# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003050
**Filing Date:** 2026-3
**Character Count:** 255913
**Document Hash:** fea0b2aa25bc7d6bb918c15f45ab0f33
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003050.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003050

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705862

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

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

## Series and Classes Contracts Data

### PIMCO Real Return Portfolio (Series ID: S000009661)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026482 | Administrative | VPVRRDV         |
| C000026483 | Institutional  | VPVRRIV         |
| C000030983 | Advisor        | VPVRRVV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Variable Insurance Trust

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Real Return Portfolio

- **b. EDGAR series identifier (if any):** S000009661

- **c. LEI of Series:** VOI6QOMEXKGNKFIHJ560

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3025497178.47

**Total Liabilities:** $1629286929.03

**Net Assets:** $1396210249.44

**Cash Not Reported:** $3975789.18

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 24803.104000 | **1-Year:** 24647.476400 | **5-Year:** 96302.062700 | **10-Year:** 58719.214100 | **30-Year:** -34240.074100

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

- **3-Month:** 161.823100 | **1-Year:** 1681.474800 | **5-Year:** 6365.830200 | **10-Year:** 959.665900 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026482 | 0.48%                | 0.25%                | -0.54%               |
| Class ID C000030983 | 0.47%                | 0.24%                | -0.55%               |
| Class ID C000026483 | 0.49%                | 0.26%                | -0.53%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1103518.71              | $4588400.73                                |
| Month 2  | $482086.98               | $-1703028.61                               |
| Month 3  | $-250847.70              | $-11437432.99                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury Inflation Total Return Unhedged Index

- **Index Identifier:** LBUTTRUU

### 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                                                               | INF SWAP US IT 2.41875 03/05/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1192629.58   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180878 | PA      | $176444.47    | 0.01%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43052077 | PA      | $42545421.68  | 3.05%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9031131 | PA      | $8920378.99   | 0.64%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.365 09/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-76296.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $130266.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10230.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                       | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                 | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     314265 | PA      | $314431.20    | 0.02%             | 2032-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-165346.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2606.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SUGAR  11 (WORLD) JUL26 IFUS 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -50 | NC      | $-14083.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $10988.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOYBEAN FUTURE    JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -7 | NC      | $4448.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        167 | NC      | $-163082.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/51 0.125                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15070092 | PA      | $8150506.48   | 0.58%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1427 | PA      | $1433.98      | 0.00%             | 2044-07-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COTTON NO.2 FUTR  MAR26 IFUS 20260309                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -13 | NC      | $6510.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6234.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59501550 | PA      | $58019464.57  | 4.16%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1099511.47   | 0.08%             | 2036-10-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-39.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-205                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 205 FG          | CUSIP: 38385K4B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7500000 | PA      | $7501404.00   | 0.54%             | 2053-12-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $77567.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXI DAC 21A                                | CORDATUS CLO PLC CORDA 21A A1E 144A                     | CUSIP: ACI2RB2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1646980.71   | 0.12%             | 2034-09-22      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| LCM LOAN INCOME FUND I LTD                                        | LCM LOAN INCOME FUND LTD LCMLF 1A A 144A                | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      81441 | PA      | $81541.51     | 0.01%             | 2031-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55201232 | PA      | $55622885.80  | 3.98%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                     | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203029 | PA      | $105168.57    | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+18/91282CDX6 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-253110.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IODEX IO FUT      MAR26 XSIM 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |         27 | NC      | $11807.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 3.0425 02/21/25-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17647.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2249.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21106671 | PA      | $19414199.28  | 1.39%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC EUROPEAN FUNDING CLO 3A                                      | CIFC EUROPEAN FUNDING CLO CIFCE 3A A 144A               | CUSIP: ACI27MSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4750000 | PA      | $5585369.52   | 0.40%             | 2034-01-15      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-319.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3951.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-281.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14661729 | PA      | $14438748.44  | 1.03%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                           | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A          | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4703525.00   | 0.34%             | 2034-08-16      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280943 | PA      | $281098.30    | 0.02%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18771980 | PA      | $19381316.08  | 1.39%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $35292.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO IV DAC 4A                                       | ALBACORE EURO CLO ALBAC 4A AR 144A                      | CUSIP: ACI2Q3N92<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     999913 | PA      | $1176175.77   | 0.08%             | 2035-07-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1        | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12690 | PA      | $12096.10     | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1314.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826371 | PA      | $816767.19    | 0.06%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1285.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36134 | PA      | $9711.04      | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44643 | PA      | $20422.15     | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69964 | PA      | $68280.66     | 0.00%             | 2036-06-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  JUL26 XNYM 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -6 | NC      | $5322.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1830973 | PA      | $1766153.70   | 0.13%             | 2037-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6142 | PA      | $6137.30      | 0.00%             | 2035-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4900000 | NC      | $-19773.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 3.43375 08/27/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $92078.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                            | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $941041.96    | 0.07%             | 2035-10-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2668.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ST PAULS CLO 4A                                                   | ST PAULS CLO SPAUL 4A ARR1 144A                         | CUSIP: ACI217GH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     546167 | PA      | $642494.81    | 0.05%             | 2030-04-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5000.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24058 | PA      | $20966.56     | 0.00%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | PALLADIUM FUTURE  MAR26 XNYM 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          1 | NC      | $12004.47     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-28998.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6597.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3       | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     566707 | PA      | $522254.54    | 0.04%             | 2037-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $16017.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COPPER FUTURE     MAR26 XCEC 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          3 | NC      | $39538.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35739775 | PA      | $34443836.31  | 2.47%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-3A                                    | SLM STUDENT LOAN TRUST SLMA 2004 3A A6B 144A            | CUSIP: 78442GLL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1175040 | PA      | $1168285.58   | 0.08%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31571244 | PA      | $32139685.83  | 2.30%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $45573.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31401495 | PA      | $31567705.31  | 2.26%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                         | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      49403 | PA      | $58097.25     | 0.00%             | 2031-12-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                            | OZLM LTD OZLM 2019 24A A1AR 144A                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     196096 | PA      | $196237.32    | 0.01%             | 2032-07-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | LME PRI ALUM FUTR MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -9 | NC      | $-34806.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 | FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2             | CUSIP: 3137F4CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23523 | PA      | $23460.61     | 0.00%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                             | CONTEGO CLO DAC CONTE 3A ARR 144A                       | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |    1600000 | PA      | $1881938.56   | 0.13%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1323738 | PA      | $1324455.10   | 0.09%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                      | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2             | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154621 | PA      | $152606.57    | 0.01%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -30500000 | NC      | $-141302.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-199.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33319 | PA      | $29594.59     | 0.00%             | 2035-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C        | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171963 | PA      | $65622.62     | 0.00%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $37391.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39229726 | PA      | $39002077.46  | 2.79%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ECX EMISSION      DEC26 NDEX 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |          5 | NC      | $23923.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                     | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     520361 | PA      | $521029.58    | 0.04%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+18/9128282L3 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-54676.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                             | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D            | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1469220 | PA      | $647856.54    | 0.05%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        264 | NC      | $-105158.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2401920.80  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $49521.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260240 | PA      | $91629.09     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1309.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                         | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500533.37    | 0.04%             | 2034-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                            | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59675 | PA      | $58804.87     | 0.00%             | 2035-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -19600000 | NC      | $-61466.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-469.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $589.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $11501.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30654 | PA      | $29022.46     | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24371 | PA      | $24216.03     | 0.00%             | 2034-11-21      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                              | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1           | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7703 | PA      | $2534.20      | 0.00%             | 2036-11-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1          | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81030 | PA      | $78540.35     | 0.01%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5452.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/41 2.125                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9738802 | PA      | $9543758.34   | 0.68%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -30500000 | NC      | $-142030.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                        | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2168882 | PA      | $2204084.25   | 0.16%             | 2037-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56000 | PA      | $27813.52     | 0.00%             | 2036-12-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                  | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B              | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34837 | PA      | $32585.34     | 0.00%             | 2036-05-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-28085.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COCOA FUTURE      MAR26 IFUS 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          4 | NC      | $-2912.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SILVER FUTURE     MAR26 XCEC 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          2 | NC      | $91335.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     486891 | PA      | $460472.28    | 0.03%             | 2035-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 QF                                 | CUSIP: 3137HJVX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2509763 | PA      | $2521681.75   | 0.18%             | 2055-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                             | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40017 | PA      | $39679.23     | 0.00%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-98.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                            | ROMARK CLO LTD RMRK 2017 1A A1R 144A                    | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      22520 | PA      | $22547.78     | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-810509.40   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3624.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SOFR/2.30000 11/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2044598.66  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                                | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A            | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     125164 | PA      | $147283.76    | 0.01%             | 2032-05-15      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28737462 | PA      | $20744908.76  | 1.49%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6282.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1584.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9604.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/30 1.125                             | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21138810 | PA      | $20821698.89  | 1.49%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1       | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3897 | PA      | $3265.49      | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14751 | PA      | $14238.90     | 0.00%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-34010.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.763 09/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $146181.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      34901 | PA      | $339972.31    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        658 | NC      | $-1583343.52  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4984.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4755.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.049 08/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-156137.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                   | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453031 | PA      | $241908.28    | 0.02%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7985 | PA      | $7326.11      | 0.00%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1         | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32696 | PA      | $22583.47     | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-606.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1637.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $235311.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2222.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     159000 | PA      | $160590.00    | 0.01%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $27631.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                               | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5774 | PA      | $5770.19      | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1625272560 | PA      | $10557423.58  | 0.76%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.69 06/01/21-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $38879.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20867225 | PA      | $20756871.18  | 1.49%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85           | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $411464.00    | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                          | SEQUOIA MORTGAGE TRUST SEMT 5 A                         | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4580 | PA      | $4544.45      | 0.00%             | 2026-10-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-286.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | KC HRW WHEAT FUT  JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -1 | NC      | $247.35       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1156.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2530.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/28 3.625                             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46789167 | PA      | $49109506.84  | 3.52%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108801 | PA      | $94417.40     | 0.01%             | 2036-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $40633.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16270 | PA      | $15011.31     | 0.00%             | 2036-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7017960 | PA      | $3717537.21   | 0.27%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12225 | PA      | $12214.89     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/42 0.75                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43445547 | PA      | $33861796.90  | 2.43%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260327                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $53192.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.682 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $140546.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                  | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   21500000 | PA      | $14348025.71  | 1.03%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125022 | PA      | $111917.35    | 0.01%             | 2047-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-15925.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVIDUS CLO IV DAC 4A                                            | PROVIDUS CLO PRVD 4A AR 144A                            | CUSIP: ACI2PLG34<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $2233676.90   | 0.16%             | 2034-04-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-20384.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $17718.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.466 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $121589.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171049 | PA      | $140500.01    | 0.01%             | 2047-02-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-14542.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $8198.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63194103 | PA      | $63470085.55  | 4.55%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39026 | PA      | $36196.36     | 0.00%             | 2046-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                             | CAIRN CLO BV CRNCL 2018 10A AR 144A                     | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     148386 | PA      | $174512.24    | 0.01%             | 2031-10-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1197472 | PA      | $832082.27    | 0.06%             | 2037-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GASOLINE RBOB FUT JUN26 XNYM 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          8 | NC      | $-18747.31    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $21941.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/55 2.375                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9699578 | PA      | $9211189.31   | 0.66%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $38483.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-15537.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3           | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        358 | PA      | $357.11       | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-540.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.842 02/13/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7283.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37061 | PA      | $33536.50     | 0.00%             | 2046-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $21562.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8656.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $10770.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3371.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                              | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29643 | PA      | $28794.19     | 0.00%             | 2035-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | LOW SU GASOIL G   JUN26 IFEU 20260611                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          6 | NC      | $-24253.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN GOVT CPI LINKED BONDS 03/35 0.005                 | CUSIP: ACI2XCPX9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1174104000 | PA      | $7311915.55   | 0.52%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6547933.88   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                 | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     790049 | PA      | $791545.41    | 0.06%             | 2039-03-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A      | CUSIP: 933638AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159519 | PA      | $154747.92    | 0.01%             | 2047-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/35 1.875                             | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45935559 | PA      | $45826922.32  | 3.28%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                        | VMWARE LLC SR UNSECURED 08/27 3.9                       | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     190000 | PA      | $190195.03    | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155450 | PA      | $146295.67    | 0.01%             | 2037-07-27      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6865.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-184.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $20204.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2343.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75000000 | PA      | $73228241.25  | 5.24%             | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $461.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                        | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700221.82    | 0.05%             | 2034-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $193914.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1          | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1898537 | PA      | $1909978.43   | 0.14%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-2                           | THORNBURG MORTGAGE SECURITIES TMST 2004 2 A1            | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990036 | PA      | $958202.09    | 0.07%             | 2044-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260309                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $12609.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4900000 | NC      | $-26943.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34319.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260213                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2829.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                       | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     888386 | PA      | $886846.65    | 0.06%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COFF ROBUSTA 10TN MAR26 IFEU 20260325                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -1 | NC      | $-1357.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36000 | PA      | $33497.12     | 0.00%             | 2035-01-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-20827.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1              | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7053 | PA      | $6666.65      | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A    | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     465460 | PA      | $546835.99    | 0.04%             | 2033-05-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MANUFACTURED HOUSING 2001-B                            | LEHMAN ABS MANUFACTURED HOUSIN LABMH 2001 B M2          | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     785924 | PA      | $750915.21    | 0.05%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-178.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5442.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-29314.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $33038.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $980330.18    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB3                             | CREDIT BASED ASSET SERVICING A CBASS 2005 CB3 M4        | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297892 | PA      | $292221.12    | 0.02%             | 2035-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SOFR/2.28500 11/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2463232.51   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | MILL WHEAT EURO   MAR26 XPAR 20260310                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | FR        |         -5 | NC      | $1473.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16201.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-5828.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SUGAR  11 (WORLD) MAR26 IFUS 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -4 | NC      | $978.93       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ITALY GOVT                                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    3615575 | PA      | $4135234.85   | 0.30%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                 | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1        | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3776 | PA      | $1340.67      | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO X BV 10A                                        | ARES EUROPEAN CLO ARESE 10A AR 144A                     | CUSIP: ACI1Y2RR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     104702 | PA      | $123126.75    | 0.01%             | 2031-10-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $766.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     961078 | PA      | $949883.22    | 0.07%             | 2046-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.7675 05/13/21-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $732486.04    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/26 0.125                             | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20734386 | PA      | $20554409.04  | 1.47%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $521.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.813 05/14/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $305272.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                         | FANNIE MAE FNR 2025 18 FA                               | CUSIP: 3136BU7K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1518868 | PA      | $1525625.01   | 0.11%             | 2053-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.034 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-90094.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-5153.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4448.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50522144 | PA      | $50056284.36  | 3.59%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | LME ZINC FUTURE   MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         12 | NC      | $25590.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1844.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOYBEAN FUTURE    MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         11 | NC      | $-45254.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | LEAN HOGS FUTURE  APR26 XCME 20260415                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -21 | NC      | $-20003.03    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-691.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2582202 | PA      | $2872161.43   | 0.21%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A               | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     123870 | PA      | $123937.61    | 0.01%             | 2031-04-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS3519 FN 11/52 FIXED VAR                     | CUSIP: 3140XJ4D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     343396 | PA      | $336328.28    | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   84717564 | PA      | $83244031.18  | 5.96%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84272 | PA      | $83406.22     | 0.01%             | 2047-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $101686.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOYBEAN OIL FUTR  JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -9 | NC      | $5211.97      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3904.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                           | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11005 | PA      | $10713.31     | 0.00%             | 2031-11-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-430698.23   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A    | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3800000 | PA      | $4469515.66   | 0.32%             | 2038-08-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41577 | PA      | $38215.10     | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUXL 30Y BND MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         39 | NC      | $-104848.22   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-20309.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-231.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                             | GSAMP TRUST GSAMP 2005 WMC1 M1                          | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18340 | PA      | $18232.14     | 0.00%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $14554.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $9.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3935249 | PA      | $3587039.31   | 0.26%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3707772.27   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-12854.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1073.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      53000 | PA      | $51425.77     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7030 | PA      | $7015.50      | 0.00%             | 2031-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                         | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1501820 | PA      | $1763074.61   | 0.13%             | 2033-08-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                                     | COUNTRYWIDE HOME LOANS CWHL 2006 6 A4                   | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227389 | PA      | $110614.33    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1090.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                            | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540034 | PA      | $363043.45    | 0.03%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.7975 08/25/20-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1217783.68   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10075.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35814 | PA      | $36705.33     | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/36 1 | CUSIP: ACI2NDKJ4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1354834 | PA      | $1589605.61   | 0.11%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4510 | PA      | $4289.86      | 0.00%             | 2034-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 278                                            | FREDDIEMAC STRIP FHS 278 F1                             | CUSIP: 3132HTBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1027079 | PA      | $1014868.70   | 0.07%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57987 | PA      | $55725.21     | 0.00%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8245 FR 09/52 FIXED 4.5             | CUSIP: 3132DWES8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     497660 | PA      | $488392.54    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.736 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $242889.93    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-69816.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7179.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2892.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ST PAUL'S CLO X DAC 10A                                           | ST PAULS CLO SPAUL 10A AR 144A                          | CUSIP: ACI1WJ0Z9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     793876 | PA      | $929697.70    | 0.07%             | 2035-04-22      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 803338 FN 09/44 FLOATING VAR                  | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5450 | PA      | $5517.15      | 0.00%             | 2044-09-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                  | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7254594 | PA      | $6674779.22   | 0.48%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.954 06/03/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-989829.71   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/26 0.00000                             | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       8000 | PA      | $7958.50      | 0.00%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20473 | PA      | $19978.95     | 0.00%             | 2035-05-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-17213.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A2                              | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7477 | PA      | $7347.75      | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11273844 | PA      | $11322075.78  | 0.81%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | LIVE CATTLE FUTR  APR26 XCME 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         14 | NC      | $24326.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34333 | PA      | $32929.53     | 0.00%             | 2035-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11311.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-20831.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/35 4.25                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     258000 | PA      | $259894.69    | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $24280.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                                | FANNIE MAE FNR 2006 30 KF                               | CUSIP: 31395B6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3995 | PA      | $3968.60      | 0.00%             | 2036-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $128938.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2060276 | PA      | $1999921.16   | 0.14%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                       | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   15469272 | PA      | $18112587.78  | 1.30%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BTP FUTURE   MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        161 | NC      | $-86263.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10923873 | PA      | $9985430.38   | 0.72%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6362.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-25838.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $157393.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COFFEE 'C' FUTURE JUL26 IFUS 20260721                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -1 | NC      | $-929.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2793561.09  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-20921.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $25652.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A      | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77566 | PA      | $70531.80     | 0.01%             | 2036-10-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.379 07/09/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-384324.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-652.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $874.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-12353.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247987 | PA      | $52043.65     | 0.00%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1660.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $420.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   91557105 | PA      | $85924957.78  | 6.15%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35      | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202683 | PA      | $169189.04    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                               | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A      | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     733325 | PA      | $734161.53    | 0.05%             | 2032-07-23      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | NATURAL GAS FUTR  MAR26 XNYM 20260225                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -17 | NC      | $89197.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                         | FANNIE MAE FNR 2025 66 FK                               | CUSIP: 3136BWYL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1040457 | PA      | $1044550.26   | 0.07%             | 2055-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22314.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CCA VINTAGE 2026  DEC26 IFED 20261224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        168 | NC      | $113168.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75016 | PA      | $64390.01     | 0.00%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 3.435 08/01/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $81926.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $10677.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1121.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6193.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                            | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331074 | PA      | $327011.17    | 0.02%             | 2036-06-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    1220000 | NS      | $1233151.60   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50865 | PA      | $48639.23     | 0.00%             | 2036-02-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -11 | NC      | $62235.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-745439.79   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7320.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7100000 | PA      | $7507601.34   | 0.54%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                              | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10        | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109426 | PA      | $86919.65     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                               | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267783 | PA      | $260396.83    | 0.02%             | 2037-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A3         | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     998899 | PA      | $346208.75    | 0.02%             | 2037-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5575                                           | FREDDIE MAC FHR 5575 FC                                 | CUSIP: 3137HN2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13354905 | PA      | $13429922.35  | 0.96%             | 2055-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-224062.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-131020.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-9471.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 44 EURO CLO 2015 BV 15-44A                                 | DRYDEN EURO CLO DRYD 2015 44A A1RR 144A                 | CUSIP: ACI1VYV26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2096080 | PA      | $2464120.40   | 0.18%             | 2034-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS7                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS7 M1         | CUSIP: 75406XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480510 | PA      | $478225.87    | 0.03%             | 2036-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $75672.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                               | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4499775.00   | 0.32%             | 2035-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $11247.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-353.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $24643.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17591 | PA      | $16794.97     | 0.00%             | 2035-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                             | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A        | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1600000 | PA      | $1881923.90   | 0.13%             | 2036-08-29      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35800000 | PA      | $36741460.52  | 2.63%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COFFEE 'C' FUTURE MAR26 IFUS 20260319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -1 | NC      | $240.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7165757 | PA      | $5240402.88   | 0.38%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-23422.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A       | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70125 | PA      | $52389.16     | 0.00%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26359521 | PA      | $19896840.81  | 1.43%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $745.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3135 | PA      | $3040.95      | 0.00%             | 2042-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-306.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233607 | PA      | $66028.72     | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $69014.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-6495.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A    | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        636 | PA      | $630.88       | 0.00%             | 2035-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6125.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2906.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $131416.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                              | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1477723 | PA      | $1467363.80   | 0.11%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3349.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | LME NICKEL FUTURE MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -3 | NC      | $-15166.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.70 01/14/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-31904.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1510.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1       | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2564566 | PA      | $855139.44    | 0.06%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-2                              | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 2 1A4          | CUSIP: 007034BN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46621 | PA      | $40105.15     | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3A                                   | BAIN CAPITAL CREDIT CLO LIMITE BCC 2019 3A ARR 144A     | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3200000 | PA      | $3198220.51   | 0.23%             | 2034-10-21      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 F           | CUSIP: 38382YB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2135951 | PA      | $2148936.96   | 0.15%             | 2072-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177950 | PA      | $174950.69    | 0.01%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-70.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-9Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $364890.86    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                           | HARVEST CLO HARVT 21A A1R 144A                          | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     704802 | PA      | $828884.35    | 0.06%             | 2031-07-15      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COTTON NO.2 FUTR  JUL26 IFUS 20260709                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -29 | NC      | $-7420.23     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44330 | PA      | $43257.60     | 0.00%             | 2035-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | WHEAT FUTURE(CBT) JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -8 | NC      | $1935.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                            | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     527063 | PA      | $468033.39    | 0.03%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260309                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7074.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                               | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 A            | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39191 | PA      | $37473.38     | 0.00%             | 2032-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2234.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $397.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11592 | PA      | $11368.87     | 0.00%             | 2030-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-95786.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -162 | NC      | $324096.04    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17500000 | PA      | $17729656.35  | 1.27%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-8248.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-13217.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12212 | PA      | $2398.65      | 0.00%             | 2037-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1         | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30071 | PA      | $29277.26     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) MAR26 XCBT 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -95 | NC      | $24748.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31002972 | PA      | $28735001.36  | 2.06%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12316473 | PA      | $12579157.14  | 0.90%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $30369.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-15457.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3581211.53   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55632216 | PA      | $59945056.60  | 4.29%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19202833 | PA      | $17272560.58  | 1.24%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $672.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | WHEAT FUTURE(CBT) MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -34 | NC      | $29726.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                             | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2503168 | PA      | $817702.27    | 0.06%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CORN FUTURE       JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -52 | NC      | $7101.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $15171.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A        | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148730 | PA      | $140449.49    | 0.01%             | 2046-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3151.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7761.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7489.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1         | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74167 | PA      | $68212.95     | 0.00%             | 2035-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                     | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                   | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     778138 | PA      | $336602.22    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24401352 | PA      | $24590099.14  | 1.76%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3055.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOYBEAN OIL FUTR  MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -11 | NC      | $20516.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                   | GSR MORTGAGE LOAN TRUST GSR 2004 12 3A6                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52106 | PA      | $48943.96     | 0.00%             | 2034-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                   | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1              | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154386 | PA      | $126149.44    | 0.01%             | 2036-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $11197.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8368.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-10001.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | WTI CRUDE FUTURE  JUN26 XNYM 20260519                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          3 | NC      | $-6919.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | NY HARB ULSD FUT  JUN26 XNYM 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          5 | NC      | $-34850.14    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4739.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COCOA FUTURE - IC MAR26 IFEU 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -1 | NC      | $-3010.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        708 | PA      | $718.76       | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $366.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-200.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2209595280 | PA      | $14338953.03  | 1.03%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR14                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR14 1A1A      | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102701 | PA      | $75295.98     | 0.01%             | 2035-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                                   | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     447754 | PA      | $400770.95    | 0.03%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-15841.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28319885 | PA      | $26734362.82  | 1.91%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558339 | PA      | $444417.03    | 0.03%             | 2037-10-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                           | SARANAC CLO LTD SRANC 2018 6A A1R 144A                  | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     146524 | PA      | $146605.69    | 0.01%             | 2031-08-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                           | FREDDIE MAC FHR 4779 WF                                 | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     506320 | PA      | $496580.89    | 0.04%             | 2044-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5242.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-7580.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1402 | PA      | $1388.11      | 0.00%             | 2037-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1240 | NC      | $1644713.93   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-18920.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5509.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                              | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     217686 | PA      | $293469.21    | 0.02%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.86500 02/13/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5154486.03   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/27 2.375                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500520 | PA      | $504556.73    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36659642 | PA      | $30728224.87  | 2.20%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $25898.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+18/912828V49 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-50378.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                     | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342478 | PA      | $314392.35    | 0.02%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/29 1.625                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59914341 | PA      | $60518583.12  | 4.33%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17648.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9456322 | PA      | $9286905.94   | 0.67%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 817547 FN 10/35 FLOATING VAR                  | CUSIP: 31406RHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10312 | PA      | $10519.67     | 0.00%             | 2035-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12713.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |   -8600000 | NC      | $-88396.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1           | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37227 | PA      | $37950.09     | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $61528.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 5A1        | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6349 | PA      | $6187.15      | 0.00%             | 2037-02-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11155.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A        | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29030 | PA      | $27432.17     | 0.00%             | 2035-06-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                              | VOYA CLO LTD VOYA 2019 2A AR 144A                       | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     345854 | PA      | $346081.31    | 0.02%             | 2032-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                                   | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1218980 | PA      | $1235580.68   | 0.09%             | 2037-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-29844.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-8.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-30569.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                               | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     575655 | PA      | $531439.36    | 0.04%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-OAT FUTURE   MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -450 | NC      | $650977.83    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                              | EUROSAIL PLC ESAIL 2007 3X A3C REGS                     | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      85332 | PA      | $115055.57    | 0.01%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $41774.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SUGAR  11 (WORLD) MAY26 IFUS 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -6 | NC      | $-1772.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $714353.33    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $45130.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                 | AG TRUST AG 2024 NLP A 144A                             | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807782 | PA      | $813202.36    | 0.06%             | 2041-08-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2468 | PA      | $2426.06      | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-5216.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $9239.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 3.3 06/04/2025-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37155.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A       | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43583 | PA      | $40585.78     | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A             | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $2352390.06   | 0.17%             | 2038-01-22      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP GB NI 3.5 08/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $318150.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13272.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260303                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2944.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/32 3.375                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2762591 | PA      | $3050844.26   | 0.22%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9663568 | PA      | $9552982.38   | 0.68%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-19                                    | COUNTRYWIDE HOME LOANS CWHL 2005 19 1A6                 | CUSIP: 126694AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17860 | PA      | $12901.06     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1484053 | PA      | $1494317.71   | 0.11%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2         | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1445517 | PA      | $1423618.78   | 0.10%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                     | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     157468 | PA      | $157543.82    | 0.01%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-NCM2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 NCM2 1CB1      | CUSIP: 17307GGX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19621 | PA      | $19494.06     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1959035.27   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.0 02/15/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-9680.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2647.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                               | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     389536 | PA      | $230632.12    | 0.02%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $581784.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $414927.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 1.636 06/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $36374.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72118 | PA      | $47737.68     | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $6749.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                            | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12557 | PA      | $14784.55     | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2940549 | PA      | $2710061.51   | 0.19%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $313800.00    | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENTS PARTNERS LTD 2018-18A                         | OCTAGON INVESTMENT PARTNERS LT OCT18 2018 18A A1A 144A  | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      80527 | PA      | $80534.79     | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A         | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221510 | PA      | $205651.21    | 0.01%             | 2046-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14400000 | PA      | $14046322.32  | 1.01%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $14170.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3262.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.82 02/05/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5118.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | LME LEAD FUTURE   MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -28 | NC      | $-838.42      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 3.323 04/23/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29798.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1         | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56938 | PA      | $52346.55     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $19465.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37812 | PA      | $37770.28     | 0.00%             | 2034-06-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64952 | PA      | $64396.09     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2171.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                     | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13740 | PA      | $13698.33     | 0.00%             | 2042-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875044 | PA      | $348536.25    | 0.02%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $16250.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34897 | PA      | $33296.82     | 0.00%             | 2035-08-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $352940.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOYBEAN MEAL FUTR MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         65 | NC      | $-175304.23   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-480.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | TTF NAT GAS F     MAR26 NDEX 20260226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |        -20 | NC      | $-10509.92    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                       | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1007341.04   | 0.07%             | 2037-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1104 | NC      | $-1063394.97  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A           | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     513364 | PA      | $513612.15    | 0.04%             | 2031-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | WHITE SUGAR (ICE) MAY26 IFEU 20260415                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -6 | NC      | $-1117.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                   | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A            | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47139 | PA      | $45663.79     | 0.00%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-342.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                    | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     159328 | PA      | $187453.56    | 0.01%             | 2034-05-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $7810.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-4774.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-47                                         | FANNIE MAE FNR 2025 47 FJ                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6357871 | PA      | $6403084.65   | 0.46%             | 2055-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608763 | PA      | $616183.26    | 0.04%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $11237.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.31375 02/26/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $331979.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3640310.00   | 0.26%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $7287.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A        | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     159721 | PA      | $187820.99    | 0.01%             | 2031-11-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                    | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     719580 | PA      | $720526.14    | 0.05%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2634372.35   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19338 | PA      | $17968.51     | 0.00%             | 2035-12-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2         | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46208 | PA      | $41735.20     | 0.00%             | 2045-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                 | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                 | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4200000 | PA      | $4201420.44   | 0.30%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -19600000 | NC      | $-124385.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9520764 | PA      | $9434065.83   | 0.68%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-9420.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-242.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 3.0 05/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $31237.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-30528.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A           | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     203030 | PA      | $203130.48    | 0.01%             | 2031-04-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-ASP1                                     | ACE SECURITIES CORP. ACE 2007 ASP1 A2B                  | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314335 | PA      | $129064.92    | 0.01%             | 2037-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                         | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6074081 | PA      | $6099276.66   | 0.44%             | 2055-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9375376 | PA      | $6985721.12   | 0.50%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $5065.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2006-2                            | NEW CENTURY HOME EQUITY LOAN T NCHET 2006 2 A2B         | CUSIP: 64360YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     679188 | PA      | $679503.63    | 0.05%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) MAR26 XCBT 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1140 | NC      | $-160748.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49759 | PA      | $43126.84     | 0.00%             | 2047-01-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOYBEAN MEAL FUTR JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -1 | NC      | $269.22       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.89 08/27/20-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1184445.46   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1        | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7840 | PA      | $7821.77      | 0.00%             | 2036-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-593.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $6068.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1109.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A10                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A10 A5         | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     211100 | PA      | $60656.82     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700014.42    | 0.05%             | 2035-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | KC HRW WHEAT FUT  MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -18 | NC      | $2257.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | COCOA FUTURE      JUL26 IFUS 20260716                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          5 | NC      | $11427.17     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/53 1.5                               | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23002770 | PA      | $17955552.58  | 1.29%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/50 0.25                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12626706 | PA      | $7278168.77   | 0.52%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5362.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $33114.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/26 0.00000                             | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     334000 | PA      | $331140.79    | 0.02%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 1A1A       | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     808869 | PA      | $701606.99    | 0.05%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     294000 | PA      | $290867.69    | 0.02%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.7 04/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $290289.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                    | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507054 | PA      | $469623.95    | 0.03%             | 2036-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155563 | PA      | $146381.48    | 0.01%             | 2037-09-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR          | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8698 | PA      | $8934.96      | 0.00%             | 2034-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20600000 | PA      | $21432496.47  | 1.54%             | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BRENT CRUDE FUTR  SEP26 IFEU 20260731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          7 | NC      | $-5229.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $972.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4016461 | PA      | $4000984.17   | 0.29%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                             | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                     | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    6200000 | PA      | $7291554.52   | 0.52%             | 2037-01-20      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47038 | PA      | $45353.09     | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | TRS R SOFRRATE+18/91282CCM1 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-584300.93   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-7240.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23830 | PA      | $21332.88     | 0.00%             | 2046-12-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLD 100 OZ FUTR  APR26 XCEC 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          2 | NC      | $-30248.52    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-12655.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $942.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                          | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     451329 | PA      | $451884.70    | 0.03%             | 2030-10-24      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2947857.14  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3564.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $38415.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $35328.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                       | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    7076846 | PA      | $5323727.86   | 0.38%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10244 | PA      | $9935.38      | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1        | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63170 | PA      | $64199.79     | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21206 | PA      | $20684.63     | 0.00%             | 2035-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                               | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873246 | PA      | $867355.31    | 0.06%             | 2034-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $418.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | UK NATURAL GAS FUTMAR26 IFEU 20260226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -15 | NC      | $-8280.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38359280 | PA      | $28001507.19  | 2.01%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLD 100 OZ FUTR  FEB26 XCEC 20260225                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -13 | NC      | $-203883.89   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $172.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $213849.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/28 2.375                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74625408 | PA      | $76863306.82  | 5.51%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2601.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26005 | PA      | $22921.12     | 0.00%             | 2037-09-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $12133.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CORN FUTURE       MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -92 | NC      | $-31077.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $11374.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                            | CHASEFLEX TRUST CFLX 2007 1 2A6                         | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281095 | PA      | $89934.50     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20160 | PA      | $19415.69     | 0.00%             | 2035-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11       | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63661 | PA      | $26392.95     | 0.00%             | 2036-02-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING V CLO LTD 2016-5A                                   | CEDAR FUNDING LTD CEDF 2016 5A A1R 144A                 | CUSIP: 15032AAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     271644 | PA      | $271788.11    | 0.02%             | 2031-07-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $152.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                              | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510142 | PA      | $160676.18    | 0.01%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $9655.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15962 | PA      | $15446.53     | 0.00%             | 2034-02-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7669.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1748139.24  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39662024 | PA      | $37629156.50  | 2.70%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $43529.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $893.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26890014 | PA      | $25810398.76  | 1.85%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/31 0.125                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16222876 | PA      | $15126880.40  | 1.08%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413110 | PA      | $410540.12    | 0.03%             | 2037-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC          | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     572353 | PA      | $583408.83    | 0.04%             | 2073-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                     | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107106 | PA      | $25710.03     | 0.00%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1138.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3519.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                           | FREDDIE MAC FHR 4687 FG                                 | CUSIP: 3137BY3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     585767 | PA      | $574188.86    | 0.04%             | 2047-01-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| HENLEY CLO VII DAC 7A                                             | HENLEY FUNDING LTD. HNLY 7A AR 144A                     | CUSIP: ACI2QFVZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1061510 | PA      | $1248618.02   | 0.09%             | 2034-04-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                        | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     900000 | PA      | $283835.65    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 1.76 11/04/19-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2134179.72  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31259.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-6865.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31325 | PA      | $27108.77     | 0.00%             | 2035-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer