FIXED 7.5                       | CUSIP: 36208CKY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1671 | PA      | $1675.07      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL MA3306 FN 03/48 FIXED 4                         | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64934 | PA      | $61619.58     | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B            | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |    1981698 | PA      | $1982530.27   | 0.93%             | 2030-12-18      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2152                                                           | FREDDIE MAC FHR 2152 BZ                                   | CUSIP: 3133TKXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29076 | PA      | $29325.37     | 0.01%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                                               | VENDEE MORTGAGE TRUST VENDE 1998 3 E                      | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18201 | PA      | $18247.28     | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 01/30 3.25          | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     300000 | PA      | $245574.90    | 0.12%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN    | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3738401 | PA      | $3850552.57   | 1.82%             | 2028-09-15      | Fixed         | 12.24%                | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                   | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4323084 | PA      | $143723.96    | 0.07%             | 2048-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -592300 | PA      | $-602970.80   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4488735.49  | -2.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -310644 | PA      | $-313969.80   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| DAVINCIRE HOLDINGS LTD                                                     | DAVINCIRE HOLDINGS LTD SR UNSECURED 144A 04/35 5.95       | CUSIP: 23879AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     300000 | PA      | $302066.57    | 0.14%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780798 GN 12/27 FIXED 7.5                       | CUSIP: 36225A3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1421 | PA      | $1443.31      | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                   | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     192582 | NS      | $8694435.42   | 4.10%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D72941 FG 07/26 FIXED 7.5               | CUSIP: 3128FEHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        975 | PA      | $976.20       | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 498247 FN 06/29 FIXED 6.5                       | CUSIP: 31383BP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $531.97       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                 | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1016469 | PA      | $1163311.11   | 0.55%             | 2050-12-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN           | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    3989972 | PA      | $3787142.06   | 1.79%             | 2028-06-20      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84               | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $193343.90    | 0.09%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 448600 GN 06/27 FIXED 7.5                       | CUSIP: 36208EKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4723 | PA      | $4746.34      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735861 FN 09/33 FIXED VAR                       | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15946 | PA      | $16392.14     | 0.01%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5          | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2259756.00   | 1.07%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1923383 | PA      | $-1932620.58  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 07/25 0.00000                               | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      26000 | PA      | $25952.22     | 0.01%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A        | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     764096 | PA      | $684637.27    | 0.32%             | 2046-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $133598.61    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W3                                               | FANNIEMAE WHOLE LOAN FNW 2003 W3 1A3                      | CUSIP: 31392JYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        905 | PA      | $956.16       | 0.00%             | 2042-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1414309 | PA      | $-1430218.22  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 451321 GN 07/27 FIXED 7.5                       | CUSIP: 36208HLA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $80.97        | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2359                                                           | FREDDIE MAC FHR 2359 PZ                                   | CUSIP: 3133TV6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124673 | PA      | $129200.89    | 0.06%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CZECHOSLOVAK GROUP AS                                                      | CZECHOSLOVAK GROUP CZECHOSLOVAK GROUP                     | CUSIP: ACI2Y9LD3<br>LEI: 315700SWFD7G70AVG768 | Long             | DBT              | CORP              | CZ        |    1000000 | PA      | $1009944.27   | 0.48%             | 2031-01-10      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2584157 | PA      | $-2602228.15  | -1.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1139190 | PA      | $-1167589.05  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                           | FREDDIE MAC FHR 2104 ZM                                   | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14339 | PA      | $14604.24     | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 2.25000 09/17/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4726.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A         | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $957049.30    | 0.45%             | 2038-11-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORPORATION                                                    | BAT CAPITAL CORP COMPANY GUAR 08/33 6.421                 | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     300000 | PA      | $325963.67    | 0.15%             | 2033-08-02      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC                                                         | HARBOUR ENERGY PLC SR UNSECURED 144A 04/35 6.327          | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $696615.71    | 0.33%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 07/29 5.125              | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $331000.00    | 0.16%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625     | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $101100.80    | 0.05%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447399 GN 07/27 FIXED 7.5                       | CUSIP: 36208C7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $61.64        | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15            | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2329517.42   | 1.10%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                           | NEW YORK NY NYC 02/45 FIXED 6.291                         | CUSIP: 64966SNH5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     310000 | PA      | $325106.49    | 0.15%             | 2045-02-01      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 730754 FN 08/33 FIXED 6.5                       | CUSIP: 31402JZT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $76.36        | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D76893 FG 12/26 FIXED 7.5               | CUSIP: 3128FJUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1197 | PA      | $1200.21      | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G02472 FG 01/36 FIXED 7                 | CUSIP: 3128M4CH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23848 | PA      | $25178.48     | 0.01%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL            | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     214635 | PA      | $112683.41    | 0.05%             | 2025-06-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 18A3 144A       | CUSIP: 75524MCS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2145434 | PA      | $1095435.86   | 0.52%             | 2037-02-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -76483 | PA      | $-76911.98    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                       | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A      | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62093 | PA      | $60689.76     | 0.03%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P00029 FG 03/33 FIXED 6                 | CUSIP: 31283NA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26632 | PA      | $27045.33     | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1278128 | PA      | $-1279392.99  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                               | FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2                      | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16336 | PA      | $16940.94     | 0.01%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CK2706 GN 02/52 FIXED 4                         | CUSIP: 3617XXAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     923465 | PA      | $864684.56    | 0.41%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 750859 FN 10/32 FIXED 6.5                       | CUSIP: 31403KE82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $622.77       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/3.00 9/19/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1127604.10  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20250903                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1631.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1564.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                              | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 VAR           | CUSIP: 345397G80<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1873325.69   | 0.88%             | 2028-03-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 748671 FN 10/33 FIXED 6.5                       | CUSIP: 31403GW81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19311 | PA      | $19957.58     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-42                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 42 A5                | CUSIP: 31392MH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15011 | PA      | $16013.13     | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 596712 FN 06/32 FIXED 6.5                       | CUSIP: 31387W3V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $981.98       | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A4                   | CUSIP: 31359SY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     469084 | PA      | $485863.45    | 0.23%             | 2041-06-19      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-251630.36   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8           | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $41392.57     | 0.02%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2014.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                           | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1900000 | PA      | $2205564.17   | 1.04%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AI1162 FN 04/41 FIXED 4.5                       | CUSIP: 3138AEJG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44211 | PA      | $44074.82     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                        | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 VAR       | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     665000 | PA      | $657063.76    | 0.31%             | 2027-09-13      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -896782 | PA      | $-900154.49   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC VENTURE GLOBAL LNG INC             | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1517681.97   | 0.72%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                     | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1129979 | PA      | $1382261.55   | 0.65%             | 2045-09-13      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                             | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                     | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        188 | PA      | $187.63       | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 02/27 8.125              | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1400000 | PA      | $1261057.00   | 0.59%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                                  | FANNIE MAE FNR 2020 40 IO                                 | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     986372 | PA      | $196802.24    | 0.09%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOEING CO/THE SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $14348.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5              | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1247094.81   | 0.59%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | INTELSAT EMERGENCE SA CALL EXP 17FEB27                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        148 | NC      | $84.00        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 749783 FN 11/33 FIXED 6.5                       | CUSIP: 31403H6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10488 | PA      | $10993.94     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250701                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $14993.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                        | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $703019.66    | 0.33%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  107700000 | PA      | $56976.57     | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WINDSTREAMWARRANTS SLDENVWINDSTREAMWARRANTS               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       5577 | NC      | $109319.13    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 906353 FN 01/47 FIXED 7                         | CUSIP: 31411E5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24383 | PA      | $25633.75     | 0.01%             | 2047-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25             | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     171000 | PA      | $34841.25     | 0.02%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 793441 FN 08/34 FIXED 6.5                       | CUSIP: 31405MP27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21480 | PA      | $22446.48     | 0.01%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 685192 GN 10/38 FIXED 6                         | CUSIP: 36296AF90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34464 | PA      | $35648.01     | 0.02%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8          | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     174763 | PA      | $83374.38     | 0.04%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8          | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     146860 | PA      | $70062.50     | 0.03%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2138                                                           | FREDDIE MAC FHR 2138 KC                                   | CUSIP: 3133TJTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     189354 | PA      | $192470.07    | 0.09%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743878 FN 11/33 FIXED 6.5                       | CUSIP: 31403BM34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12881 | PA      | $13502.57     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                 | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1380000 | PA      | $1162135.12   | 0.55%             | 2038-12-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A    | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3193488 | PA      | $482823.45    | 0.23%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2756.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W2                                              | FANNIEMAE WHOLE LOAN FNW 2003 W2 1A3                      | CUSIP: 31392JAD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $575.49       | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 4.5 JUMBOS                              | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $95737.05     | 0.05%             | 2054-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250711                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $318.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                 | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1            | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     539886 | PA      | $496110.55    | 0.23%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C00489 FG 12/26 FIXED 7.5               | CUSIP: 31292GRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6954 | PA      | $6989.45      | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                         | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    2140169 | PA      | $144461.41    | 0.07%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                   | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     520886 | PA      | $69254.86     | 0.03%             | 2050-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2793235 | PA      | $-2821432.61  | -1.33%            |  |  |  | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                             | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     657793 | PA      | $588770.85    | 0.28%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AA8656 FN 10/36 FIXED 6                         | CUSIP: 31416STN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36618 | PA      | $37210.64     | 0.02%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0  | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   25300000 | PA      | $2315020.84   | 1.09%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR          | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3629386 | PA      | $3629386.00   | 1.71%             | 2030-01-31      | Fixed         | 12.35%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $4157.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535597 FN 10/30 FIXED VAR                       | CUSIP: 31384V7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.60        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-51                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 51 1A                | CUSIP: 31392W7B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32325 | PA      | $33465.82     | 0.02%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN               | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |     300000 | PA      | $291750.00    | 0.14%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                              | BGC GROUP INC SR UNSECURED 06/29 6.6                      | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1036815.99   | 0.49%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED 144A 01/28 5.5                | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $168500.00    | 0.08%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250922                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $920.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780580 GN 06/27 FIXED 7.5                       | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $30.94        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625            | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |    1453900 | PA      | $1244901.88   | 0.59%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253973 FN 08/31 FIXED 6.5                       | CUSIP: 31371KCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $636.18       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $5008.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                 | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |     323500 | NS      | $2752066.13   | 1.30%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                           | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |      33427 | NS      | $1089720.20   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 09/25 0.00000                               | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     307000 | PA      | $304215.85    | 0.14%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 255001 FN 11/33 FIXED 6.5                       | CUSIP: 31371LGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18658 | PA      | $19576.99     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25       | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $40820.51     | 0.02%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.6* 8/24/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-115142.14   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1075065 | PA      | $-1086255.53  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A2 144A        | CUSIP: 62951MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386453 | PA      | $355608.54    | 0.17%             | 2034-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 02/27 5.875              | CUSIP: ACI13Z7Z8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $319075.44    | 0.15%             | 2027-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254881 FN 07/33 FIXED 6.5                       | CUSIP: 31371LCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9084 | PA      | $9388.84      | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-76                                                         | FANNIE MAE FNR 2010 76 ZC                                 | CUSIP: 31398TFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     322689 | PA      | $320970.93    | 0.15%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 786574 FN 07/34 FIXED 6.5                       | CUSIP: 31405D2F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19302 | PA      | $19947.76     | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4364472 | PA      | $-4392780.45  | -2.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 684200 FN 01/33 FIXED 6                         | CUSIP: 31400DDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        931 | PA      | $945.94       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 503001 GN 02/29 FIXED 7.5                       | CUSIP: 36210UX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3293 | PA      | $3354.14      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                               | FANNIEMAE WHOLE LOAN FNW 2003 W6 3A                       | CUSIP: 31393BU94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     291228 | PA      | $298094.60    | 0.14%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253184 FN 04/30 FIXED 8                         | CUSIP: 31371JFZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $888.95       | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                                  | FANNIE MAE FNR 2014 47 BI                                 | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3182591 | PA      | $168627.34    | 0.08%             | 2054-08-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3               | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5336000 | PA      | $235960.05    | 0.11%             | 2045-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL A54878 FG 12/30 FIXED 7.5               | CUSIP: 3128KHM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74975 | PA      | $76895.95     | 0.04%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5330319 | PA      | $-5368036.92  | -2.53%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254144 FN 11/31 FIXED 8                         | CUSIP: 31371KHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2019 | PA      | $2097.53      | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 929119 FN 02/38 FIXED 6.5                       | CUSIP: 31412MG44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17812 | PA      | $18882.15     | 0.01%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                 | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $158.61       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                     | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1581971 | PA      | $2026179.89   | 0.96%             | 2045-09-13      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL CA0709 FN 09/47 FIXED 4                         | CUSIP: 3140Q7YF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4251275 | PA      | $4027336.05   | 1.90%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL           | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      27523 | PA      | $18027.62     | 0.01%             | 2025-07-31      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75               | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     350000 | PA      | $362832.23    | 0.17%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D75657 FG 11/26 FIXED 7.5               | CUSIP: 3128FHJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        520 | PA      | $521.08       | 0.00%             | 2026-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/31 5.125                     | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2800000 | PA      | $3260001.98   | 1.54%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                              | FANNIEMAE WHOLE LOAN FNW 2003 W4 4A                       | CUSIP: 31393AQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138560 | PA      | $142011.89    | 0.07%             | 2042-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250908                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-8000.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250813                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7301.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     453082 | PA      | $308397.88    | 0.15%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 768504 FN 01/34 FIXED 6.5                       | CUSIP: 31404GX97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2876 | PA      | $2991.81      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2299.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1844288 | PA      | $-1846159.53  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-71                                                         | FANNIE MAE FNR 2003 71 TA                                 | CUSIP: 31393EJT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17962 | PA      | $19083.20     | 0.01%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1487024 | PA      | $-1488611.40  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5        | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     213000 | PA      | $225948.80    | 0.11%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 800224 FN 12/34 FIXED 6.5                       | CUSIP: 31405VAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6968 | PA      | $7197.88      | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                            | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |   50000000 | PA      | $3186486.54   | 1.50%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1               | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109780 | PA      | $112755.27    | 0.05%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P51301 FG 07/37 FIXED 6.5               | CUSIP: 3128C6NS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52361 | PA      | $53046.76     | 0.03%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                           | ALTICE FRANCE SA SR SECURED REGS 10/29 4.25               | CUSIP: ACI20QTK8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $495681.63    | 0.23%             | 2029-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A           | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $126530.99    | 0.06%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-2                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 2 3A1              | CUSIP: 225470YJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731401 | PA      | $93673.05     | 0.04%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                     | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     960482 | PA      | $1313753.07   | 0.62%             | 2045-09-13      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                          | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     150125 | PA      | $156131.41    | 0.07%             | 2043-03-22      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN               | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |    1236899 | PA      | $1031654.36   | 0.49%             | 2029-06-01      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $431706.91    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 443108 FN 01/29 FIXED 6.5                       | CUSIP: 31380LGR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2391 | PA      | $2473.35      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $54236.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-88                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 88 SA             | CUSIP: 38380FRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4435943 | PA      | $567574.90    | 0.27%             | 2047-06-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1980                                                           | FREDDIE MAC FHR 1980 Z                                    | CUSIP: 3133TAG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15454 | PA      | $15529.76     | 0.01%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2536503.31   | 1.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 602008 FN 08/31 FIXED 8                         | CUSIP: 31388DYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1746 | PA      | $1795.98      | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627708 GN 09/36 FIXED 6                         | CUSIP: 36291GKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8701 | PA      | $9031.23      | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                              | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918         | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     700000 | PA      | $707246.91    | 0.33%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1                | CUSIP: 46628BCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     573077 | PA      | $451925.09    | 0.21%             | 2036-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C62910 FG 01/32 FIXED 7                 | CUSIP: 31287NGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $418.29       | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD MXN BOUGHT USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-4582.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $132332.23    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-33709.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR              | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4388387 | PA      | $3126177.19   | 1.47%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BURBERRY GROUP PLC                                                         | BURBERRY GROUP PLC COMPANY GUAR REGS 06/30 5.75           | CUSIP: ACI2PKL89<br>LEI: 213800PE1KEFCNFR1R50 | Long             | DBT              | CORP              | GB        |    2627000 | PA      | $3610071.34   | 1.70%             | 2030-06-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1           | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195380 | PA      | $178907.10    | 0.08%             | 2034-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL MA3183 FN 11/47 FIXED 4                         | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36120 | PA      | $34217.83     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                       | BAYER US FINANCE LLC BAYER US FINANCE LLC                 | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     400000 | PA      | $425211.20    | 0.20%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)                  | UNITI GROUP INC REIT USD.0001                             | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      54523 | NS      | $235539.36    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254072 FN 10/31 FIXED 6.5                       | CUSIP: 31371KFM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1236 | PA      | $1248.08      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-49                                                         | FANNIE MAE FNR 2001 49 Z                                  | CUSIP: 313921AG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45005 | PA      | $46824.07     | 0.02%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                          | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    2313489 | PA      | $1506483.01   | 0.71%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20250828                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6505.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254497 FN 09/32 FIXED 6.5                       | CUSIP: 31371KUW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2935 | PA      | $3016.96      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020471<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -300000 | PA      | $-274207.36   | -0.13%            | 2039-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2034                                                           | FREDDIE MAC FHR 2034 Z                                    | CUSIP: 3133TCV70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11747 | PA      | $11937.36     | 0.01%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-33                                                         | FANNIE MAE FNR 1997 33 PA                                 | CUSIP: 31359PQJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        828 | PA      | $831.20       | 0.00%             | 2027-06-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                               | HUDSON PACIFIC PROPERTIE COMPANY GUAR 11/27 3.95          | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95958.53     | 0.05%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                   | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   57400000 | PA      | $1384438.80   | 0.65%             | 2028-09-06      | Fixed         | 49.96%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 7/12/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $176923.62    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  SEP25 XCME 20251216                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -4 | NC      | $18502.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $312249.42    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5410.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II POOL 004261 G2 10/38 FIXED 6.5                    | CUSIP: 36202EWW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        390 | PA      | $397.62       | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $656120.22    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                         | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A     | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2025588 | PA      | $1158839.27   | 0.55%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -489890 | PA      | $-490791.61   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A          | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23463 | PA      | $24349.68     | 0.01%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                                           | FREDDIE MAC FHR 2415 ZA                                   | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9372 | PA      | $9786.09      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-43572.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/20/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8251.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S2                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 3A1                | CUSIP: 46630WBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1422 | PA      | $1393.51      | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 831551 FN 06/36 FIXED 6.5                       | CUSIP: 31407HZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32345 | PA      | $34265.18     | 0.02%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                   | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   10000000 | PA      | $243609.95    | 0.11%             | 2028-05-17      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | TWITTER INC 2025 FIXED TERM LOAN                          | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     300000 | PA      | $292125.00    | 0.14%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                               | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                       | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66902 | PA      | $68356.25     | 0.03%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                            | MAREX GROUP PLC SR UNSECURED 11/29 6.404                  | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $926781.85    | 0.44%             | 2029-11-04      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                               | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5           | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    1956000 | PA      | $1999415.63   | 0.94%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -4 | NC      | $12295.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80365 FG 12/25 FIXED 7.5               | CUSIP: 31335GMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.41        | 0.00%             | 2025-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2947                                                           | FREDDIE MAC FHR 2947 OZ                                   | CUSIP: 31395R6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26042 | PA      | $26269.25     | 0.01%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-CW1                                            | GSAA HOME EQUITY TRUST GSAA 2004 CW1 2A1                  | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341175 | PA      | $346978.81    | 0.16%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735504 FN 04/35 FIXED VAR                       | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133406 | PA      | $138263.50    | 0.07%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81              | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2600000 | PA      | $2387061.85   | 1.13%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                 | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     291816 | NS      | $341424.72    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 540909 FN 05/31 FIXED 6.5                       | CUSIP: 31385C3S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1415 | PA      | $1419.90      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1144959.85  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D73735 FG 08/26 FIXED 7.5               | CUSIP: 3128FFEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        817 | PA      | $819.00       | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ILPT COMMERCIAL MORTGAGE TRUST 2022-LPF2                                   | ILPT COMMERCIAL MORTGAGE TRUST ILPT 2022 LPF2 D 144A      | CUSIP: 449652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1387095.78   | 0.65%             | 2039-10-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A          | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        441 | PA      | $421514.51    | 0.20%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20250811                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $949.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROMANIA EM SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $722.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/35 VAR             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     247428 | PA      | $193116.71    | 0.09%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 373604 GN 03/26 FIXED 7                         | CUSIP: 36204MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $100.66       | 0.00%             | 2026-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Strategic Income Fund, Inc.

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer