# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007241
**Filing Date:** 2026-5
**Character Count:** 864464
**Document Hash:** e7e34e74e1af8d14e17a9d0975a73255
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007241.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007241

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043427

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

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

## Series and Classes Contracts Data

### PIMCO Dynamic Bond Fund (Series ID: S000022557)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000065243 | A             | PUBAX           |
| C000065245 | I-2           | PUCPX           |
| C000065246 | Institutional | PFIUX           |
| C000069483 | Class C       | PUBCX           |
| C000069484 | Class R       | PUBRX           |
| C000200461 | I-3           | PFNUX           |

## 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 Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

- **b. EDGAR series identifier (if any):** S000022557

- **c. LEI of Series:** O7M5VNOD7AVYOESOBU56

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $7766922244.66

**Total Liabilities:** $5163857567.30

**Net Assets:** $2603064677.36

**Delayed Delivery Securities:** $36342863.41

**Cash Not Reported:** $12929886.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 119383.816400 | **1-Year:** 216716.419800 | **5-Year:** 844647.698700 | **10-Year:** 127518.127000 | **30-Year:** -20151.166500

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

- **3-Month:** 84938.301600 | **1-Year:** 31986.764900 | **5-Year:** 122697.362500 | **10-Year:** 45326.840600 | **30-Year:** 938.602600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000065243 | 0.65%                | 0.28%                | -1.79%               |
| Class ID C000069483 | 0.59%                | 0.22%                | -1.85%               |
| Class ID C000065245 | 0.68%                | 0.30%                | -1.77%               |
| Class ID C000200461 | 0.68%                | 0.30%                | -1.77%               |
| Class ID C000069484 | 0.63%                | 0.26%                | -1.81%               |
| Class ID C000065246 | 0.69%                | 0.31%                | -1.76%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5648018.98              | $10911923.13                               |
| Month 2  | $3183257.02              | $9857722.38                                |
| Month 3  | $-9980909.64             | $-54032006.58                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ADAPTHEALTH LLC                                                               | ADAPTHEALTH LLC COMPANY GUAR 144A 08/29 4.625            | CUSIP: 00653VAC5<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1495000 | PA      | $-1425606.88   | -0.05%            | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260526                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $758505.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3720060 | NC      | $-3284.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $48201.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/9.78750 12/17/25-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-4926.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-5053.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-48260.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A            | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      910000 | PA      | $1205739.91    | 0.05%             | 2049-12-21      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SW (FINANCE) I PLC                                                            | SW (FINANCE) I PLC SR SECURED REGS 05/28 2.375           | CUSIP: ACI1ML5J6<br>LEI: 549300BHN1HB5BNG2R96 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $3078815.02    | 0.12%             | 2028-05-28      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A4          | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1380404 | PA      | $1240871.95    | 0.05%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | FWD0Z35T8 COLOMBIA GOVT                                  | CUSIP: 990ADDTR8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 82274600000 | PA      | $20376851.07   | 0.78%             | 2035-01-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                | WINSTON RE LTD UNSECURED 144A 02/28 VAR                  | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $255800.00     | 0.01%             | 2028-02-21      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3MO EURO EURIBOR  DEC26 IFLL 20261214                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         918 | NC      | $-841670.30    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-50955.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C       | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      811882 | PA      | $686868.31     | 0.03%             | 2046-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -15 | NC      | $-1907.15      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMETEK INC                                                                    | AMETEK INC DISC COML 04/26 ZCP                           | CUSIP: 03111CDL4<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      950000 | PA      | $947888.25     | 0.04%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                                               | HILLENBRAND INC COMPANY GUAR 02/29 6.25                  | CUSIP: 431571AF5<br>LEI: U246OE781574J2BUD366 | Short            | DBT              | CORP              | US        |    -2300000 | PA      | $-2132755.04   | -0.08%            | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1491.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A1         | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39956 | PA      | $14229.42      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-47167.51     | -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      | $12693.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-9285.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $21946.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-62294.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-473565.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.50000 09/16/26-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-369068.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                                                          | RLJ LODGING TRUST LP SR SECURED 144A 09/29 4             | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1031047.71    | 0.04%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A                                | AURIUM CLO ACLO 4A AR 144A                               | CUSIP: ACI21GDS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4142045 | PA      | $4792377.16    | 0.18%             | 2031-01-16      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1244631.81    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-155785.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      199250 | PA      | $199250.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1               | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120172 | PA      | $93772.45      | 0.00%             | 2035-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                  | ALAMO RE LTD UNSECURED 144A 06/26 VAR                    | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     1800000 | PA      | $1835100.00    | 0.07%             | 2026-06-08      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A            | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      260000 | PA      | $341635.28     | 0.01%             | 2049-12-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE CO (AKA: ENERGIZER HOLDINGS INC)                       | EDGEWELL PERSONAL CARE COMPANY GUAR 144A 04/29 4.125     | CUSIP: 28035QAB8<br>LEI: 549300CY8QZDL4Z3RU59 | Short            | DBT              | CORP              | US        |    -1200000 | PA      | $-1134405.36   | -0.04%            | 2029-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2980                                                              | FREDDIE MAC FHR 2980 QA                                  | CUSIP: 31395UEG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29842 | PA      | $31010.63      | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1           | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4750 | PA      | $4799.32       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                             | NEWELL BRANDS INC SR UNSECURED 144A 06/28 8.5            | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Short            | DBT              | CORP              | US        |    -3425000 | PA      | $-3537168.75   | -0.14%            | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-6A                                             | STRUCTURED ASSET SECURITIES CO SASC 2003 6A 2A1          | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12267 | PA      | $12163.91      | 0.00%             | 2033-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002910 G2 04/30 FIXED 8.5                   | CUSIP: 36202DGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          57 | PA      | $57.48         | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR     | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     2500000 | PA      | $3068202.96    | 0.12%             | 2028-01-18      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260409                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $19216.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6763 FN 03/46 FIXED 3.5                      | CUSIP: 3138WGQR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      409799 | PA      | $384178.34     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORPORATION                                           | SIX FLAGS ENTERTAINME COMPANY GUAR 144A 05/31 7.25       | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1060306.72   | -0.04%            | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                             | CI FINANCIAL CORP COMPANY GUAR 144A 12/31 4.625          | CUSIP: ACI379J02<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     1000000 | PA      | $1157702.10    | 0.04%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      102375 | PA      | $102375.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1011250 | PA      | $1011250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-17680.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                    | DAVITA INC COMPANY GUAR 144A 02/31 3.75                  | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Short            | DBT              | CORP              | US        |    -3500000 | PA      | $-3211342.89   | -0.12%            | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260506                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2526.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-27551.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2936.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                              | GRIFONAS FINANCE PLC GRIF 1 A REGS                       | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      153514 | PA      | $174444.13     | 0.01%             | 2039-08-28      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-14285.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3409.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D             | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99864 | PA      | $49635.08      | 0.00%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-9                                                        | LEHMAN XS TRUST LXS 2006 9 A1C                           | CUSIP: 52523DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20046066 | PA      | $18862861.15   | 0.72%             | 2046-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2C             | CUSIP: 617538AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602411 | PA      | $302881.57     | 0.01%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA3 1A1        | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1568182 | PA      | $1442143.52    | 0.06%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4660814.99    | 0.18%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                         | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1         | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15530 | PA      | $11891.22      | 0.00%             | 2036-12-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2           | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1464645 | PA      | $388822.17     | 0.01%             | 2046-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 03/29 5.375                 | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    10500000 | PA      | $10667114.12   | 0.41%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-17.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                        | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3D          | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $1864452.22    | 0.07%             | 2036-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC)                          | TALEN ENERGY SUPPLY LLC COMPANY GUAR 144A 02/34 6.25     | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1088519.74   | -0.04%            | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1112625 | PA      | $1112625.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $6382.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2D                | CUSIP: 66988RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2657191 | PA      | $872467.77     | 0.03%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-2601.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-15427.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                               | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2               | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      513522 | PA      | $497822.28     | 0.02%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8262.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A3         | CUSIP: 12465MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      766717 | PA      | $355181.82     | 0.01%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1022.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                                        | ENERGIZER HOLDINGS INC COMPANY GUAR 144A 03/29 4.375     | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Short            | DBT              | CORP              | US        |    -3676000 | PA      | $-3500284.26   | -0.13%            | 2029-03-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1           | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174873 | PA      | $103156.97     | 0.00%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 79CB A3        | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170851 | PA      | $90161.69      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARES XXXIX CLO LTD 2016-39A                                                   | ARES CLO LTD ARES 2016 39A AR3 144A                      | CUSIP: 04015WBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $7018096.40    | 0.27%             | 2037-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BE16<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1694081.45    | 0.07%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    41309167 | PA      | $402309978.71  | 15.46%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4          | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      445171 | PA      | $164763.44     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1164000 | PA      | $1164000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-4A LTD                                           | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 4A A1R 144A      | CUSIP: 05685BAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1200000 | PA      | $1200930.85    | 0.05%             | 2037-10-16      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 07/35 FIXED 7.35                         | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      785714 | PA      | $845136.60     | 0.03%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $14944.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5384.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIENT CORPORATION                                                            | AVIENT CORP SR UNSECURED 144A 11/31 6.25                 | CUSIP: 05368VAB2<br>LEI: SM8L9RZYIB34LNTWO040 | Short            | DBT              | CORP              | US        |    -1300000 | PA      | $-1310171.20   | -0.05%            | 2031-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $23251.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG45 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                     | ROGERS COMMUNICATIONS IN SUBORDINATED 04/55 VAR          | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Short            | DBT              | CORP              | CA        |    -1445000 | PA      | $-1451594.98   | -0.06%            | 2055-04-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A15      | CUSIP: 02149JCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1541944 | PA      | $577269.28     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1070000 | PA      | $1070000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1153625 | PA      | $1153625.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A2B        | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30974 | PA      | $26629.95      | 0.00%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                     | JABIL INC                                                | CUSIP: 46652MED3<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     2050000 | PA      | $2038746.12    | 0.08%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260423                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-3872.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 806506 FN 10/44 FLOATING VAR                   | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1910 | PA      | $1932.84       | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 2A1         | CUSIP: 933634AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11794672 | PA      | $10335105.03   | 0.40%             | 2037-03-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HOCHTIEF AG SNR SE SP JPM                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $130673.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-335688.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      773000 | PA      | $773000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       99125 | PA      | $99125.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1           | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1480 | PA      | $1267.23       | 0.00%             | 2035-09-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A          | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27774 | PA      | $27264.65      | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300514                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $24549.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA4                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA4 A           | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      618337 | PA      | $571308.50     | 0.02%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 2A1          | CUSIP: 07401NAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      972865 | PA      | $928160.98     | 0.04%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1090375 | PA      | $1090375.00    | 0.04%             |  |  |  | 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        |       63529 | PA      | $41790.44      | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BANK OF AMERICA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1628833 | PA      | $-1629862.39   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY                     | SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 06/28 2.3     | CUSIP: 78448TAF9<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     2000000 | PA      | $1904131.88    | 0.07%             | 2028-06-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $33711.90      | 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        |    47318830 | PA      | $44660921.14   | 1.72%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                               | SKYMILES IP LTD 2025 REPRICED TERM LOAN B                | CUSIP: 24736CBT0<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |      275273 | PA      | $277022.24     | 0.01%             | 2028-10-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEMS INC                                                 | ADVANCED DRAINAGE SYSTEM SR UNSECURED 144A 03/34 5.375   | CUSIP: 00790RAC8<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Short            | DBT              | CORP              | US        |    -1500000 | PA      | $-1463431.20   | -0.06%            | 2034-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 1A1         | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112680 | PA      | $72438.89      | 0.00%             | 2036-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $613.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER                                  | CUSIP: 40412DDP1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1795080.06    | 0.07%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                          | ERAC USA FINANCE LLC                                     | CUSIP: 26882SDL7<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     1250000 | PA      | $1247146.63    | 0.05%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 2A1         | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      489216 | PA      | $430219.88     | 0.02%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BA5039 FN 01/46 FIXED 3.5                      | CUSIP: 3140E9S56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72230 | PA      | $67863.83      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-12                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 12 MV5           | CUSIP: 126673NX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      334215 | PA      | $334161.22     | 0.01%             | 2035-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6228.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-19399.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-120786.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A7         | CUSIP: 12668BNA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      542502 | PA      | $229538.62     | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A4        | CUSIP: 02150GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      797855 | PA      | $254754.09     | 0.01%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1051250 | PA      | $1051250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                               | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1               | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8441 | PA      | $5148.13       | 0.00%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS & RESORTS INC                                                  | WYNDHAM HOTELS + RESORTS COMPANY GUAR 144A 03/33 5.625   | CUSIP: 98311AAE5<br>LEI: 549300FE3MQ4RVXXC673 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1083441.70   | -0.04%            | 2033-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE INC                                                            | AMN HEALTHCARE INC COMPANY GUAR 144A 01/31 6.5           | CUSIP: 00175PAD5<br>LEI: 549300H27NUKBFFQEE84 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1078794.32   | -0.04%            | 2031-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 382                                                        | FREDDIEMAC STRIP FHS 382 C1                              | CUSIP: 3142FSZ93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13946093 | PA      | $2036080.50    | 0.08%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $37149.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $26472.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/28 VAR                      | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1041757.20    | 0.04%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1             | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8101001 | PA      | $1901603.79    | 0.07%             | 2046-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A         | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123380 | PA      | $105712.87     | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                 | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   280500000 | PA      | $15493993.65   | 0.60%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96              | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9148 | PA      | $3694.10       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7954.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      904531 | PA      | $904531.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-47                                                     | FANNIE MAE FNR 2017 47 ST                                | CUSIP: 3136AWWU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      286267 | PA      | $36323.50      | 0.00%             | 2047-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 4A1           | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326766 | PA      | $263450.88     | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                        | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A            | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112453 | PA      | $112032.46     | 0.00%             | 2031-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4959                                                       | FREDDIE MAC FHR 4959 IO                                  | CUSIP: 3137FRNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5646493 | PA      | $903898.47     | 0.03%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP DISC COML PAPER                                 | CUSIP: 00809KD21<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299933.01     | 0.01%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                           | NATURE COAST RE LTD UNSECURED 144A 02/30 VAR             | CUSIP: 63901CAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      600000 | PA      | $598320.00     | 0.02%             | 2030-02-26      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1097250 | PA      | $1097250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $65294.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260812                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $429243.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-12678.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1        | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      376004 | PA      | $336287.82     | 0.01%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $6146.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BD82<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     2450000 | PA      | $2447810.93    | 0.09%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR             | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     9700000 | PA      | $9622206.10    | 0.37%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/28 4.95    | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     3600000 | PA      | $3613493.12    | 0.14%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-5469.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7747.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $12719.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                  | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3253214 | PA      | $972521.24     | 0.04%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                       | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4          | CUSIP: 46602UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3762850 | PA      | $1210998.28    | 0.05%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1092000 | PA      | $1092000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                                  | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                   | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2199833.72    | 0.08%             | 2036-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A14        | CUSIP: 12668BLY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38077 | PA      | $15257.02      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-75.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                | GRAY MEDIA INC SR SECURED 144A 08/33 7.25                | CUSIP: 389375AP1<br>LEI: 529900TM5726KDN7UU35 | Short            | DBT              | CORP              | US        |    -2100000 | PA      | $-2117715.60   | -0.08%            | 2033-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $11184.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1          | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      545040 | PA      | $249818.35     | 0.01%             | 2036-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/2.41500 07/09/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1914503.68   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $30694.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $67.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $33229.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3383 FN 06/48 FIXED 3.5                      | CUSIP: 31418CXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109781 | PA      | $102077.39     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM1 A2B         | CUSIP: 59020U5D3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1488327 | PA      | $152275.66     | 0.01%             | 2037-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                             | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A              | CUSIP: 23332UEM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6547 | PA      | $5912.57       | 0.00%             | 2045-08-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1091750 | PA      | $1091750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      831000 | PA      | $831000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR             | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3702911.95    | 0.14%             | 2027-02-23      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-36418.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                         | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5             | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1749665 | PA      | $1775763.91    | 0.07%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR           | CUSIP: 3128NC6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         530 | PA      | $543.52        | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                   | ASBURY AUTOMOTIVE GROUP COMPANY GUAR 03/30 4.75          | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1060629.67   | -0.04%            | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                     | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR         | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6600000 | PA      | $4133250.00    | 0.16%             | 2067-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6585.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                       | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2A         | CUSIP: 84752CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      571211 | PA      | $294782.23     | 0.01%             | 2037-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5122                                                       | FREDDIE MAC FHR 5122 BI                                  | CUSIP: 3137H1AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10239881 | PA      | $2009505.95    | 0.08%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $135388.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 3CB1         | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      271886 | PA      | $217740.30     | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95            | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    29285000 | PA      | $9127168.15    | 0.35%             | 2031-08-12      | Fixed         | 6.95%                 | 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        |         988 | PA      | $928.21        | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-37041.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A4               | CUSIP: 466247ZR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31564 | PA      | $13681.44      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260520                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $341320.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      802188 | PA      | $802187.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2            | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5436396.96    | 0.21%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A1               | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      407029 | PA      | $210511.56     | 0.01%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER                                  | CUSIP: 40412DDN6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      550000 | PA      | $548564.50     | 0.02%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3241 FN 03/50 FIXED VAR                      | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    58153274 | PA      | $52038121.26   | 2.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1        | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178160 | PA      | $161928.63     | 0.01%             | 2036-01-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1           | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33202 | PA      | $32490.60      | 0.00%             | 2034-05-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY45 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6744309.45    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS9973 FN 07/47 FIXED 4                        | CUSIP: 3138WLCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8340 | PA      | $7994.45       | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $200122.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-10516.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 21A1         | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14101 | PA      | $14067.48      | 0.00%             | 2034-04-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                       | CHASEFLEX TRUST CFLX 2007 M1 2F4                         | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1090513 | PA      | $927968.69     | 0.04%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5163                                                       | FREDDIE MAC FHR 5163 KI                                  | CUSIP: 3137H43Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2823683 | PA      | $434162.44     | 0.02%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 3F 2A3                  | CUSIP: 362334JR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116794 | PA      | $105424.86     | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $34228.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $18445.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q49387 FG 07/47 FIXED 4                | CUSIP: 3132WPND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53479 | PA      | $51361.36      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | KBCZ26C45 DEC26 45 CALL FSO                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         276 | NC      | $20700.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                        | CHASEFLEX TRUST CFLX 2007 3 2A1                          | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327743 | PA      | $290806.82     | 0.01%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 05/30 VAR            | CUSIP: 60687YBX6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     3800000 | PA      | $3658912.50    | 0.14%             | 2030-05-22      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $14978.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-446680.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-41643.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-26939.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-43CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 43CB 3A1       | CUSIP: 02149FAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6566768 | PA      | $1753845.13    | 0.07%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                         | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1          | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178869 | PA      | $161590.62     | 0.01%             | 2035-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1168750 | PA      | $1168750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      527625 | PA      | $527625.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A       | CUSIP: 073888AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16821 | PA      | $17030.29      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2008-A                               | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2008 A A1 144A      | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1288823 | PA      | $1065018.69    | 0.04%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LLOYDS BANKING GROUP PLC SUB SE ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |           1 | NC      | $-50334.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6626.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-38383.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                           | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3              | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142578 | PA      | $141148.04     | 0.01%             | 2046-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A3               | CUSIP: 46630PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15974 | PA      | $11332.53      | 0.00%             | 2037-04-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-60                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A3              | CUSIP: 31394XVF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10521 | PA      | $10867.60      | 0.00%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| METHANEX CORPORATION                                                          | METHANEX CORP SR UNSECURED 12/29 5.25                    | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Short            | DBT              | CORP              | CA        |    -2000000 | PA      | $-1981105.80   | -0.08%            | 2029-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                                               | MASTERBRAND INC COMPANY GUAR 144A 07/32 7                | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Short            | DBT              | CORP              | US        |    -1891000 | PA      | $-1849139.50   | -0.07%            | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                       | BCAP LLC TRUST BCAP 2011 RR6 5A2 144A                    | CUSIP: 05535YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128991 | PA      | $60116.45      | 0.00%             | 2037-04-26      | Variable      | 28.36%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $2542.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.08244 06/30/26-27Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1270.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA                                                                    | AIR CANADA SR SECURED 144A 08/29 4.625                   | CUSIP: 008911BJ7<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |      800000 | PA      | $568977.07     | 0.02%             | 2029-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260911                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-895.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M3           | CUSIP: 86358EPS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605777 | PA      | $552041.41     | 0.02%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     9800000 | NC      | $583476.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG        | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $70000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      385000 | PA      | $385000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-12                                                | GSAA HOME EQUITY TRUST GSAA 2005 12 AF3W                 | CUSIP: 362341TK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66268 | PA      | $62430.17      | 0.00%             | 2035-09-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918        | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1620884.34    | 0.06%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-NC1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2007 NC1 A2 144A     | CUSIP: 00076BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8140186 | PA      | $7648358.15    | 0.29%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                               | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A    | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      841974 | PA      | $974167.19     | 0.04%             | 2031-01-15      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-7731.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-66                                                     | FANNIE MAE FNR 2023 66 AI                                | CUSIP: 3136BQA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9696343 | PA      | $2219327.98    | 0.09%             | 2053-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   285400000 | NC      | $633559.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                  | ACE SECURITIES CORP. ACE 2006 FM2 A2C                    | CUSIP: 00442CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1491662 | PA      | $338309.15     | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                             | NEWELL BRANDS INC SR UNSECURED 09/29 6.625               | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Short            | DBT              | CORP              | US        |    -1400000 | PA      | $-1367875.73   | -0.05%            | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      506875 | PA      | $506875.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $8623.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-53708.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                       | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75         | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    58800000 | PA      | $1022720.53    | 0.04%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2         | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3208507 | PA      | $768242.25     | 0.03%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1436.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                          | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $405400.00     | 0.02%             | 2031-05-13      | Floating      | 14.03%                | 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        |        4000 | PA      | $3865.72       | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      188750 | PA      | $188750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-29356.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260429                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1310.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      663250 | PA      | $663250.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      400000 | PA      | $354423.64     | 0.01%             | 2031-02-10      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3128.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MANUFACTURING INC                                             | AMERICAN AXLE + MFG INC COMPANY GUAR 10/29 5             | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Short            | DBT              | CORP              | US        |    -3225000 | PA      | $-3078598.87   | -0.12%            | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                       | DOMINICAN REPUBLIC SR UNSECURED 144A 01/41 5.3           | CUSIP: 25714PEG9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     2050000 | PA      | $1749265.00    | 0.07%             | 2041-01-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875               | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   316400000 | PA      | $18376770.04   | 0.71%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/26 FIXED 1.82   | CUSIP: 88880LAH6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      200000 | PA      | $199185.72     | 0.01%             | 2026-06-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                   | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         128 | PA      | $126.32        | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6LIA9 PIMCO FPPSWAPTION 3.8 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IE        |    29700000 | NC      | $980622.72     | 0.04%             |  |  |  | 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        |       21521 | PA      | $21128.74      | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1156375 | PA      | $1156375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3            | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      700000 | PA      | $547452.70     | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 E XA               | CUSIP: 59020UJU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      263451 | PA      | $23.53         | 0.00%             | 2029-11-25      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/36 4.125                              | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7290000 | PA      | $7176663.24    | 0.28%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                   | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28169 | PA      | $18440.67      | 0.00%             | 2046-09-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 02/33 10                | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2300000 | PA      | $2621873.50    | 0.10%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A2              | CUSIP: 31394JD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20110 | PA      | $21120.73      | 0.00%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                        | WESCO DISTRIBUTION INC COMPANY GUAR 144A 04/34 5.5       | CUSIP: 95081QAU8<br>LEI: 549300I2CEZJG9N4AH67 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1086083.89   | -0.04%            | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375   | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     2200000 | PA      | $2249446.28    | 0.09%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6923 FN 04/46 FIXED 3.5                      | CUSIP: 3138WGVR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      414760 | PA      | $388722.89     | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                      | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875     | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     4500000 | PA      | $4888420.46    | 0.19%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $2698.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B        | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1195571 | PA      | $318887.98     | 0.01%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-78                                                     | FANNIE MAE FNR 2021 78 HI                                | CUSIP: 3136BJZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7954048 | PA      | $1462020.05    | 0.06%             | 2051-11-25      | Fixed         | 3.50%                 | 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        |    11955174 | PA      | $11909256.69   | 0.46%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      699125 | PA      | $699125.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      171500 | PA      | $171500.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 2A12        | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      305110 | PA      | $220665.66     | 0.01%             | 2035-10-19      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | GOLDMAN SACHS REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      397500 | PA      | $397500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                         | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/31 4.85      | CUSIP: 873923AE6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3062430.70    | 0.12%             | 2031-03-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 02/26/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1427.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK1997 FN 04/48 FIXED 3.5                      | CUSIP: 3140HFGF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104690 | PA      | $97257.49      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR             | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      300000 | PA      | $298410.00     | 0.01%             | 2030-01-08      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20260414                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-11300.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-19351.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTRALOT CAPITAL LUXEMBOURG SA                                                | INTRALOT CAPITAL LUX SR SECURED 144A 10/31 6.75          | CUSIP: ACI30N7J0<br>LEI: 549300QF747C7UWZYB38 | Long             | DBT              | CORP              | LU        |     2955000 | PA      | $3271800.25    | 0.13%             | 2031-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3622                                                       | FREDDIE MAC FHR 3622 WA                                  | CUSIP: 31398LXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14097 | PA      | $14354.75      | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-387.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE2                                       | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE2 A4         | CUSIP: 93934JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1083021 | PA      | $856351.85     | 0.03%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 831872 FN 11/36 FIXED 6.5                      | CUSIP: 31407JFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163590 | PA      | $173124.21     | 0.01%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-47370.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1840.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A8          | CUSIP: 05949ADN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28759 | PA      | $27715.35      | 0.00%             | 2034-05-25      | Floating      | 6.43%                 | 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        |     2140754 | PA      | $2476914.13    | 0.10%             | 2031-10-15      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2005-A                                       | BAYVIEW FINANCIAL ACQUISITION BAYV 2005 A A2A 144A       | CUSIP: 073250BN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39541 | PA      | $38330.65      | 0.00%             | 2040-02-28      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888745 FN 10/37 FIXED VAR                      | CUSIP: 31410GL27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3694 | PA      | $3868.02       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1067000 | PA      | $1067000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260422                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $34304.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3337.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD UZS BOUGHT USD 20261211                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-721.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 520822 GN 03/35 FIXED 5.5                      | CUSIP: 36211RSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6935 | PA      | $7121.48       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20260408                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-11019.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 CB1         | CUSIP: 76110HG94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142881 | PA      | $46293.04      | 0.00%             | 2034-12-26      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80000 07/14/34-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $137581.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TREMONT RE LTD                                                                | TREMONT RE LTD UNSECURED 144A 03/33 VAR                  | CUSIP: 89479VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.01%             | 2033-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1         | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1131 | PA      | $474.55        | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A2       | CUSIP: 12667GWR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36383 | PA      | $28964.95      | 0.00%             | 2035-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 03/31 5.75           | CUSIP: 42704LAH7<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |    -1600000 | PA      | $-1577227.20   | -0.06%            | 2031-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2040000 | PA      | $2040000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 04/26 0.00000                              | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      324000 | PA      | $323347.86     | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1090375 | PA      | $1090375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.84200 03/04/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-15355.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                              | AEGIS ASSET BACKED SECURITIES AABST 2004 6 M2            | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85165 | PA      | $82050.17      | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-2                                                 | SLM STUDENT LOAN TRUST SLMA 2013 2 B                     | CUSIP: 78446CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      103000 | PA      | $98951.62      | 0.00%             | 2043-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA1 2A1        | CUSIP: 32051GV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125879 | PA      | $103739.90     | 0.00%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      584719 | PA      | $584718.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 5A1         | CUSIP: 61756XBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      872769 | PA      | $560226.19     | 0.02%             | 2037-12-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $62080.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1116500 | PA      | $1116500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A        | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      219594 | PA      | $138778.92     | 0.01%             | 2035-11-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A4             | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2800991 | PA      | $2360942.02    | 0.09%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                          | GSAMP TRUST GSAMP 2006 HE6 A4                            | CUSIP: 36245AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      616222 | PA      | $534495.68     | 0.02%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                   | ROYAL CARIBBEAN CRUISES SR UNSECURED 05/33 4.75          | CUSIP: 78017TAC7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     5500000 | PA      | $5312162.63    | 0.20%             | 2033-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $17826.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDEX FREIGHT HOLDING COMPANY INC                                             | FEDEX FREIGHT HOLDING CO COMPANY GUAR 144A 03/31 4.65    | CUSIP: 314352AC9<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6489844.55    | 0.25%             | 2031-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-3                                                 | SLM STUDENT LOAN TRUST SLMA 2013 3 B                     | CUSIP: 78447YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      104000 | PA      | $101659.82     | 0.00%             | 2076-09-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260602                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $29353.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                     | CAESARS ENTERTAIN INC COMPANY GUAR 144A 10/29 4.625      | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Short            | DBT              | CORP              | US        |    -5275000 | PA      | $-5076290.75   | -0.20%            | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 4A1         | CUSIP: 12667GPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9948 | PA      | $9695.65       | 0.00%             | 2035-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $618.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XII BV 12A                                                  | ARES EURO CLO ARESE 12A AR 144A                          | CUSIP: ACI20RGN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2051470 | PA      | $2371191.62    | 0.09%             | 2032-04-20      | Floating      | 2.88%                 | 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        |        6356 | PA      | $6121.77       | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M5           | CUSIP: 36242DN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410492 | PA      | $462344.00     | 0.02%             | 2035-03-25      | Floating      | 4.74%                 | 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      | $2155917.03    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                           | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1              | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39023 | PA      | $33376.44      | 0.00%             | 2035-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-115605.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC2669 FN 02/46 FIXED 3.5                      | CUSIP: 3140EW6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      325866 | PA      | $305577.62     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                      | LEHMAN XS TRUST LXS 2006 12N A32A                        | CUSIP: 525226AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      705517 | PA      | $702992.69     | 0.03%             | 2046-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 04/26 0.00000                              | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      157000 | PA      | $156905.54     | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55100 09/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $175611.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNIGEL LUXEMBOURG SA                                                          | UNIGEL LUXEMBOURG SA SR SECURED 144A 12/27 VAR           | CUSIP: 904752AC6<br>LEI: 213800Y16R77O7LH7X62 | Long             | DBT              | CORP              | LU        |     1374101 | PA      | $82446.06      | 0.00%             | 2027-12-31      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -19000000 | PA      | $-15308359.28  | -0.59%            | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-261054.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-4210.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINANCING I SR SECURED 144A 04/32 7.75        | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     3300000 | PA      | $3167326.54    | 0.12%             | 2032-04-15      | Fixed         | 7.75%                 | 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        |      124908 | PA      | $112526.35     | 0.00%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-48711.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $54440.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-4387657.10   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1         | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18679 | PA      | $17934.36      | 0.00%             | 2045-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1598.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $25480.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR             | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      300000 | PA      | $298560.00     | 0.01%             | 2030-01-08      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SFF7 PIMCO FXVAN CALL USD JPY 157.7000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      -50001 | NC      | $-581.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 TA1B          | CUSIP: 05951GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3481 | PA      | $3967.95       | 0.00%             | 2037-03-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85         | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    10000000 | PA      | $9812731.00    | 0.38%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1157750 | PA      | $1157750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/0.7* 03/30/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3692574.98    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9480.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO SR UNSECURED 01/32 VAR          | CUSIP: 14040HDP7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1280644.43    | 0.05%             | 2032-01-30      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-338.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2655.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG        | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90310 | PA      | $80591.51      | 0.00%             | 2036-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      692250 | PA      | $692250.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                                                | COUNTRYWIDE HOME LOANS CWHL 2004 20 2A1                  | CUSIP: 12669F2H5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7057 | PA      | $6762.39       | 0.00%             | 2034-09-25      | Floating      | 4.87%                 | 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        |      201340 | PA      | $192602.62     | 0.01%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -37000000 | PA      | $-34888694.90  | -1.34%            | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L                                      | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1            | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       16544 | PA      | $16853.33      | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO110626                               | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1457309000 | PA      | $1012950.40    | 0.04%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-9806.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                                    | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                   | CUSIP: 48130PEL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1740828.78    | 0.07%             | 2026-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5096                                                       | FREDDIE MAC FHR 5096 NI                                  | CUSIP: 3137FYS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5174878 | PA      | $848739.01     | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-81900.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2800000 | NC      | $-8050.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A2        | CUSIP: 12668BRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      765860 | PA      | $582317.47     | 0.02%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $47397.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1019.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2022-I LTD                                                       | CIFC FUNDING LTD CIFC 2022 1A A 144A                     | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6900000 | PA      | $6903300.96    | 0.27%             | 2035-04-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP MYI                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $24246.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1033750 | PA      | $1033750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1125250 | PA      | $1125250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2904.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4            | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3963872 | PA      | $708754.57     | 0.03%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260423                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3150.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6711872 | PA      | $2030118.51    | 0.08%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3210 FN 12/47 FIXED 3.5                      | CUSIP: 31418CR89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24770 | PA      | $22993.68      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC0822 FN 04/46 FIXED 3.5                      | CUSIP: 3140EU4G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38565 | PA      | $36153.97      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 07/31 5.25           | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |    -1325000 | PA      | $-1186623.89   | -0.05%            | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    75417000 | PA      | $77957305.50   | 2.99%             | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                             | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR               | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |      600000 | PA      | $621900.00     | 0.02%             | 2032-04-08      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 01/30 VAR                    | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1394034.53    | 0.05%             | 2030-01-23      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 04/33 5.625          | CUSIP: 382550BK6<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |    -2275000 | PA      | $-1996721.09   | -0.08%            | 2033-04-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD UZS BOUGHT USD 20261214                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-785.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH2597 FN 08/47 FIXED 4                        | CUSIP: 3140GQ3F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22695 | PA      | $21755.31      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                               | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995            | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     1500000 | PA      | $1774813.79    | 0.07%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-70540.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-51597.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2          | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67472 | PA      | $60871.39      | 0.00%             | 2035-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260506                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4284.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  MAR26 XCME 20260616                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         316 | NC      | $-299616.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 896497 FN 08/36 FIXED 6.5                      | CUSIP: 31410S7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34143 | PA      | $35820.19      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                           | CONSTELLATION ENERGY                                     | CUSIP: 21038QD19<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3599564.76    | 0.14%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C             | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2306341 | PA      | $1360586.73    | 0.05%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                      | SERVICE PROPERTIES TRUST SR UNSECURED 02/30 4.375        | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Short            | DBT              | CORP              | US        |     -775000 | PA      | $-689044.95    | -0.03%            | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-33                                                            | FANNIE MAE FNR 2002 33 A2                                | CUSIP: 31392DGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7431 | PA      | $7430.00       | 0.00%             | 2032-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      495625 | PA      | $495625.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR             | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      400000 | PA      | $414640.00     | 0.02%             | 2032-06-07      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORPORATION                                                   | KIOXIA HOLDINGS CORP COMPANY GUAR 144A 07/30 6.25        | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Short            | DBT              | CORP              | JP        |    -2000000 | PA      | $-2034057.88   | -0.08%            | 2030-07-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                           | NCL CORPORATION LTD SR UNSECURED 144A 02/32 6.75         | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Short            | DBT              | CORP              | BM        |    -1700000 | PA      | $-1688342.59   | -0.06%            | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11                 | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1       | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1969471 | PA      | $938770.79     | 0.04%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 09/31 VAR                               | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     5600000 | PA      | $5266383.98    | 0.20%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/18/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-107953.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                           | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1        | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      206380 | PA      | $195477.43     | 0.01%             | 2046-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     2200000 | PA      | $2215921.40    | 0.09%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-234648.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-18347.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004164 G2 06/38 FIXED 6                     | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8116 | PA      | $8209.49       | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                           | CONSTELLATION ENERGY                                     | CUSIP: 21038QD27<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1999516.00    | 0.08%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B        | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28898 | PA      | $27766.45      | 0.00%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 894893 FN 10/36 FIXED 6.5                      | CUSIP: 31410RGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         615 | PA      | $636.02        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7483.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS           | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9250353 | PA      | $1091697.06    | 0.04%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3           | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3801188 | PA      | $924483.13     | 0.04%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-2642.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-39                                                     | FANNIE MAE FNR 2023 39 AI                                | CUSIP: 3136BQFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9671196 | PA      | $1217077.44    | 0.05%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                            | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A  | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     2500000 | PA      | $2500779.88    | 0.10%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-94140.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2467.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5271.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALL CORPORATION                                                              | BALL CORP COMPANY GUAR 06/29 6                           | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1117187.50   | -0.04%            | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      714875 | PA      | $714875.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 03/34 6              | CUSIP: 42704LAK0<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |    -1800000 | PA      | $-1742010.84   | -0.07%            | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR             | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4950000 | PA      | $4904108.70    | 0.19%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC 2025 TERM LOAN B                   | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |     1188000 | PA      | $1187257.50    | 0.05%             | 2032-02-10      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008928 G2 07/26 FLOATING VAR                | CUSIP: 36202K4M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $14.85         | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITI SERVICES LLC                                                            | UNITI SERVICES LLC SR SECURED 144A 10/33 7.5             | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Short            | DBT              | CORP              | US        |    -1000000 | PA      | $-1040366.66   | -0.04%            | 2033-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 2A3        | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13644 | PA      | $12549.50      | 0.00%             | 2036-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260428                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $703.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260818                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-23649.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260626                               | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  6856986000 | PA      | $4729052.40    | 0.18%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                      | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1410000 | PA      | $1077150.04    | 0.04%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                  | ACE SECURITIES CORP. ACE 2006 FM2 A2B                    | CUSIP: 00442CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2781949 | PA      | $630307.50     | 0.02%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WELSH WATER (DWR CYMRU FINANCING UK PLC)                                      | DWR CYMRU FINANCING UK SUBORDINATED REGS 03/34 2.375     | CUSIP: ACI1WW932<br>LEI: 213800GDOFO2ED5PNC85 | Long             | DBT              | CORP              | GB        |     4950000 | PA      | $4877612.52    | 0.19%             | 2034-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                             | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                  | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      770015 | PA      | $890945.44     | 0.03%             | 2032-08-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-101592.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-34                                                            | FANNIE MAE FNR 2002 34 FB                                | CUSIP: 31392CP32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6427 | PA      | $6431.28       | 0.00%             | 2032-04-18      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2003-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A15 1A2         | CUSIP: 45660NWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35329 | PA      | $33511.06      | 0.00%             | 2034-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                                    | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                   | CUSIP: 48130PE44<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $249113.33     | 0.01%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $4.83          | 0.00%             |  |  |  | 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        |        2686 | PA      | $2401.47       | 0.00%             | 2045-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J2                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J2 1A7         | CUSIP: 12667F6C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217239 | PA      | $179824.85     | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260401                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-18937.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-67526.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-707582.45    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                        | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A4          | CUSIP: 18976GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240645 | PA      | $220831.86     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260506                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $4591.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $1894005.33    | 0.07%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-14981.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7        | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    96110000 | PA      | $30262263.05   | 1.16%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC5542 FN 03/46 FIXED 3.5                      | CUSIP: 3140F1EQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25118 | PA      | $23505.79      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2691.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REVERSE REPO BANK OF AMERICA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -3601569 | PA      | $-3604020.07   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-10651.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                 | CUSIP: ACI1SQVK7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1700000 | PA      | $2216160.83    | 0.09%             | 2027-05-12      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                  | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24797 | PA      | $23599.28      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A3        | CUSIP: 12668AUS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2004907 | PA      | $762349.87     | 0.03%             | 2035-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 310048 FN 02/38 FIXED VAR                      | CUSIP: 31374CL53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61074 | PA      | $64050.61      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                           | ELEVANCE HEALTH INC                                      | CUSIP: 28621BDD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      700000 | PA      | $698982.41     | 0.03%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $24492.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A2       | CUSIP: 02146VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      297285 | PA      | $214814.97     | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $58367.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1166188 | PA      | $1166188.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2C         | CUSIP: 17310VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1509396 | PA      | $1056335.75    | 0.04%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4973                                                       | FREDDIE MAC FHR 4973 IK                                  | CUSIP: 3137FT2D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4408603 | PA      | $919383.21     | 0.04%             | 2050-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 2A4A         | CUSIP: 17313QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30797 | PA      | $30377.52      | 0.00%             | 2037-09-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11809.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.2683 12/17/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-273105.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS7                                         | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS7 M6          | CUSIP: 76110W3C8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      797043 | PA      | $798610.79     | 0.03%             | 2035-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                       | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 2A2        | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11101 | PA      | $9871.40       | 0.00%             | 2033-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PMTS INC                                          | CUSIP: 37961DD64<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3797365.47    | 0.15%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      783000 | PA      | $783000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     4334000 | PA      | $4334000.00    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1290125.12   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      966088 | PA      | $962885.78     | 0.04%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A3       | CUSIP: 02149CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      628583 | PA      | $303969.60     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                        | WESCO DISTRIBUTION INC COMPANY GUAR 144A 04/31 5.25      | CUSIP: 95081QAT1<br>LEI: 549300I2CEZJG9N4AH67 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1096183.99   | -0.04%            | 2031-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      152486 | PA      | $152486.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINAN SR SECURED 144A 07/31 4.75              | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1292146.92    | 0.05%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                 | PURPLE RE LTD UNSECURED 144A 06/26 VAR                   | CUSIP: 74639NAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      400000 | PA      | $406600.00     | 0.02%             | 2026-06-05      | Floating      | 14.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                            | FANNIE MAE FNR 2006 15 FC                                | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4673 | PA      | $4610.11       | 0.00%             | 2036-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT COP SOLD USD 20260408                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $22505.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $18531.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-16294.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      181655 | PA      | $181655.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-195363.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A       | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      215236 | PA      | $209658.41     | 0.01%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A           | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41378 | PA      | $33629.18      | 0.00%             | 2035-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-2549.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6736.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-5                                                             | FANNIE MAE FNR 2005 5 PA                                 | CUSIP: 31394B5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1343 | PA      | $1335.99       | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                                         | TD SYNNEX CORP SR UNSECURED 08/28 2.375                  | CUSIP: 87162WAH3<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1234470.11    | 0.05%             | 2028-08-09      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-8674.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2227500 | PA      | $2227500.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 3 DAC 3A                                                    | TORO EUROPEAN CLO TCLO 3A ARRE 144A                      | CUSIP: ACI37Y6D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1500000 | PA      | $1733580.28    | 0.07%             | 2034-07-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-16516.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $182.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6802 FN 03/46 FIXED 3.5                      | CUSIP: 3138WGRY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      132798 | PA      | $124563.97     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $122142.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-38379.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG        | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      400000 | PA      | $140000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-12942.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS INC                                                    | ZIMMER BIOMET HOLDINGS SR UNSECURED 11/27 1.164          | CUSIP: ACI1GSHM8<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1910431.68    | 0.07%             | 2027-11-15      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3         | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213931 | PA      | $186592.87     | 0.01%             | 2035-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M6             | CUSIP: 61744CRW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3768170.80    | 0.14%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | LETRA TESOURO NACIONAL BILLS 10/26 0.00000               | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   339300000 | PA      | $61365986.59   | 2.36%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2D                           | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      408585 | PA      | $202731.14     | 0.01%             | 2046-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A            | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      455000 | PA      | $599040.93     | 0.02%             | 2049-12-21      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                                        | ENERGIZER HOLDINGS INC COMPANY GUAR 144A 09/33 6         | CUSIP: 29272WAG4<br>LEI: 5493000D6NN0V57UME20 | Short            | DBT              | CORP              | US        |    -1825000 | PA      | $-1711454.34   | -0.07%            | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300509                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $24566.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-195802.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-19855.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20260720                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-39984.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99000000 | PA      | $97444780.29   | 3.74%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7          | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      365681 | PA      | $336860.28     | 0.01%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.99850 07/03/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6642961.76    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 1A1          | CUSIP: 863579GY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38365 | PA      | $37184.53      | 0.00%             | 2035-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1         | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164020 | PA      | $135626.74     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                                       | ENI SPA SR UNSECURED 144A 05/34 5.5                      | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     1900000 | PA      | $1947018.50    | 0.07%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC ASHTEAD CAPITAL INC                  | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1019906.55    | 0.04%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A        | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      356999 | PA      | $339802.69     | 0.01%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                            | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A3           | CUSIP: 316599AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1223051 | PA      | $804883.93     | 0.03%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                     | AMERICAN AIRLINES INC 2025 TERM LOAN                     | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     3870750 | PA      | $3841719.38    | 0.15%             | 2028-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                       | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2          | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      514262 | PA      | $283999.97     | 0.01%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $140405.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1          | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1982616 | PA      | $764198.63     | 0.03%             | 2045-06-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A5         | CUSIP: 161630AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2804 | PA      | $2817.58       | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C             | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13171758 | PA      | $5327396.67    | 0.20%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      316875 | PA      | $316875.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 02/30 5.375                 | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     5400000 | PA      | $5486528.09    | 0.21%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-24352.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1137125 | PA      | $1137125.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                  | ACE SECURITIES CORP. ACE 2006 NC3 A2D                    | CUSIP: 00442EAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4705143 | PA      | $1173650.46    | 0.05%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | FWD0JVF55 COLOMBIA GOVT NDF                              | CUSIP: 990ADDTN7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 73384900000 | PA      | $16064115.92   | 0.62%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1048296.08    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-56                                                | COUNTRYWIDE HOME LOANS CWHL 2003 56 5A1                  | CUSIP: 12669FBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6050 | PA      | $6153.24       | 0.00%             | 2033-12-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      296625 | PA      | $296625.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1572.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                          | LIFEPOINT HEALTH INC 2024 1ST LIEN TERM LOAN B           | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     5176897 | PA      | $5184351.93    | 0.20%             | 2031-05-19      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                       | DOMINICAN REPUBLIC SR UNSECURED REGS 03/37 10.5          | CUSIP: P3579ECY1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    11400000 | PA      | $195739.98     | 0.01%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244          | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2386577.14    | 0.09%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-132531.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-654.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1205.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                              | VIRGIN MEDIA SECURED FIN SR SECURED REGS 05/29 5.25      | CUSIP: ACI1BWMH9<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     3700000 | PA      | $4690588.12    | 0.18%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1870050 | PA      | $1870050.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-6602.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                | GRAY MEDIA INC COMPANY GUAR 144A 11/31 5.375             | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Short            | DBT              | CORP              | US        |    -1664000 | PA      | $-1236926.08   | -0.05%            | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-22484.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3894.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      521875 | PA      | $521875.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A           | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58339 | PA      | $55444.04      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| LINDBLAD EXPEDITIONS LLC                                                      | LINDBLAD EXPEDITIONS LLC SR SECURED 144A 09/30 7         | CUSIP: 53523LAB6<br>LEI: 549300MPUWOG67Y2R254 | Short            | DBT              | CORP              | US        |    -1900000 | PA      | $-1941032.40   | -0.07%            | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C         | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1064276 | PA      | $595492.82     | 0.02%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5123                                                   | FREDDIE MAC FHR 5123 IN                                  | CUSIP: 3137H15W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3987892 | PA      | $678426.22     | 0.03%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN26 XCME 20260915                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         316 | NC      | $-322329.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/18/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1804912.93    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA3                                        | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA3 1A          | CUSIP: 749575AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6801 | PA      | $0.07          | 0.00%             | 2036-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $1180.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                      | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                  | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3599253 | PA      | $30532.47      | 0.00%             | 2039-10-02      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 12/21/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $20381581.77   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                           | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR             | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      800000 | PA      | $828160.00     | 0.03%             | 2033-04-10      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2219250 | PA      | $2219250.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4         | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6866788 | PA      | $1561023.49    | 0.06%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-600675.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8          | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  1495000000 | PA      | $1643651.03    | 0.06%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      192308 | PA      | $192307.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2026500 | PA      | $2026500.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 841068 FN 11/34 FLOATING VAR                   | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33728 | PA      | $35300.15      | 0.00%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260408                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6541.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2                             | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3          | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2183081 | PA      | $1386153.43    | 0.05%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      184725 | PA      | $184725.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 05/26 ZCP                        | CUSIP: 40412DEB1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5074594.35    | 0.19%             | 2026-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C             | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7380804 | PA      | $3522370.77    | 0.14%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2004-11                                                       | IMPAC CMB TRUST IMM 2004 11 2A1                          | CUSIP: 45254NMB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35656 | PA      | $33883.33      | 0.00%             | 2035-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH7                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1         | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24304 | PA      | $23736.61      | 0.00%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                  | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1074321 | PA      | $374107.18     | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 11/31 2.9               | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      500000 | PA      | $438798.12     | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.75000 09/16/26-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1432318.53   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1        | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14252 | PA      | $7912.79       | 0.00%             | 2035-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                           | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3         | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1284847 | PA      | $914951.05     | 0.04%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG46 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $89730.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALL CORPORATION                                                              | BALL CORP COMPANY GUAR 09/31 3.125                       | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Short            | DBT              | CORP              | US        |    -1200000 | PA      | $-1081708.92   | -0.04%            | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  JUN26 XEUR 20260608                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -334 | NC      | $1293515.33    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 07/31 VAR                  | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1700000 | PA      | $1733583.13    | 0.07%             | 2031-07-08      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS JR SUBORDINA 06/56 VAR            | CUSIP: ACI34TZF0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      650000 | PA      | $728082.29     | 0.03%             | 2056-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1778875 | PA      | $1778875.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                          | FRONTIER COMMUNICATIONS SR SECURED 144A 05/30 8.75       | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4107364.00    | 0.16%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                               | BEAR STEARNS ALT A TRUST BALTA 2006 4 11A1               | CUSIP: 073871AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      733192 | PA      | $668826.02     | 0.03%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A        | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2101394.80    | 0.08%             | 2034-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2178000 | PA      | $2178000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                          | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR            | CUSIP: 92853KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      600000 | PA      | $600030.00     | 0.02%             | 2031-01-08      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA                                 | CUSIP: 28504HD19<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     1450000 | PA      | $1449841.95    | 0.06%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                       | FREDDIE MAC FHR 4923 SE                                  | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12319671 | PA      | $1546200.05    | 0.06%             | 2048-04-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-HE1                                                  | ACE SECURITIES CORP. ACE 2003 HE1 M1                     | CUSIP: 004421DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100272 | PA      | $103502.48     | 0.00%             | 2033-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                                          | SONIC AUTOMOTIVE INC COMPANY GUAR 144A 11/29 4.625       | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Short            | DBT              | CORP              | US        |     -500000 | PA      | $-485004.30    | -0.02%            | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-5348.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD UZS BOUGHT USD 20260910                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2117.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 37T1 A5        | CUSIP: 12667G2X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1906013 | PA      | $1159228.42    | 0.04%             | 2035-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A         | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    24113525 | PA      | $12907366.84   | 0.50%             | 2039-09-07      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                                           | GRAPHIC PACKAGING INTERN COMPANY GUAR 144A 02/30 3.75    | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Short            | DBT              | CORP              | US        |    -1200000 | PA      | $-1102339.08   | -0.04%            | 2030-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-11                                                | COUNTRYWIDE HOME LOANS CWHL 2004 11 2A1                  | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43326 | PA      | $41608.24      | 0.00%             | 2034-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     9800000 | NC      | $499138.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS REGS 09/28 VAR                               | CUSIP: 09659X2M3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1200000 | PA      | $1153854.55    | 0.04%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-99                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 99 BS            | CUSIP: 38381XTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1511000 | PA      | $112266.06     | 0.00%             | 2049-08-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-42165.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5392                                                       | FREDDIE MAC FHR 5392 GI                                  | CUSIP: 3137HBX25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11931542 | PA      | $1366876.21    | 0.05%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3609000 | PA      | $3609000.00    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-6987.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-FLX2                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX2 A1A        | CUSIP: 45668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191361 | PA      | $171549.88     | 0.01%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2367.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SEV3 PIMCO FXVAN PUT USD BRL 5.12000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10750000 | NC      | $-67166.00     | -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        |       39293 | PA      | $38918.72      | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $8044.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                        | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A     | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      291226 | PA      | $283149.43     | 0.01%             | 2036-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3320.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHETARD INC                              | CUSIP: 01626VDM2<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     1300000 | PA      | $1296911.98    | 0.05%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11398.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 062938 FN 03/27 FLOATING VAR                   | CUSIP: 31362J4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $34.31         | 0.00%             | 2027-03-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2800000 | NC      | $-7793.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   190000000 | PA      | $193323491.40  | 7.43%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A            | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1634863 | PA      | $2165407.16    | 0.08%             | 2049-12-21      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $0.40          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS BANK REV REPO REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | ZA        |  -301577532 | PA      | $-17828958.06  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2001-W4                                                 | FANNIEMAE WHOLE LOAN FNW 2001 W4 AF6                     | CUSIP: 3139216U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         322 | PA      | $321.60        | 0.00%             | 2032-01-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2306230.82    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                 | EGYPT TREASURY BILL BILLS 10/26 0.00000                  | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     8600000 | PA      | $138282.89     | 0.01%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-45                                                     | FANNIE MAE FNR 2018 45 SA                                | CUSIP: 3136B2EP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5205503 | PA      | $607276.61     | 0.02%             | 2048-06-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260629                               | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  7462756000 | PA      | $5138854.17    | 0.20%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-146136.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $48928.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1SB 144A           | CUSIP: 078446AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20259488 | PA      | $5073380.96    | 0.19%             | 2044-11-03      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-207867.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                              | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27022 | PA      | $25767.53      | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5          | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17287 | PA      | $17149.32      | 0.00%             | 2033-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ1850 FN 11/47 FIXED 4                        | CUSIP: 3140H3BU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19447 | PA      | $18639.71      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                       | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1          | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         213 | PA      | $202.32        | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 05/26 ZCP                        | CUSIP: 40412DED7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      250000 | PA      | $248691.48     | 0.01%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $628.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A             | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1228275 | PA      | $496811.94     | 0.02%             | 2037-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                             | BARINGS EURO CLO DAC BABSE 2025 1A A 144A                | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2307268.91    | 0.09%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-1                                                 | SLM STUDENT LOAN TRUST SLMA 2013 1 B                     | CUSIP: 78447MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      141000 | PA      | $141672.74     | 0.01%             | 2070-11-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 5.85         | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      400000 | PA      | $403042.72     | 0.02%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR           | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    16100000 | PA      | $15960402.86   | 0.61%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7               | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3103228.09    | 0.12%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1089000 | PA      | $1089000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                       | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2          | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2165027 | PA      | $506363.11     | 0.02%             | 2036-09-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3720060 | NC      | $11870.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $20369.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     5479940 | NC      | $16335.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                             | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      800000 | PA      | $798037.12     | 0.03%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      187575 | PA      | $187575.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                           | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 6A1 144A       | CUSIP: 74930PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1063345 | PA      | $1064692.65    | 0.04%             | 2036-06-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-26686.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2C                           | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2124643 | PA      | $1054257.16    | 0.04%             | 2046-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| METHANEX CORPORATION                                                          | METHANEX CORP SR UNSECURED 10/27 5.125                   | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Short            | DBT              | CORP              | CA        |    -2000000 | PA      | $-1988720.80   | -0.08%            | 2027-10-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $798.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A1A        | CUSIP: 466287AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      335203 | PA      | $292114.60     | 0.01%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $275062.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 03/28 VAR          | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1900000 | PA      | $1887696.09    | 0.07%             | 2028-03-18      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A          | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173623 | PA      | $145251.49     | 0.01%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | YI4360438 NIGERIA OMO BILL                               | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1396100000 | PA      | $880145.81     | 0.03%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.87400 03/05/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-11378.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                | NRG ENERGY INC COMPANY GUAR 144A 11/34 6.25              | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Short            | DBT              | CORP              | US        |    -2100000 | PA      | $-2118453.10   | -0.08%            | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11106.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5          | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2250293 | PA      | $1335133.14    | 0.05%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $62909.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.87400 09/19/23-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5112979.85    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      639000 | PA      | $639000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 02/30 4.3                          | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      105000 | PA      | $104352.92     | 0.00%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-63654.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC4ZA1 PIMCO SWAPTION 2.92 PUT EUR 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2300000 | NC      | $-8531.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC)                          | TALEN ENERGY SUPPLY LLC COMPANY GUAR 144A 02/36 6.5      | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1108228.80   | -0.04%            | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14854.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 780090 FH 12/32 FLOATING VAR           | CUSIP: 31342AC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         504 | PA      | $513.27        | 0.00%             | 2032-12-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CONSTELLATION OIL D SHS WARRNT WARRYU9O1                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $0.00          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20310114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2517.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 9 A12                   | CUSIP: 12544XAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1449678 | PA      | $639789.33     | 0.02%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC COMPANY GUAR 144A 10/33 5.95         | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4742772.78    | 0.18%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008959 G2 08/26 FLOATING VAR                | CUSIP: 36202K5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          33 | PA      | $32.80         | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-18470.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260428                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2490.26       | 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        |       11853 | PA      | $11647.46      | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                    | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1307638 | PA      | $478013.79     | 0.02%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3        | CUSIP: 93363NAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      299185 | PA      | $266422.13     | 0.01%             | 2036-10-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FAURECIA SE                                                                   | FORVIA SE SR UNSECURED 144A 09/33 6.75                   | CUSIP: 31209DAC9<br>LEI: 969500F0VMZLK2IULV85 | Short            | DBT              | CORP              | FR        |    -1100000 | PA      | $-1074650.28   | -0.04%            | 2033-09-15      | Fixed         | 6.75%                 | 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        |      556947 | PA      | $169097.82     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                          | FREDDIEMAC STRIP FHS 362 C4                              | CUSIP: 31325W4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2747387 | PA      | $458287.43     | 0.02%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 10/30 1.875             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1501116.86    | 0.06%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                 | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1936059 | PA      | $520432.08     | 0.02%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BDQ2<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1845023.69    | 0.07%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                                | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231419 | PA      | $225643.48     | 0.01%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080331 G2 10/29 FLOATING VAR                | CUSIP: 36225CLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         196 | PA      | $196.60        | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFX 144A   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1244602.84    | 0.05%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                               | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $526400.00     | 0.02%             | 2031-05-07      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-95                                                            | FANNIE MAE FNR 2002 95 DB                                | CUSIP: 31392HGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13681 | PA      | $14112.68      | 0.00%             | 2033-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $39481.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 813599 FN 01/36 FLOATING VAR                   | CUSIP: 31406L3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16231 | PA      | $16700.54      | 0.00%             | 2036-01-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3557.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ3970 FN 01/48 FIXED 3.5                      | CUSIP: 3140H5MU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      177208 | PA      | $169057.77     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA                                                        | JP MORGAN CHASE BANK NA SR UNSECURED 12/26 5.11          | CUSIP: 48125LRU8<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1056012.33    | 0.04%             | 2026-12-08      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $23636.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 545204 FN 05/36 FLOATING VAR                   | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         428 | PA      | $422.73        | 0.00%             | 2036-05-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.0520* 03/16/26-30Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1419.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-78                                                     | FANNIE MAE FNR 2014 78 IT                                | CUSIP: 3136ALQ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4973067 | PA      | $634283.85     | 0.02%             | 2043-07-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                              | FREDDIE MAC FHR 2400 FQ                                  | CUSIP: 31339NC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         248 | PA      | $248.18        | 0.00%             | 2032-01-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                          | ERAC USA FINANCE LLC                                     | CUSIP: 26882SDA1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      450000 | PA      | $449495.24     | 0.02%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77500 03/03/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $32454.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $22713.36      | 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        |    40109841 | PA      | $40322268.33   | 1.55%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AM3                                            | MASTR ASSET BACKED SECURITIES MABS 2006 AM3 A4           | CUSIP: 57645EAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1252719 | PA      | $1143252.34    | 0.04%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)                        | CBRE SVCS INC DISC COML PAPER 06/26 ZCP                  | CUSIP: 12610CFC9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1090867.36    | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $44452.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCO BRANDS CORPORATION                                                       | ACCO BRANDS CORP COMPANY GUAR 144A 03/29 4.25            | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Short            | DBT              | CORP              | US        |    -1767000 | PA      | $-1578962.93   | -0.06%            | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1017500 | PA      | $1017500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3         | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      680443 | PA      | $555387.63     | 0.02%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2958750 | PA      | $2958750.00    | 0.11%             |  |  |  | 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      | $-368025.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 25T1 A5        | CUSIP: 12667GRF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1135485 | PA      | $692094.61     | 0.03%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                           | NEXTERA ENERGY CAP HLDGS INC                             | CUSIP: 65339ND76<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      500000 | PA      | $499614.05     | 0.02%             | 2026-04-07      | None          | 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        |      150038 | PA      | $143194.46     | 0.01%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A          | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89818 | PA      | $86233.90      | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      522500 | PA      | $522500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 735642 FN 08/42 FLOATING VAR                   | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3945 | PA      | $3948.12       | 0.00%             | 2042-08-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                         | NABORS INDUSTRIES INC COMPANY GUAR 144A 01/30 9.125      | CUSIP: 62957HAP0<br>LEI: 549300VFQWRKICUFNU92 | Short            | DBT              | CORP              | US        |     -500000 | PA      | $-525280.50    | -0.02%            | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      468125 | PA      | $468125.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                          | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $407000.00     | 0.02%             | 2031-05-13      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                                            | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4             | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387283 | PA      | $102578.27     | 0.00%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHEMOURS COMPANY                                                              | CHEMOURS CO COMPANY GUAR 144A 11/28 5.75                 | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Short            | DBT              | CORP              | US        |    -2325000 | PA      | $-2303876.21   | -0.09%            | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                          | ERAC USA FINANCE LLC                                     | CUSIP: 26882SDP8<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249340.55     | 0.01%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-881511.73    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS JR SUBORDINA 06/56 VAR            | CUSIP: ACI34TWT3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      650000 | PA      | $832306.06     | 0.03%             | 2056-06-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A     | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      939275 | PA      | $930308.44     | 0.04%             | 2037-04-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-B                                                | FREMONT HOME LOAN TRUST FHLT 2004 B M1                   | CUSIP: 35729PDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2400681 | PA      | $2395716.03    | 0.09%             | 2034-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080395 G2 04/30 FLOATING VAR                | CUSIP: 36225CNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2208 | PA      | $2204.04       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12752.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A           | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         804 | PA      | $817.56        | 0.00%             | 2034-03-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR             | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2335995.00    | 0.09%             | 2027-04-05      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6QAA6 PIMCO FPPSWAPTION 3.808 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14700000 | NC      | $1165837.89    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-5655.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-26563.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.67900 03/10/26-10Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $15824.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A          | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          71 | PA      | $733043.02     | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575        | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      438560 | PA      | $432763.01     | 0.02%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                   | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000              | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    39000000 | PA      | $871083.80     | 0.03%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23195304 | PA      | $22878943.71   | 0.88%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A          | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          71 | PA      | $15540.86      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-74956.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A6                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A6 2A13         | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327624 | PA      | $157204.54     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260409                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-14264.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $57133.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                   | PALM RE LTD UNSECURED 144A 06/32 VAR                     | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $412360.00     | 0.02%             | 2032-06-07      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1         | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346923 | PA      | $335683.19     | 0.01%             | 2036-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A      | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129777 | PA      | $108840.28     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1123375 | PA      | $1123375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR               | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8097998.07    | 0.31%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55           | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $986800.06     | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2007-W1                                                 | FANNIEMAE WHOLE LOAN FNW 2007 W1 1AS                     | CUSIP: 31395D7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2967051 | PA      | $143391.05     | 0.01%             | 2046-11-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 04/31 5.42         | CUSIP: 345397J61<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6700000 | PA      | $6581740.31    | 0.25%             | 2031-04-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  JUN26 IFLL 20260626                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         210 | NC      | $-1317494.69   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| METHANEX US OPERATIONS INC                                                    | METHANEX US OPERATIONS COMPANY GUAR 144A 03/32 6.25      | CUSIP: 59151LAA4<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1900000 | PA      | $-1944879.90   | -0.07%            | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $7555.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-10                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 10 2A1A        | CUSIP: 41162CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65566 | PA      | $58877.87      | 0.00%             | 2036-11-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1111000 | PA      | $1111000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1161000 | PA      | $1161000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                  | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                 | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     1600000 | PA      | $1861521.01    | 0.07%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $51519.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                         | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2B          | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2154661 | PA      | $907305.13     | 0.03%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-23040.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR1                                             | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 1A1A              | CUSIP: 23332UGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204963 | PA      | $177292.12     | 0.01%             | 2046-03-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | HARDWOOD FUNDING LLC CORP0HRF2                           | CUSIP: 955NUGII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2415264.91    | 0.09%             | 2032-06-07      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | IRS CZK 4.53000 12/31/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-3030.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                                         | BATH + BODY WORKS INC COMPANY GUAR 02/28 5.25            | CUSIP: 501797AN4<br>LEI: GR3KVMWVCR54YWQNXU90 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1099502.03   | -0.04%            | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHEMOURS COMPANY                                                              | CHEMOURS CO COMPANY GUAR 144A 11/29 4.625                | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Short            | DBT              | CORP              | US        |    -1900000 | PA      | $-1783444.88   | -0.07%            | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $18545.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $21958.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2               | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      737189 | PA      | $319532.30     | 0.01%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                               | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1               | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49867 | PA      | $37672.76      | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B A 144A      | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330000 | PA      | $313841.62     | 0.01%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 09/28 VAR                               | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     2000000 | PA      | $1923090.92    | 0.07%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1085.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2900000 | NC      | $-3623.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                          | GSAMP TRUST GSAMP 2006 FM2 A2C                           | CUSIP: 36245DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1319380 | PA      | $453018.35     | 0.02%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER COMPANY                                                          | WEYERHAEUSER CO SR UNSECURED 04/30 4                     | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $4968629.92    | 0.19%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2007 3F 3A2                  | CUSIP: 3622MWAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153133 | PA      | $107789.61     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      714875 | PA      | $714875.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH2087 FN 05/47 FIXED 4                        | CUSIP: 3140GQJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4578 | PA      | $4400.23       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                 | VISTRA OPERATIONS CO LLC COMPANY GUAR 144A 04/32 6.875   | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Short            | DBT              | CORP              | US        |    -2800000 | PA      | $-2899504.64   | -0.11%            | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RAD CLO 16 LTD 2022-16A                                                       | RAD CLO LTD RAD 2022 16A A1R 144A                        | CUSIP: 75009LAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1503997.86    | 0.06%             | 2037-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-WF1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2003 WF1 A2          | CUSIP: 04542BCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93454 | PA      | $93736.94      | 0.00%             | 2032-12-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                        | VENTURE GLOBAL LNG INC SR SECURED 144A 06/31 8.375       | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      500000 | PA      | $520247.67     | 0.02%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260422                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-103606.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                           | CENTENE CORP SR UNSECURED 12/27 4.25                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      923000 | PA      | $907197.96     | 0.03%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                      | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3         | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      229466 | PA      | $237476.28     | 0.01%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $126.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ0647 FN 03/48 FIXED 3.5                      | CUSIP: 3140H1WH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102664 | PA      | $95586.96      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 1A1           | CUSIP: 05952DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      611016 | PA      | $587356.65     | 0.02%             | 2047-02-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1591.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1               | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         166 | PA      | $153.89        | 0.00%             | 2028-06-25      | Floating      | 4.45%                 | 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        |        3463 | PA      | $3363.55       | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA SR UNSECURED 04/29 2.25             | CUSIP: ACI1N5XG5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  2877422680 | PA      | $680088.89     | 0.03%             | 2029-04-18      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2418750 | PA      | $2418750.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                         | CUSIP: 49271KDF8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1846763.24    | 0.07%             | 2026-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-274899.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORPORATION                                                   | KIOXIA HOLDINGS CORP COMPANY GUAR 144A 07/33 6.625       | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Short            | DBT              | CORP              | JP        |    -3100000 | PA      | $-3189047.04   | -0.12%            | 2033-07-24      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1                                       | ALTICE FRAN LUX 3/HOLD 1 SR UNSECURED 144A 01/33 10      | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |       88568 | PA      | $80595.81      | 0.00%             | 2033-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2004-2                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 2 4A1           | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2999 | PA      | $2881.18       | 0.00%             | 2034-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/8.50000 06/25/25-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $1677415.86    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                           | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1         | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      427247 | PA      | $252492.44     | 0.01%             | 2037-06-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.3537 05/12/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-2839351.15   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 04/32 6.5                  | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |     -890000 | PA      | $-897858.70    | -0.03%            | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-43420.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP                              | WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 05/27 5.25     | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      600000 | PA      | $598165.50     | 0.02%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20260622                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-258400.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15          | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      337212 | PA      | $314734.13     | 0.01%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2005-2                                              | NELNET STUDENT LOAN TRUST NSLT 2005 2 A5                 | CUSIP: 64031QBX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       38353 | PA      | $38064.23      | 0.00%             | 2037-03-23      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-9880.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 10/28 4.75                 | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |    -3312000 | PA      | $-3251776.58   | -0.12%            | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 11A1        | CUSIP: 466278AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3611728 | PA      | $1833727.06    | 0.07%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                  | SABINE PASS LIQUEFACTION SR SECURED 03/27 5              | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     1423000 | PA      | $1425842.87    | 0.05%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25                | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    58600000 | PA      | $3381718.25    | 0.13%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2004-NC1                                            | CARRINGTON MORTGAGE LOAN TRUST CARR 2004 NC1 M1          | CUSIP: 144531AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      639566 | PA      | $673972.98     | 0.03%             | 2034-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                   | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   629025000 | PA      | $34840280.76   | 1.34%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A1           | CUSIP: 76114QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1347585 | PA      | $480253.86     | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS PLN 4.72250 12/01/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $51498.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      341000 | PA      | $341000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B         | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1531022 | PA      | $748174.17     | 0.03%             | 2037-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-2                                        | MASTR SEASONED SECURITIZATION MSSTR 2005 2 4A1           | CUSIP: 55265WDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         125 | PA      | $121.33        | 0.00%             | 2032-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PMTS INC 04/26 ZCP                                | CUSIP: 37961DD15<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      500000 | PA      | $499942.20     | 0.02%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SFE0 PIMCO FXVAN CALL USD JPY 157.7000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -13032499 | NC      | $-151450.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                   | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   266700000 | PA      | $14833224.73   | 0.57%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875         | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1660592 | PA      | $1689440.68    | 0.06%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                | COUNTRYWIDE HOME LOANS CWHL 2004 R1 1AF 144A             | CUSIP: 12669F7J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5799 | PA      | $5618.90       | 0.00%             | 2034-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 05/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-249361.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260602                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $19446.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP DISC COML PAPER                                 | CUSIP: 00809KDD7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      350000 | PA      | $349480.57     | 0.01%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 8A1          | CUSIP: 225470SB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      641899 | PA      | $415019.36     | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-33695.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1091750 | PA      | $1091750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                 | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5700000 | PA      | $5776302.25    | 0.22%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $167198.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $2193.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M5           | CUSIP: 86358EPU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      629065 | PA      | $262898.00     | 0.01%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-5                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 5 1A1           | CUSIP: 86363XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      799396 | PA      | $760751.00     | 0.03%             | 2037-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                               | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95            | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $5823498.65    | 0.22%             | 2027-04-15      | Fixed         | 2.95%                 | 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        |         573 | PA      | $570.85        | 0.00%             | 2042-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                       | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62            | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1300000 | PA      | $1305154.42    | 0.05%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                               | PROJECT NOVA TERM LOAN                                   | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |      600000 | PA      | $600000.00     | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE                                                                 | ALTICE FRANCE SA SR SECURED 144A 07/32 6.875             | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      734148 | PA      | $696290.54     | 0.03%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1549.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | HARDWOOD FUNDING LLC CORP0HRD7                           | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1301576.13    | 0.05%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A2         | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178790 | PA      | $161613.34     | 0.01%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10247.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                 | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2378200.00    | 0.09%             | 2027-01-07      | Floating      | 16.79%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 3A4             | CUSIP: 22942KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      288499 | PA      | $101736.87     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                              | CINEMARK USA INC COMPANY GUAR 144A 08/32 7               | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Short            | DBT              | CORP              | US        |    -2375000 | PA      | $-2442466.63   | -0.09%            | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 2A1         | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8816 | PA      | $8886.30       | 0.00%             | 2035-06-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 572134 GN 10/34 FIXED 5.5                      | CUSIP: 36200TSX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16592 | PA      | $17291.91      | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A3          | CUSIP: 43710EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2402690 | PA      | $1341195.39    | 0.05%             | 2037-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $91409.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                                 | FANNIEMAE WHOLE LOAN FNW 2003 W8 1IO2                    | CUSIP: 31393CW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5808513 | PA      | $322107.61     | 0.01%             | 2042-12-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLII LTD 2024-42A                                                   | MAGNETITE CLO LTD MAGNE 2024 42A A1 144A                 | CUSIP: 55955XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $998917.93     | 0.04%             | 2038-01-25      | Floating      | 4.98%                 | 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        |        1280 | PA      | $1257.34       | 0.00%             | 2034-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -4329 | NC      | $11325795.62   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC SR UNSECURED 05/27 4.35         | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3297185.13    | 0.13%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260526                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $86031.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1128875 | PA      | $1128875.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    79900000 | PA      | $75340722.23   | 2.89%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A          | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10332112 | PA      | $5516882.97    | 0.21%             | 2039-09-07      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A16       | CUSIP: 02147MAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      793578 | PA      | $246595.23     | 0.01%             | 2036-07-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS BV                                                         | BP CAPITAL MARKETS B.V. 09/31 3.36                       | CUSIP: ACI2R4D66<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |     4100000 | PA      | $4677340.65    | 0.18%             | 2031-09-12      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                                 | JONES LANG LASALLE FIN BV                                | CUSIP: 48002BD82<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |      750000 | PA      | $749334.84     | 0.03%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $3550.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BEV0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1986656.20    | 0.08%             | 2026-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A1         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1107351 | PA      | $1005142.75    | 0.04%             | 2046-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3         | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1016835 | PA      | $672620.72     | 0.03%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                          | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR            | CUSIP: 92853KAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $250012.50     | 0.01%             | 2031-01-08      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/27 4.875    | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5523747.79    | 0.21%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-1592.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      862969 | PA      | $862968.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/2.25 06/20/18-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5984.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 4.48500 12/02/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-3791.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2A                           | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      904859 | PA      | $449026.14     | 0.02%             | 2046-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                            | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4    | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   474000000 | PA      | $1019116.90    | 0.04%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $236.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37000000 | PA      | $34842444.90   | 1.34%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAITEREK NATIONAL INVESTMENT HOLDING JSC                                      | BAITEREK NATL INV HOLD SR UNSECURED REGS 04/29 16.95     | CUSIP: ACI396P33<br>LEI: 984500B4F78F04253804 | Long             | DBT              | NUSS              | KZ        |   201000000 | PA      | $417380.50     | 0.02%             | 2029-04-02      | Fixed         | 16.95%                | No            |                  3 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $19800.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1082125 | PA      | $1082125.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-154.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A A 144A      | CUSIP: ACI2X1Q61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5973238 | PA      | $6911556.07    | 0.27%             | 2035-02-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $4605.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $17274.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20261130                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $137848.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-27297.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $524.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 323919 FN 08/29 FLOATING VAR                   | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1032 | PA      | $1043.64       | 0.00%             | 2029-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 06/30 7              | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |    -1000000 | PA      | $-1026084.00   | -0.04%            | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                        | HARLEY DAVIDSON FND CP                                   | CUSIP: 41282KD70<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |      350000 | PA      | $349723.71     | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1032500 | PA      | $1032500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1212000 | PA      | $1212000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5688.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERBALIFE (HLF FINANCING SARL LLC / HERBALIFE INTERNATIONAL INC)              | HLF FIN SARL LLC/HERBALI COMPANY GUAR 144A 06/29 4.875   | CUSIP: 40390DAC9<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -2500000 | PA      | $-2341448.00   | -0.09%            | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1098000 | PA      | $1098000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080032 G2 01/27 FLOATING VAR                | CUSIP: 36225CBA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          91 | PA      | $91.28         | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC)                       | PERRIGO FINANCE UNLIMITE COMPANY GUAR 09/32 6.125        | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Short            | DBT              | CORP              | IE        |    -3250000 | PA      | $-2968162.76   | -0.11%            | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1327396.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1206219 | PA      | $1206218.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | YI4360503 NIGERIA OMO BILL                               | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1341600000 | PA      | $843216.27     | 0.03%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1            | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      192478 | PA      | $172571.25     | 0.01%             | 2046-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2005-1                                              | NELNET STUDENT LOAN TRUST NSLT 2005 1 A5                 | CUSIP: 64031QBR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       68974 | PA      | $68466.37      | 0.00%             | 2033-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCA VINTAGE 2026  DEC26 IFED 20261224                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        1389 | NC      | $-4156529.74   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      369004 | PA      | $349278.77     | 0.01%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1142625 | PA      | $1142625.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.65                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     1500000 | PA      | $1512177.00    | 0.06%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1                             | SECURITIZED ASSET BACKED RECEI SABR 2004 OP1 M1          | CUSIP: 81375WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196791 | PA      | $196598.26     | 0.01%             | 2034-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                  | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1700000 | PA      | $1580406.97    | 0.06%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                           | IRS PLN 5.20000 03/23/31-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-39.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-27539.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AHLSTROM-MUNKSJO OYJ (SPA US HOLDCO INC)                                      | SPA HOLDINGS 3 OY TERM LOAN B                            | CUSIP: 937JIMII2<br>LEI: 254900HXD0I72WZYIT06 | Long             | LON              | CORP              | FI        |     1621041 | PA      | $1608072.95    | 0.06%             | 2028-02-04      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NGN BOUGHT USD 20261118                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $-26797.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2           | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1205369 | PA      | $573915.34     | 0.02%             | 2036-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/29 VAR                      | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1900000 | PA      | $1911879.31    | 0.07%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/9.72500 12/17/25-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-2551.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 424                                                        | FREDDIEMAC STRIP FHS 424 C5                              | CUSIP: 3133Q6X25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6307857 | PA      | $1390806.83    | 0.05%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                  | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B             | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |     4700000 | PA      | $4772094.65    | 0.18%             | 2032-04-26      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-1                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1           | CUSIP: 22541SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14860 | PA      | $14912.09      | 0.00%             | 2034-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIGEL NETHERLANDS HOLDING CORPORATION BV                                     | UNIGEL NETHERLANDS HOLD UNSECURED 144A 12/44 15          | CUSIP: 90475UAA8<br>LEI: 213800UOXJTQ82DWTJ78 | Long             | DBT              | CORP              | NL        |     2430953 | PA      | $48619.06      | 0.00%             | 2044-12-31      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 4 A2C          | CUSIP: 69121QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1388688 | PA      | $1174948.74    | 0.05%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $93256.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5248.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                   | URSA RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     1400000 | PA      | $1431500.00    | 0.05%             | 2028-02-22      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       38850 | PA      | $38850.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3          | CUSIP: 61748HWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171848 | PA      | $110047.45     | 0.00%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                             | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A           | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2900000 | PA      | $2900640.96    | 0.11%             | 2034-08-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| MAYFLOWER RE LTD                                                              | MAYFLOWER RE LTD UNSECURED 144A 07/30 VAR                | CUSIP: 57839MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $303900.00     | 0.01%             | 2030-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                         | CUSIP: 49271KE75<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      350000 | PA      | $348447.93     | 0.01%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12       | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32787 | PA      | $10116.76      | 0.00%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3336.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)                             | BCP MODULAR SERVICES SR SECURED REGS 11/28 4.75          | CUSIP: ACI210QC5<br>LEI: 213800227GGD6UI7PI97 | Long             | DBT              | CORP              | GB        |     6000000 | PA      | $6553315.95    | 0.25%             | 2028-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-30                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 30 FH            | CUSIP: 38375J3R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157124 | PA      | $155139.05     | 0.01%             | 2037-05-20      | Floating      | 4.09%                 | 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        |    20559552 | PA      | $20104854.69   | 0.77%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                         | CUSIP: 49271KDP6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      600000 | PA      | $598367.64     | 0.02%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $974.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/9.65500 11/07/25-9Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-51984.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                      | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  2710000000 | PA      | $14186667.72   | 0.54%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1093125 | PA      | $1093125.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487  | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2500000 | PA      | $2144451.25    | 0.08%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QA10                                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA10 A1         | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41427 | PA      | $37471.09      | 0.00%             | 2036-12-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3407.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                          | TALON FUNDING LTD TALON 1A A 144A                        | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1444503 | PA      | $236427.61     | 0.01%             | 2035-06-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A2         | CUSIP: 74922EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127738 | PA      | $104935.88     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20270115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $623668.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG        | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $420000.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $3127.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                      | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A1 144A    | CUSIP: 466308AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2052869 | PA      | $1587165.05    | 0.06%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                            | SANDERS RE III LTD UNSECURED 144A 06/29 VAR              | CUSIP: 799925AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1200000 | PA      | $1213800.00    | 0.05%             | 2029-06-05      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                                      | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1            | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       15415 | PA      | $15600.15      | 0.00%             | 2028-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/30 4.625          | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     2900000 | PA      | $2889538.22    | 0.11%             | 2030-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 606116 FN 09/31 FLOATING VAR                   | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2294 | PA      | $2317.83       | 0.00%             | 2031-09-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                           | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 6A2 144A       | CUSIP: 74930PAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3160820.60    | 0.12%             | 2036-06-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                     | JABIL INC                                                | CUSIP: 46652MD85<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249751.48     | 0.01%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $691323.71     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20261221                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $209335.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/29 VAR               | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      500000 | PA      | $496129.98     | 0.02%             | 2029-04-23      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   123908000 | PA      | $125859738.10  | 4.84%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SEW1 PIMCO FXVAN CALL USD BRL 5.70000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10750000 | NC      | $-12201.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D             | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3990759 | PA      | $1904151.31    | 0.07%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $72.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1295.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-333561.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1          | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      517411 | PA      | $503322.68     | 0.02%             | 2034-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5 1A11            | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      793294 | PA      | $360490.68     | 0.01%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-189658.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TEREX CORPORATION                                                             | TEREX CORP COMPANY GUAR 144A 10/32 6.25                  | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Short            | DBT              | CORP              | US        |    -1075000 | PA      | $-1083001.48   | -0.04%            | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S3                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S3 A4          | CUSIP: 46628VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      423974 | PA      | $418689.68     | 0.02%             | 2036-08-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ0998 FN 12/47 FIXED 3.5                      | CUSIP: 3140H2DC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      139979 | PA      | $129967.54     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                       | FREDDIE MAC FHR 4923 QS                                  | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4038799 | PA      | $510336.14     | 0.02%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $0.30          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                               | PENTA CLO S.A. PENTA 2021 9A A 144A                      | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2305778.56    | 0.09%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95            | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    68961000 | PA      | $21492868.12   | 0.83%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF1                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF1 A4          | CUSIP: 83612LAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1475355 | PA      | $1473917.75    | 0.06%             | 2036-10-25      | Floating      | 4.35%                 | 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        |       56238 | PA      | $54660.27      | 0.00%             | 2047-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260429                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2367.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $55560.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                              | FREDDIE MAC FHR 2246 Z                                   | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2179 | PA      | $2254.28       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-34811.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2920.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                        | VENTURE GLOBAL LNG INC SR SECURED 144A 06/28 8.125       | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      370000 | PA      | $378589.92     | 0.01%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1        | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27892 | PA      | $27607.36      | 0.00%             | 2037-06-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                          | BOSTON PPTYS LTD PARTNERSHIP D                           | CUSIP: 10113CDT0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     1270000 | PA      | $1266125.87    | 0.05%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                            | FANNIE MAE FNR 2004 11 A                                 | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3249 | PA      | $3244.39       | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A     | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1400000 | PA      | $1321244.26    | 0.05%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1147562 | PA      | $1147562.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                               | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23156 | PA      | $21613.53      | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-218350.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1          | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80795 | PA      | $78449.30      | 0.00%             | 2034-01-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                         | AIR LEASE CORP DISC COML                                 | CUSIP: 00913XDE0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1098215.47    | 0.04%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260505                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-18256.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A2         | CUSIP: 45660L4H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744332 | PA      | $265074.11     | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                  | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    13171418 | PA      | $129277464.54  | 4.97%             |  |  |  | No            |                  1 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                       | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95    | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3314118.36    | 0.13%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $572225.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   182300000 | NC      | $404687.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                            | FANNIE MAE FNR 2020 37 WI                                | CUSIP: 3136B97D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5213946 | PA      | $372812.79     | 0.01%             | 2050-06-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY 144A 03/29 VAR                   | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    13500000 | PA      | $13415331.51   | 0.52%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                          | RAAC SERIES RAAC 2005 SP2 2A                             | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142291 | PA      | $132399.88     | 0.01%             | 2044-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR15                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR15 A5         | CUSIP: 939336DN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1103749 | PA      | $1083732.90    | 0.04%             | 2032-12-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3          | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1548732 | PA      | $1054795.50    | 0.04%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6                           | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC6 A1         | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      385124 | PA      | $342954.65     | 0.01%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1156375 | PA      | $1156375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300515                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $24532.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $18217.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 4A1         | CUSIP: 12668AQH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      890290 | PA      | $795498.97     | 0.03%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORPORATION                                        | CLARIV SCI HLD CORP COMPANY GUAR 144A 07/29 4.875        | CUSIP: 18064PAD1<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -140000 | PA      | $-121647.55    | -0.00%            | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      492172 | PA      | $492172.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11309.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                          | ERAC USA FINANCE LLC                                     | CUSIP: 26882SDH6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      450000 | PA      | $449132.04     | 0.02%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3W                                       | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3W AF5          | CUSIP: 75971FAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2693348 | PA      | $1904761.07    | 0.07%             | 2037-09-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $51014.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 54CB 2A5       | CUSIP: 12668APJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      336810 | PA      | $171090.71     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-37510.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1134125 | PA      | $1134125.00    | 0.04%             |  |  |  | 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        |       28400 | PA      | $27434.57      | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W17                                                 | FANNIEMAE WHOLE LOAN FNW 2003 W17 1A7                    | CUSIP: 31393UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15456 | PA      | $15585.12      | 0.00%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4           | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117603 | PA      | $107389.16     | 0.00%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   265900000 | PA      | $270655004.61  | 10.40%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3227875 | PA      | $3227875.00    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                               | S+P GLOBAL INC                                           | CUSIP: 78513LD63<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      700000 | PA      | $699538.35     | 0.03%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       75375 | PA      | $75375.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 2A          | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1936 | PA      | $1904.77       | 0.00%             | 2033-09-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $4562.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3W                                       | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3W AF6          | CUSIP: 75971FAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2550528 | PA      | $1804589.26    | 0.07%             | 2037-09-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       98854 | PA      | $98853.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A9       | CUSIP: 02146XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4028399 | PA      | $1240805.60    | 0.05%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 955791 FN 10/37 FIXED 6.5                      | CUSIP: 31413UKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57306 | PA      | $60295.92      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2          | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      728103 | PA      | $472167.31     | 0.02%             | 2037-07-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1069750 | PA      | $1069750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-304079.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INEOS STYROLUTION LUDWIGSHAFEN GMBH                                           | STYROLUTION SR SECURED REGS 01/27 2.25                   | CUSIP: ACI1J9953<br>LEI: 5299003M4PGUGL48LS74 | Long             | DBT              | CORP              | DE        |     2450000 | PA      | $2774141.94    | 0.11%             | 2027-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                        | FREDDIEMAC STRIP FHS 365 C10                             | CUSIP: 31325XUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2347303 | PA      | $427913.65     | 0.02%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      287260 | PA      | $287260.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260422                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-136180.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 09/29 VAR                               | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     6400000 | PA      | $6030637.89    | 0.23%             | 2029-09-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| CITIUS FUNDING LTD-2006-1A                                                    | CITIUS FUNDING LTD CTIUS 2006 1A LT 144A                 | CUSIP: 17305CAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   435815898 | PA      | $4.36          | 0.00%             | 2046-05-05      | Floating      | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 03/12/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-19120.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1637.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5411                                                       | FREDDIE MAC FHR 5411 IB                                  | CUSIP: 3137HCRW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17560841 | PA      | $2780172.58    | 0.11%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                    | FIDELITY NATL INFORMATION SVCS                           | CUSIP: 31622GDL8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      750000 | PA      | $748332.83     | 0.03%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LIGHT AND WONDER INTERNATIONAL INC                                            | LIGHT + WONDER INTL INC COMPANY GUAR 144A 10/33 6.25     | CUSIP: 531968AB1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Short            | DBT              | CORP              | US        |    -2800000 | PA      | $-2745316.00   | -0.11%            | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-238198.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                               | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                  | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3237553 | PA      | $861879.54     | 0.03%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-980654.90    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                          | CHENIERE CORP CHRISTI HD SR SECURED 06/27 5.125          | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     9500000 | PA      | $9551371.54    | 0.37%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1144000 | PA      | $1144000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 01/31 6.5                     | CUSIP: ACI302XY4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 86148413956 | PA      | $22485846.42   | 0.86%             | 2031-01-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $12053.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-113983.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                    | DAVITA INC COMPANY GUAR 144A 06/30 4.625                 | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Short            | DBT              | CORP              | US        |    -1400000 | PA      | $-1346940.28   | -0.05%            | 2030-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $41084.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2589.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $669.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 5A           | CUSIP: 61748HBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26597 | PA      | $24983.92      | 0.00%             | 2034-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                                    | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A              | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3200765.54    | 0.12%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2082500 | PA      | $2082500.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                     | ONEOK INC COMPANY GUAR 09/33 6.05                        | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1888069.70    | 0.07%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002947 G2 07/30 FIXED 8.5                   | CUSIP: 36202DHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         124 | PA      | $129.33        | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $7399.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 870539 FN 03/36 FLOATING VAR                   | CUSIP: 31409GEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40604 | PA      | $41342.07      | 0.00%             | 2036-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      396500 | PA      | $396500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                                | COUNTRYWIDE HOME LOANS CWHL 2005 24 A1                   | CUSIP: 126694JR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41314 | PA      | $20145.63      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A4          | CUSIP: 68403KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      985495 | PA      | $638878.39     | 0.02%             | 2037-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5727.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1116500 | PA      | $1116500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA 144A 10/27 VAR                                   | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     7800000 | PA      | $7887414.60    | 0.30%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      531875 | PA      | $531875.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1174500 | PA      | $1174500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 698103 GN 04/39 FIXED 5                        | CUSIP: 36296QRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42676 | PA      | $43590.39      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1097250 | PA      | $1097250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MI WINDOWS AND DOORS LLC                                                      | MI WINDOWS AND DOORS LLC 2024 TERM LOAN B2               | CUSIP: 55336CAK8<br>LEI: 2549001JQBGDT0WEQ156 | Long             | LON              | CORP              | US        |      786060 | PA      | $726775.35     | 0.03%             | 2031-03-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2         | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1153 | PA      | $1112.20       | 0.00%             | 2034-07-19      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                 | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                 | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   528000000 | PA      | $9511068.40    | 0.37%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 04/26 ZCP                        | CUSIP: 40412DDG1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      500000 | PA      | $499060.75     | 0.02%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                                         | BATH + BODY WORKS INC COMPANY GUAR 144A 10/30 6.625      | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Short            | DBT              | CORP              | US        |    -3250000 | PA      | $-3282669.00   | -0.13%            | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3          | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      852342 | PA      | $490247.71     | 0.02%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                        | FREDDIEMAC STRIP FHS 389 C45                             | CUSIP: 31325YRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7597998 | PA      | $1274589.23    | 0.05%             | 2052-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3          | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      442346 | PA      | $215831.10     | 0.01%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     5200000 | PA      | $5062357.56    | 0.19%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1574025 | PA      | $1574025.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-5760.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $8285.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                         | GENUINE PTS CO DISC COML PAPER                           | CUSIP: 37255GDP0<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      600000 | PA      | $598367.64     | 0.02%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1         | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      659098 | PA      | $581722.64     | 0.02%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1         | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      468358 | PA      | $449610.43     | 0.02%             | 2034-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $17545.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1ST 144A           | CUSIP: 078446AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13512989 | PA      | $3402273.32    | 0.13%             | 2044-11-03      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                            | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1              | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      195980 | PA      | $192664.21     | 0.01%             | 2036-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $4237.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1          | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14650 | PA      | $14624.98      | 0.00%             | 2034-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $63519.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PMTS INC                                          | CUSIP: 37961DD23<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1799584.03    | 0.07%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      869625 | PA      | $869625.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1         | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282144 | PA      | $270421.48     | 0.01%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $37418.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1068375 | PA      | $1068375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 692571 GN 05/39 FIXED 5                        | CUSIP: 36296JMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      241320 | PA      | $245467.78     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR           | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         300 | PA      | $309.34        | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET COMPANY                                                  | CENTRAL GARDEN + PET CO COMPANY GUAR 10/30 4.125         | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Short            | DBT              | CORP              | US        |    -2350000 | PA      | $-2212406.80   | -0.08%            | 2030-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                   | EQUINIX INC SR UNSECURED 04/32 3.9                       | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2833541.43    | 0.11%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2          | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      804977 | PA      | $399400.54     | 0.02%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.89000 03/03/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-8669.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT JUN26 XMOD 20260619                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         215 | NC      | $-317259.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      955200 | PA      | $955200.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7      | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   710000000 | PA      | $750963.01     | 0.03%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                    | FIDELITY NATL INFORMATION SVCS                           | CUSIP: 31622GDH7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2395468.08    | 0.09%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORPORATION                                                   | KAISER ALUMINUM CORP SR UNSECURED 144A 03/34 5.875       | CUSIP: 483007AM2<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1500000 | PA      | $-1474677.00   | -0.06%            | 2034-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                               | VERAISON RE LTD UNSECURED 144A 03/33 VAR                 | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $305220.00     | 0.01%             | 2033-03-08      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-9                                                             | FANNIE MAE FNR 2007 9 FA                                 | CUSIP: 31396PTW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29517 | PA      | $29236.51      | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A1                  | CUSIP: 362611AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      312202 | PA      | $127285.60     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $25333.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A         | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      437708 | PA      | $369299.41     | 0.01%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/34 FIXED 3.401  | CUSIP: 88880LAR4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      400000 | PA      | $349828.20     | 0.01%             | 2034-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                             | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1           | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1471 | PA      | $1471.58       | 0.00%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-12258.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1954625 | PA      | $1954625.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-1                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 1 A2                    | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2857 | PA      | $1364.15       | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-190588.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC2 A4          | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1548078 | PA      | $1516573.65    | 0.06%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 2A2A        | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183519 | PA      | $160397.37     | 0.01%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-24879.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $189.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BDL3<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299328.12     | 0.01%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                           | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4              | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252798 | PA      | $250990.16     | 0.01%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16        | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1060357 | PA      | $390138.50     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $69176.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2081.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                        | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C          | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4670164 | PA      | $2288009.75    | 0.09%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHETARD INC                              | CUSIP: 01626VD18<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      750000 | PA      | $749916.30     | 0.03%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2076250 | PA      | $2076250.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260401                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $28.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1111000 | PA      | $1111000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260514                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-193078.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 02/35 6.35            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2600000 | PA      | $2662530.00    | 0.10%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM2003 FN 10/47 FIXED VAR                      | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      449258 | PA      | $430790.94     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1138500 | PA      | $1138500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008983 G2 09/26 FLOATING VAR                | CUSIP: 36202K6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         273 | PA      | $272.72        | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1         | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      451576 | PA      | $428230.00     | 0.02%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-35990.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $22039.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 XA1           | CUSIP: 059515BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266819 | PA      | $258185.89     | 0.01%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A            | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7752112 | PA      | $6675903.14    | 0.26%             | 2037-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45           | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      400000 | PA      | $330299.41     | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-52052.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4015                                                       | FREDDIE MAC FHR 4015 BI                                  | CUSIP: 3137ANBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      413054 | PA      | $30254.29      | 0.00%             | 2032-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375    | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      600000 | PA      | $594088.40     | 0.02%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 03/27 4.875          | CUSIP: 382550BG5<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |    -3375000 | PA      | $-3343266.39   | -0.13%            | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2B             | CUSIP: 61753VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1896017 | PA      | $593252.83     | 0.02%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                                 | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                  | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         418 | PA      | $396.12        | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $3193.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $11.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4            | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1061100.51    | 0.04%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2          | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3830581 | PA      | $3710792.50    | 0.14%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                           | CONSTELLATION ENERGY 04/26 ZCP                           | CUSIP: 21038QD68<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1049235.71    | 0.04%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3975.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $936958.98     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2002-2                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2002 2 M2           | CUSIP: 542514CK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72125 | PA      | $71872.41      | 0.00%             | 2032-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -42 | NC      | $-15629.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $58357.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      207750 | PA      | $207750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/8.75000 06/25/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $1533692.21    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-650.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1119250 | PA      | $1119250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                    | MARRIOTT INTERNATIONAL SR UNSECURED 10/33 2.75           | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1471016.43    | 0.06%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260414                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-20141.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2750.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25             | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2583784.59    | 0.10%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/32 4.15                | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3000771.98    | 0.12%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1171500 | PA      | $1171500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260916                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $261741.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1           | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54404 | PA      | $50868.43      | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-13636.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3006.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                        | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1         | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295342 | PA      | $279328.62     | 0.01%             | 2036-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      619500 | PA      | $619500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $30810.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      417000 | PA      | $417000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 02/33 13.25                   | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 16001700000 | PA      | $4290249.32    | 0.16%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9             | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    44400000 | PA      | $12687409.41   | 0.49%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $89159.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20260720                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-38649.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                      | UBS AG STAMFORD CT SR UNSECURED 02/32 VAR                | CUSIP: 90261AAH5<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |     2900000 | PA      | $2890644.02    | 0.11%             | 2032-02-16      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 09/16/26-30Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $628661.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2176 | NC      | $-3341268.46   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY44 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $110573.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1094500 | PA      | $1094500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-171245.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                    | PACIFICORP 1ST MORTGAGE 04/29 4.65                       | CUSIP: 695114DM7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1400402.19    | 0.05%             | 2029-04-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      710630 | PA      | $710630.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1              | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28535 | PA      | $29079.73      | 0.00%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      589500 | PA      | $589500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6QBA5 PIMCO FPPSWAPTION 3.808 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14700000 | NC      | $488163.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $147.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-178.91       | -0.00%            |  |  |  | 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        |       32593 | PA      | $31706.84      | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $107538.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUC PASS THRU SEC T-30                                                | FHLMC STRUCTURED PASS THROUGH FSPC T 30 A5               | CUSIP: 3133TQCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56964 | PA      | $52856.74      | 0.00%             | 2030-12-25      | Variable      | 8.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK6093 FN 05/48 FIXED 3.5                      | CUSIP: 3140HKXX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      653158 | PA      | $610295.31     | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOFTBANK GROUP CORP SNR JP SP GST                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-855.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 11/31 2.25                 | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1230944.13    | 0.05%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 879680 FN 05/36 FLOATING VAR                   | CUSIP: 31409VJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16502 | PA      | $16965.52      | 0.00%             | 2036-05-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A2        | CUSIP: 83613AAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1559241 | PA      | $1340608.67    | 0.05%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $92267.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A            | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9730303 | PA      | $9364461.25    | 0.36%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-29372.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $20413.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 1A1           | CUSIP: 059515AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20157 | PA      | $19739.77      | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      227078 | PA      | $227077.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQUITY LN TR 1998-1                                        | DELTA FUNDING HOME EQUITY LOAN DELHE 1998 1 A5F          | CUSIP: 24763LDB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36486 | PA      | $36117.43      | 0.00%             | 2030-05-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6VWA1 PIMCO FPPSWAPTION 3.255 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    31900000 | NC      | $2710501.53    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2117.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1198969 | PA      | $1198968.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM35 ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $96.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-21682.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1126125 | PA      | $1126125.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      130938 | PA      | $130937.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-3301.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | CORP0HRG0 HRDFDG 5.33 06/09/35                           | CUSIP: 957HXRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      600000 | PA      | $605564.53     | 0.02%             | 2035-06-07      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ3935 FN 12/47 FIXED 3.5                      | CUSIP: 3140H5LR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54260 | PA      | $50411.66      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                          | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR            | CUSIP: 92853KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $250012.50     | 0.01%             | 2031-01-08      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/29 4                   | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3070198.09    | 0.12%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                        | WESCO DISTRIBUTION INC COMPANY GUAR 144A 03/33 6.375     | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Short            | DBT              | CORP              | US        |    -1250000 | PA      | $-1274527.50   | -0.05%            | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3           | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98844 | PA      | $98820.69      | 0.00%             | 2035-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                  | BAYOU RE LTD UNSECURED 144A 04/31 VAR                    | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      500000 | PA      | $519500.00     | 0.02%             | 2031-04-30      | Floating      | 11.85%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $447.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $2666.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $52834.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                               | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313243 | PA      | $131969.23     | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1893875 | PA      | $1893875.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1047500 | PA      | $1047500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-48                                 | FHLMC STRUCTURED PASS THROUGH FSPC T 48 1A               | CUSIP: 31392UZ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         886 | PA      | $853.74        | 0.00%             | 2033-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 06/31 3.125            | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1640160.69    | 0.06%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A3                  | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      446405 | PA      | $423065.92     | 0.02%             | 2035-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIK5 PIMCO FXVAN PUT USD ZAR 18.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    15771000 | NC      | $1127090.29    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002897 G2 03/30 FIXED 8                     | CUSIP: 36202DGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2122 | PA      | $2208.53       | 0.00%             | 2030-03-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 887017 FN 08/36 FIXED 6.5                      | CUSIP: 31410EPA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16791 | PA      | $17481.81      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                         | AIR LEASE CORP DISC COML 04/26 ZCP                       | CUSIP: 00913XD26<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3599174.53    | 0.14%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $13345.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $31823.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     4500000 | PA      | $4500000.00    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      618000 | PA      | $618000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4765.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                               | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                  | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      613945 | PA      | $288372.45     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMENTUM HOLDINGS INC                                                          | AMENTUM HOLDINGS INC COMPANY GUAR 144A 08/32 7.25        | CUSIP: 02352BAA3<br>LEI: 2549009FJIBLW40CU216 | Short            | DBT              | CORP              | US        |    -2200000 | PA      | $-2278683.00   | -0.09%            | 2032-08-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-7344.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                               | COSTA RICA GOVERNMENT BONDS REGS 01/36 6.001             | CUSIP: ACI385991<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      750000 | PA      | $893379.75     | 0.03%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PROPERTIES LP / RHP FINANCE CORP                                    | RHP HOTEL PPTY/RHP FINAN COMPANY GUAR 144A 03/34 5.75    | CUSIP: 74984CAA6<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1086408.07   | -0.04%            | 2034-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 03/32 VAR                    | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4271979.65    | 0.16%             | 2032-03-12      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M1            | CUSIP: 86358EXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199889 | PA      | $197634.67     | 0.01%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260403                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $8667.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1255334.12   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4        | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21703 | PA      | $21636.70      | 0.00%             | 2036-04-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 T2A1          | CUSIP: 05951KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112507 | PA      | $101849.70     | 0.00%             | 2036-10-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                | NRG ENERGY INC COMPANY GUAR 144A 02/31 3.625             | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Short            | DBT              | CORP              | US        |     -500000 | PA      | $-460688.20    | -0.02%            | 2031-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                           | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR             | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      400000 | PA      | $400000.00     | 0.02%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP                                   | CUSIP: 30227QDN3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      400000 | PA      | $399009.56     | 0.02%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BD17<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     1950000 | PA      | $1949784.53    | 0.07%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5167                                                       | FREDDIE MAC FHR 5167 MI                                  | CUSIP: 3137H3M33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8575593 | PA      | $1105983.98    | 0.04%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1          | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      377430 | PA      | $217893.69     | 0.01%             | 2047-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-114675.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1106719 | PA      | $1106718.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A3         | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1700 | PA      | $1711.01       | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                 | VISTRA OPERATIONS CO LLC COMPANY GUAR 144A 05/29 4.375   | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1074510.94   | -0.04%            | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 544861 FN 12/36 FLOATING VAR                   | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         773 | PA      | $782.62        | 0.00%             | 2036-12-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-693725.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-5138.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B         | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7750044 | PA      | $6000921.76    | 0.23%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR                 | CUSIP: BFM4XMII1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     6200000 | PA      | $8190968.81    | 0.31%             | 2026-09-28      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.89900 03/11/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10835.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A1        | CUSIP: 12668BXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      996542 | PA      | $389047.04     | 0.01%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC)                       | PERRIGO FINANCE UNLIMITE COMPANY GUAR 06/30 5.15         | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Short            | DBT              | CORP              | IE        |    -3450000 | PA      | $-3118307.13   | -0.12%            | 2030-06-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                         | GEORGIA POWER CO SR UNSECURED 05/32 4.7                  | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6907036.28    | 0.27%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                         | CUSIP: 49271KDT8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1594854.57    | 0.06%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-566219.07    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260630                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-298.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      345938 | PA      | $345937.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $10761.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 885812 FN 06/36 FIXED 6.5                      | CUSIP: 31410DDR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17401 | PA      | $18186.89      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                        | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 1A1         | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      163665 | PA      | $156984.59     | 0.01%             | 2036-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A14                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A14 A5          | CUSIP: 45660LT41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224665 | PA      | $95052.49      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A                  | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A      | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22420 | PA      | $21817.69      | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 3A1           | CUSIP: 05952GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38586 | PA      | $33671.73      | 0.00%             | 2037-06-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-13                                 | FHLMC STRUCTURED PASS THROUGH FSPC T 13 A6               | CUSIP: 3133TGDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10886 | PA      | $10906.91      | 0.00%             | 2029-09-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| POST CLO 2022-1 LTD                                                           | POST CLO LTD POST 2022 1A AR 144A                        | CUSIP: 73742YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3700000 | PA      | $3700818.14    | 0.14%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                        | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3C          | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1684500 | PA      | $1629202.86    | 0.06%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                                 | CITRUS RE LTD UNSECURED 144A 06/33 VAR                   | CUSIP: 177510AS3<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.01%             | 2033-06-07      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                   | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16734 | PA      | $16197.20      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                    | FIDELITY NATL INFORMATION SVCS                           | CUSIP: 31622GD95<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249750.53     | 0.01%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $1067300.54    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                                          | GSAMP TRUST GSAMP 2004 OPT M1                            | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      457060 | PA      | $447062.67     | 0.02%             | 2034-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAI5A5 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1500000 | NC      | $3329.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                      | SERVICE PROPERTIES TRUST SR UNSECURED 10/29 4.95         | CUSIP: 44106MBB7<br>LEI: 529900IS770AG1K9QG27 | Short            | DBT              | CORP              | US        |    -2400000 | PA      | $-2176284.00   | -0.08%            | 2029-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                        | HARLEY DAVIDSON FND CP                                   | CUSIP: 41282KD88<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199819.24     | 0.01%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1256125 | PA      | $1256125.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20260513                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $313.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                 | TOPBUILD CORP COMPANY GUAR 144A 01/34 5.625              | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1077798.37   | -0.04%            | 2034-01-31      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260401                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $64829.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                           | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR             | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300000.00     | 0.01%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260422                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10884.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $16677.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CTP NV                                                                        | CTP NV SR UNSECURED REGS 09/26 0.625                     | CUSIP: ACI20LM91<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |     1000000 | PA      | $1142688.72    | 0.04%             | 2026-09-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-428                                                           | FANNIEMAE STRIP FNS 428 C16                              | CUSIP: 31423YJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6655544 | PA      | $1177879.03    | 0.05%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM3281 FN 01/48 FIXED VAR                      | CUSIP: 3140J7UF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95824 | PA      | $89178.87      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2           | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158340 | PA      | $106593.86     | 0.00%             | 2036-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-794086.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 01/28 4.337                    | CUSIP: 06738EAU9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      800000 | PA      | $796920.34     | 0.03%             | 2028-01-10      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A4               | CUSIP: 46628YBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1228747 | PA      | $358971.57     | 0.01%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080124 G2 10/27 FLOATING VAR                | CUSIP: 36225CD60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          80 | PA      | $79.77         | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      998750 | PA      | $998750.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                        | FREDDIEMAC STRIP FHS 408 C46                             | CUSIP: 3142G6F35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17310018 | PA      | $2070161.11    | 0.08%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      198000 | PA      | $198000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6185.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORPORATION                                                     | EXPAND ENERGY CORP COMPANY GUAR 144A 02/29 5.875         | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300202.33     | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $413817.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 02/28 5.4             | CUSIP: 91087BAU4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1000000 | PA      | $1016000.00    | 0.04%             | 2028-02-09      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 02/30 2.559          | CUSIP: 606822BR4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     1000000 | PA      | $926432.74     | 0.04%             | 2030-02-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                | NRG ENERGY INC SR UNSECURED 144A 01/36 6                 | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Short            | DBT              | CORP              | US        |    -1200000 | PA      | $-1189802.52   | -0.05%            | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                   | YORKSHIRE WATER FINANCE SR SECURED REGS 04/30 5.25       | CUSIP: ACI2D68P0<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |     4900000 | PA      | $6394923.54    | 0.25%             | 2030-04-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-4512.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $31413.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2003-NC8                                         | MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 M1              | CUSIP: 61746RDM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      264656 | PA      | $274786.14     | 0.01%             | 2033-09-25      | Floating      | 4.84%                 | 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        |      471019 | PA      | $468752.50     | 0.02%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR              | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1724454.21    | 0.07%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                              | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4               | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2699151.90    | 0.10%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.36895 07/06/26-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $21418.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 831683 FN 07/36 FIXED 6.5                      | CUSIP: 31407H6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15703 | PA      | $16493.76      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C             | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1441849 | PA      | $605604.80     | 0.02%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A3              | CUSIP: 31394JDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8431 | PA      | $9025.77       | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-45.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4878.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | VENTURE GLOBAL PLAQUE SR SECURED 144A 05/35 7.75         | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3812770.20    | 0.15%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $53.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) JUN26 XCBT 20260630                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        4187 | NC      | $-6102229.39   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                              | LAZARD GROUP LLC SR UNSECURED 03/31 6                    | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1974649.20    | 0.08%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                          | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75        | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      215576 | PA      | $311216.40     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6981.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 4.70000 03/23/31-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $51.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260508                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-696.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2473.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                         | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A3          | CUSIP: 57645MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      832965 | PA      | $265501.91     | 0.01%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| ALTICE SA                                                                     | ALTICE HOLDINGS 1 12/99 0                                | CUSIP: 000000000<br>LEI: 549300LA7PKCH18B3S39 | Long             | EC               | CORP              | LU        |        2147 | NS      | $29779.33      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4        | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1167831 | PA      | $550045.17     | 0.02%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/28 VAR           | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4034481.26    | 0.15%             | 2028-02-24      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BD25<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     2550000 | PA      | $2549435.69    | 0.10%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-243419.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 1A3A       | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262946 | PA      | $256316.18     | 0.01%             | 2036-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2006-3                                              | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 3 1A1            | CUSIP: 02660UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90496 | PA      | $74790.30      | 0.00%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      153750 | PA      | $153750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260505                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $261122.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-6                                                      | FANNIE MAE FNR 2024 6 IO                                 | CUSIP: 3136BQ2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9971652 | PA      | $1753080.31    | 0.07%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/1.50 06/21/17-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $836231.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-116658.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2538000 | PA      | $2538000.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-218478.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $10151.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1          | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266847 | PA      | $189291.98     | 0.01%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1139875 | PA      | $1139875.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CWHL-2007-12                                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 12 A9                   | CUSIP: 17025LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5868006 | PA      | $2774909.26    | 0.11%             | 2037-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $131789.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM4855 FN 04/48 FIXED VAR                      | CUSIP: 3140J9MD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6413932 | PA      | $6135915.01    | 0.24%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONCENTRA HEALTH SERVICES INC                                                 | CONCENTRA HEALTH SERVICE COMPANY GUAR 144A 07/32 6.875   | CUSIP: 20600DAA1<br>LEI: 984500GB84105F75DE32 | Short            | DBT              | CORP              | US        |    -2175000 | PA      | $-2251372.95   | -0.09%            | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260602                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $12473.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 2A1           | CUSIP: 25151YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         287 | PA      | $286.59        | 0.00%             | 2037-08-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      291000 | PA      | $291000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-104.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SW (FINANCE) I PLC                                                            | SW (FINANCE) I PLC SR SECURED REGS 11/30 5.75            | CUSIP: ACI3529N0<br>LEI: 549300BHN1HB5BNG2R96 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $3244196.94    | 0.12%             | 2030-11-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $96.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H050649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11400000 | PA      | $11292118.61   | 0.43%             | 2056-04-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.74800 03/03/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $52052.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-7                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1          | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11145 | PA      | $8601.44       | 0.00%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                            | FANNIE MAE FNR 2002 21 FD                                | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $29.87         | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1038750 | PA      | $1038750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-162958.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $24463.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   430804696 | PA      | $424373626.27  | 16.30%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARPENTER TECHNOLOGY CORPORATION                                              | CARPENTER TECHNOLOGY SR UNSECURED 144A 03/34 5.625       | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1091242.86   | -0.04%            | 2034-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR          | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1486197.47    | 0.06%             | 2029-09-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A            | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      253984 | PA      | $130092.14     | 0.00%             | 2036-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1               | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      599084 | PA      | $324177.93     | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260421                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $8731.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      188750 | PA      | $188750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      399000 | PA      | $399000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | YI4360529 NIGERIA OMO BILL                               | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |  1346200000 | PA      | $843545.43     | 0.03%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNIGEL LUXEMBOURG SA                                                          | UNIGEL LUXEMBOURG SA SECURED 144A 12/28 11               | CUSIP: 904752AD4<br>LEI: 213800Y16R77O7LH7X62 | Long             | DBT              | CORP              | LU        |     2990223 | PA      | $89706.69      | 0.00%             | 2028-12-31      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                              | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1              | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      309045 | PA      | $296570.40     | 0.01%             | 2036-01-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS PLN 4.68500 12/02/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $8711.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US LONG BOND(CBT) JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -735 | NC      | $2766418.33    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                              | AMC NETWORKS INC SR SECURED 144A 07/32 10.5              | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Short            | DBT              | CORP              | US        |    -1171000 | PA      | $-1156876.69   | -0.04%            | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                           | NCL CORPORATION LTD SR UNSECURED 144A 01/31 5.875        | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Short            | DBT              | CORP              | BM        |    -3400000 | PA      | $-3305363.82   | -0.13%            | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-49034.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C             | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16560433 | PA      | $8642295.62    | 0.33%             | 2036-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      968750 | PA      | $968750.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS COMPANY                                                     | COMMERCIAL METALS CO SR UNSECURED 144A 11/33 5.75        | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Short            | DBT              | CORP              | US        |    -2800000 | PA      | $-2773180.20   | -0.11%            | 2033-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                   | SES S A COMMON STOCK                                     | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |       22273 | NS      | $334095.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20260520                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-20878.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-11                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 11 A5          | CUSIP: 93934FHZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1748001 | PA      | $1418517.82    | 0.05%             | 2036-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS LLC / SALLY CAPITAL INC                                        | SALLY HOLDINGS/SALLY CAP COMPANY GUAR 04/32 6.75         | CUSIP: 79546VAQ9<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1675000 | PA      | $-1715623.78   | -0.07%            | 2032-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA2 3A1        | CUSIP: 94985FAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      508354 | PA      | $371221.29     | 0.01%             | 2037-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8532.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-8732.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1          | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3819 | PA      | $3601.98       | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF3        | CUSIP: 1248MGAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1072350 | PA      | $291210.99     | 0.01%             | 2037-01-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                 | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $524100.00     | 0.02%             | 2028-01-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5750.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO VI DAC 6A                                                  | HAYFIN EMERALD CLO HAYEM 6A AR 144A                      | CUSIP: ACI30X675<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4620769.24    | 0.18%             | 2038-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-64414.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BUILDING SOC CCDS COMMON STOCK                | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |        4096 | NS      | $693947.84     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1120500 | PA      | $1120500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 065581 FN 08/28 FLOATING VAR                   | CUSIP: 31362M2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         295 | PA      | $292.75        | 0.00%             | 2028-08-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $138612.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2        | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1846789 | PA      | $1807960.45    | 0.07%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $1307.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 2A1A        | CUSIP: 93934FPT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66225 | PA      | $55652.12      | 0.00%             | 2046-05-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11         | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      425589 | PA      | $349573.15     | 0.01%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      211750 | PA      | $211750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 8A2 144A                    | CUSIP: 05533XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223229 | PA      | $2.23          | 0.00%             | 2036-02-26      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1162500 | PA      | $1162500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260421                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-19416.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                  | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1249020 | PA      | $572376.77     | 0.02%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                                      | COOPERAT RABOBANK UA/NY 10/26 5.5                        | CUSIP: 21688AAY8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     1900000 | PA      | $1913361.77    | 0.07%             | 2026-10-05      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $71898.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-457.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA2                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA2 NB2         | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      421605 | PA      | $378099.40     | 0.01%             | 2035-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR             | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1400000 | PA      | $1461460.00    | 0.06%             | 2032-03-13      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 05/26 0.00000                              | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      557000 | PA      | $553905.27     | 0.02%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                         | GENUINE PTS CO DISC COML PAPER                           | CUSIP: 37255GD62<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249827.50     | 0.01%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                       | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A             | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38245 | PA      | $35903.97      | 0.00%             | 2043-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                       | FREDDIE MAC FHR 5426 AI                                  | CUSIP: 3137HCXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16463617 | PA      | $721465.33     | 0.03%             | 2050-03-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 14.0275 05/21/25-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $7334.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                     | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4                | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      336408 | PA      | $319401.74     | 0.01%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $333013.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $39835.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO120626                               | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1455979000 | PA      | $1011495.40    | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $4537.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1119344 | PA      | $1119343.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1122000 | PA      | $1122000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP / CANADAS WONDERLAND CO / MAGNUM MANAGEMENT CORP | SIX FLAGS/CANADA WON COMPANY GUAR 07/29 5.25             | CUSIP: 150190AE6<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -2288000 | PA      | $-2189807.73   | -0.08%            | 2029-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                                 | CITRUS RE LTD UNSECURED 144A 06/33 VAR                   | CUSIP: 177510AT1<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300000.00     | 0.01%             | 2033-06-07      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR           | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4564006.06    | 0.18%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-7565.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69800000 | PA      | $67259238.82   | 2.58%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) JUN26 XCBT 20260630                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        3607 | NC      | $-5393236.85   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORPORATION                                                    | SELECT MEDICAL CORP COMPANY GUAR 144A 12/32 6.25         | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Short            | DBT              | CORP              | US        |     -900000 | PA      | $-858625.08    | -0.03%            | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260403                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-13442.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $18168.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A1         | CUSIP: 07384MZ88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22667 | PA      | $21744.67      | 0.00%             | 2034-11-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6LHA0 PIMCO FPPSWAPTION 3.8 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    29700000 | NC      | $2363267.61    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-20050.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                                | FREMONT HOME LOAN TRUST FHLT 2006 D 2A2                  | CUSIP: 35729VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4469822 | PA      | $1558554.21    | 0.06%             | 2036-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                | MARRIOTT OWNERSHIP RESOR COMPANY GUAR 144A 06/29 4.5     | CUSIP: 57164PAH9<br>LEI: BW4532OH033VURR0IT68 | Short            | DBT              | CORP              | US        |     -400000 | PA      | $-379558.88    | -0.01%            | 2029-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS REV REPO EUR                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -2394654 | PA      | $-2767861.93   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5921171.91    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/33 VAR               | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9200000 | PA      | $8349769.12    | 0.32%             | 2033-01-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 4.52250 12/01/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-20383.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                | MARRIOTT OWNERSHIP RESOR COMPANY GUAR 144A 10/33 6.5     | CUSIP: 57164PAK2<br>LEI: BW4532OH033VURR0IT68 | Short            | DBT              | CORP              | US        |    -2625000 | PA      | $-2498392.05   | -0.10%            | 2033-10-01      | Fixed         | 6.50%                 | 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        |     4300000 | PA      | $1314750.42    | 0.05%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ICE 3MTH SONIA FU MAR27 IFLL 20270615                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         439 | NC      | $202830.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                          | GSAMP TRUST GSAMP 2006 FM1 A2D                           | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1861567 | PA      | $1220409.01    | 0.05%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                                            | FANNIE MAE FNR 2000 32 FM                                | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         410 | PA      | $409.67        | 0.00%             | 2030-10-18      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $21477.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FINANCE CORP                    | USA COM PART/USA COM FIN COMPANY GUAR 144A 10/33 6.25    | CUSIP: 91740PAH1<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1098333.50   | -0.04%            | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 908600 FN 02/37 FIXED 6.5                      | CUSIP: 31411HNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13423 | PA      | $14131.42      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                 | PURPLE RE LTD UNSECURED 144A 06/27 VAR                   | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      700000 | PA      | $722120.00     | 0.03%             | 2027-06-07      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                            | FANNIE MAE FNR 2003 34 A1                                | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5796 | PA      | $5855.57       | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1087625 | PA      | $1087625.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1313.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300516                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $24532.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS PLN 4.73000 12/31/30-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $8043.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      385500 | PA      | $385500.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $147785.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                          | LIFEPOINT HEALTH INC 2024 INCREMENTAL TERM LOAN B1       | CUSIP: 75915TAL6<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     2462583 | PA      | $2463900.56    | 0.09%             | 2031-05-19      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1106875 | PA      | $1106875.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      510300 | PA      | $510300.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SIGNAL PEAK CLO 6 LTD 2020-8A                                                 | SIGNAL PEAK CLO, LLC SPEAK 2020 8A A1R 144A              | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2125000 | PA      | $2130660.62    | 0.08%             | 2037-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR7                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR7 A4          | CUSIP: 92922FQ50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136660 | PA      | $143206.46     | 0.01%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB1 A31        | CUSIP: 17307GDL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2458 | PA      | $2457.65       | 0.00%             | 2034-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1         | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14276 | PA      | $13385.10      | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A           | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1113 | PA      | $1099.66       | 0.00%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 1A5           | CUSIP: 05952GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      527987 | PA      | $441554.13     | 0.02%             | 2047-06-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      459562 | PA      | $459562.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR           | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1384 | PA      | $1420.91       | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA5                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA5 2A1         | CUSIP: 749236AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6032608 | PA      | $3988766.71    | 0.15%             | 2037-09-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $140516.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $227587.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1              | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      505266 | PA      | $493402.18     | 0.02%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $7301.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/30 4.9          | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1201452.00    | 0.05%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 438                                                 | FANNIEMAE STRIP FNS 438 C28                              | CUSIP: 31424UWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4032842 | PA      | $848628.22     | 0.03%             | 2053-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1011.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 800171 FN 12/34 FLOATING VAR                   | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4279 | PA      | $4350.02       | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3194.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $5208.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-14270.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                       | FREDDIE MAC FHR 4989 FA                                  | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      340619 | PA      | $334912.77     | 0.01%             | 2040-08-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A6        | CUSIP: 12668AFM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      775994 | PA      | $415213.19     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                           | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 4A1 144A       | CUSIP: 74930PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60837 | PA      | $60473.25      | 0.00%             | 2037-08-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20130060 | PA      | $20912118.53   | 0.80%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      669375 | PA      | $669375.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      113120 | PA      | $113120.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1207594 | PA      | $1207593.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2D             | CUSIP: 61753VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1362762 | PA      | $426001.87     | 0.02%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3298.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1           | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      574344 | PA      | $502440.37     | 0.02%             | 2046-10-20      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A1               | CUSIP: 466247J95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68967 | PA      | $62349.78      | 0.00%             | 2036-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2D                | CUSIP: 66988WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1010724 | PA      | $463209.75     | 0.02%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                | NRG ENERGY INC SR UNSECURED 144A 01/34 5.75              | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Short            | DBT              | CORP              | US        |    -2200000 | PA      | $-2171585.68   | -0.08%            | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20310113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2433.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                    | DAVITA INC COMPANY GUAR 144A 07/33 6.75                  | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1119929.80   | -0.04%            | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                   | REPUBLIC OF PANAMA EUR TERM LOAN                         | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |     1900000 | PA      | $2198464.14    | 0.08%             | 2027-03-05      | Floating      | 3.89%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1        | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3959096 | PA      | $1044850.57    | 0.04%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP COMPANY GUAR 03/32 2.35           | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1116077.04    | 0.04%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1           | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      209903 | PA      | $165515.17     | 0.01%             | 2036-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-36490.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 17 1 AA PTT PASS THRU CE 02/29 3.65         | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      567500 | PA      | $552514.48     | 0.02%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-807.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                 | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                    | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22909 | PA      | $23644.22      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65              | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4468721.81    | 0.17%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $9896.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                                           | EMF NL BV EMFNL 2008 APRX A2 REGS                        | CUSIP: B39M0PII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      226744 | PA      | $261530.14     | 0.01%             | 2041-04-17      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD UZS BOUGHT USD 20270618                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-487.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                       | BCAP LLC TRUST BCAP 2011 RR6 7A1 144A                    | CUSIP: 05535YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202812 | PA      | $181036.29     | 0.01%             | 2037-06-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                 | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3250000 | PA      | $2981555.69    | 0.11%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| ACUSHNET COMPANY                                                              | ACUSHNET CO COMPANY GUAR 144A 12/33 5.625                | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Short            | DBT              | CORP              | US        |    -1400000 | PA      | $-1392666.66   | -0.05%            | 2033-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2615625 | PA      | $2615625.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-9                                                      | FANNIE MAE FNR 2024 9 AI                                 | CUSIP: 3136BRGW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8335001 | PA      | $1381558.91    | 0.05%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15            | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   150200000 | PA      | $45138123.51   | 1.73%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE        | TELECOM SERBIA EUR TERM LOAN A                           | CUSIP: BA0005336<br>LEI: 254900OVY0XI1DFYC092 | Long             | LON              | CORP              | LU        |     6000000 | PA      | $6923062.26    | 0.27%             | 2029-06-11      | Floating      | 3.52%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-215607.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                   | REPUBLIC OF TURKIYE SR UNSECURED 05/34 7.625             | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     5500000 | PA      | $5599525.75    | 0.22%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260430                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-21587.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1          | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16855 | PA      | $15871.30      | 0.00%             | 2035-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-19373.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                     | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5     | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     5100000 | PA      | $5133150.00    | 0.20%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP SR UNSECURED 144A 07/29 5.375     | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2032735.80    | 0.08%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1082.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                                | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                  | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3367706 | PA      | $3072130.09    | 0.12%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $34449.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/34 4.25                               | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    95900000 | PA      | $95890634.41   | 3.68%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10583000 | PA      | $10940298.91   | 0.42%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                    | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1219 | PA      | $1227.27       | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | 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        |    50658128 | PA      | $48807832.28   | 1.88%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A4         | CUSIP: 46628SAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      951590 | PA      | $240018.04     | 0.01%             | 2036-07-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260508                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2527.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $7785.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260401                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-966.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 09/29 6.125                | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |    -2500000 | PA      | $-2516200.00   | -0.10%            | 2029-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-79692.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      609000 | PA      | $609000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                                         | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 05/29 3.75    | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6225247.60    | 0.24%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $2554.80       | 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        |     1800000 | PA      | $1808730.00    | 0.07%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 08/29 11                      | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 48111500000 | PA      | $12130386.88   | 0.47%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                    | ADIENT GLOBAL HOLDINGS COMPANY GUAR 144A 02/33 7.5       | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Short            | DBT              | CORP              | JE        |    -3825000 | PA      | $-3870135.00   | -0.15%            | 2033-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $242.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -42 | NC      | $-5589.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                            | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4           | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      757915 | PA      | $263664.77     | 0.01%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                    | CAPITAL FOUR CLO CFOUR 10A A 144A                        | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2800000 | PA      | $3230750.61    | 0.12%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $84686.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A4            | CUSIP: 12669LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1685724 | PA      | $1430272.51    | 0.05%             | 2037-09-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      532059 | PA      | $532058.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-59.48        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS COMPANY                                                     | COMMERCIAL METALS CO SR UNSECURED 144A 12/35 6           | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Short            | DBT              | CORP              | US        |    -2800000 | PA      | $-2763251.40   | -0.11%            | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-11595.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M2           | CUSIP: 86358EPR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1712587 | PA      | $1658090.80    | 0.06%             | 2035-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                    | GSR MORTGAGE LOAN TRUST GSR 2004 7 3A1                   | CUSIP: 36228F4R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20557 | PA      | $20077.62      | 0.00%             | 2034-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1125250 | PA      | $1125250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                          | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR         | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      400000 | PA      | $406200.00     | 0.02%             | 2031-05-13      | Floating      | 15.03%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080426 G2 07/30 FLOATING VAR                | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3151 | PA      | $3156.18       | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S10                                        | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S10 1A7         | CUSIP: 74958DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230597 | PA      | $187697.00     | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-401                                                          | FREDDIEMAC STRIP FHS 401 C15                             | CUSIP: 3142G47L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16276043 | PA      | $3477032.84    | 0.13%             | 2053-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2B         | CUSIP: 00075WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2215116 | PA      | $1239488.27    | 0.05%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO3                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO3 A1          | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101393 | PA      | $70071.95      | 0.00%             | 2045-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                    | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A              | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1500069.06    | 0.06%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 847534 FH 03/36 FLOATING VAR           | CUSIP: 3128JRLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5331 | PA      | $5467.11       | 0.00%             | 2036-03-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $37977.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 01/35 11.75                   | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 74010300000 | PA      | $18349816.00   | 0.70%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                          | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A              | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2658390.37    | 0.10%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $41526.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-4098.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2          | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      870374 | PA      | $853514.87     | 0.03%             | 2034-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3425.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                                 | FANNIEMAE STRIP FNS 440 C54                              | CUSIP: 31424U8J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16746617 | PA      | $3607727.34    | 0.14%             | 2053-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60150000 | PA      | $60288418.38   | 2.32%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-92975.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   JUN26 XEUR 20260608                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -389 | NC      | $458358.72     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260505                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-8738.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $14412.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-237842.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 07/29 5              | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |    -2975000 | PA      | $-2817166.43   | -0.11%            | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $643826.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 04/30 3.875                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1461213.33    | 0.06%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $20115.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $139319.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH4959 FN 08/47 FIXED 3.5                      | CUSIP: 3140GTQM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      382773 | PA      | $357730.58     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $432829.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1071000 | PA      | $1071000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260414                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $208.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-143610.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A         | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187726 | PA      | $174499.79     | 0.01%             | 2046-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE COMPANY INC                                                 | ACADIA HEALTHCARE CO INC COMPANY GUAR 144A 04/29 5       | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Short            | DBT              | CORP              | US        |     -960000 | PA      | $-935433.60    | -0.04%            | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3044452 | PA      | $3044452.50    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2970.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                     | JABIL INC                                                | CUSIP: 46652MDG7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249499.45     | 0.01%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HOCHTIEF AG SNR SE SP JPM                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $118028.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260602                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-11.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6102 FN 11/45 FIXED 3.5                      | CUSIP: 3138WFX84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80961 | PA      | $76003.00      | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                        | FREDDIEMAC STRIP FHS 399 C37                             | CUSIP: 3142G4V81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13050674 | PA      | $2037341.33    | 0.08%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375           | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      189634 | PA      | $187340.50     | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG        | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      600000 | PA      | $210000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG        | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $420000.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745948 FN 10/36 FIXED VAR                      | CUSIP: 31403DWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21443 | PA      | $22514.65      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                          | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1            | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3427 | PA      | $3384.99       | 0.00%             | 2033-10-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-9107.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $86345.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-17775.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      227531 | PA      | $227531.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $135725.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                       | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                  | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     2600000 | PA      | $2981183.91    | 0.11%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR          | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      650000 | PA      | $641859.24     | 0.02%             | 2028-11-03      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $434640.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 11A1               | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      792910 | PA      | $724399.57     | 0.03%             | 2036-04-25      | Floating      | 4.23%                 | 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        |      104870 | PA      | $104973.87     | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3        | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7947 | PA      | $5819.53       | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      203940 | PA      | $203940.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300513                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $24549.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -15 | NC      | $-15777.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2B                           | CUSIP: 3622MGAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3302185 | PA      | $1638614.39    | 0.06%             | 2046-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.50000 09/16/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $213720.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      411000 | PA      | $411000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3              | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2516922.20    | 0.10%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-87                                                     | FANNIE MAE FNR 2017 87 KI                                | CUSIP: 3136AYZ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      333250 | PA      | $40814.12      | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                             | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4400000 | PA      | $3783656.27    | 0.15%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1171500 | PA      | $1171500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A    | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157034 | PA      | $88889.38      | 0.00%             | 2037-06-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 804965 FN 12/34 FLOATING VAR                   | CUSIP: 31406BJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4391 | PA      | $4477.99       | 0.00%             | 2034-12-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1091750 | PA      | $1091750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-100460.59    | -0.00%            |  |  |  | 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        |     6859679 | PA      | $6959169.88    | 0.27%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $493.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                          | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1         | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217590 | PA      | $218751.42     | 0.01%             | 2034-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R3                                          | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R3 A1 144A       | CUSIP: 62951MAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      293613 | PA      | $254209.07     | 0.01%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KZT BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-295.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1266011.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INTERNATIONAL CORPORATION                                | SCIENCE APPLICATIONS INT COMPANY GUAR 144A 11/33 5.875   | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Short            | DBT              | CORP              | US        |    -2200000 | PA      | $-2149242.48   | -0.08%            | 2033-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1         | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80689 | PA      | $57061.10      | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260427                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-11404.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080030 G2 01/27 FLOATING VAR                | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1929 | PA      | $1926.28       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 11/40 12.75                   | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 19313300000 | PA      | $5118985.26    | 0.20%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A          | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2839 | PA      | $2625.25       | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-57.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/31 VAR                               | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     4100000 | PA      | $3849696.68    | 0.15%             | 2031-01-13      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                    | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1400000 | PA      | $1400941.54    | 0.05%             | 2034-07-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-6553.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A1         | CUSIP: 74922LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142017 | PA      | $101926.24     | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      199238 | PA      | $199237.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/30 6               | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2700000 | PA      | $2792475.00    | 0.11%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1         | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         678 | PA      | $638.67        | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA0133 FN 08/47 FIXED 4                        | CUSIP: 3140Q7EF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124412 | PA      | $119259.00     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      928125 | PA      | $928125.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                    | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  2030000000 | PA      | $9709413.06    | 0.37%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 05/26 ZCP                        | CUSIP: 40412DE13<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2889176.92    | 0.11%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1137000 | PA      | $1137000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $12210.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY GLASS CONTAINER INC                                            | OWENS BROCKWAY COMPANY GUAR 144A 05/31 7.25              | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Short            | DBT              | CORP              | US        |     -725000 | PA      | $-695168.57    | -0.03%            | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M4           | CUSIP: 86358EPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      684250 | PA      | $597661.07     | 0.02%             | 2035-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 775852 FN 03/44 FLOATING VAR                   | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39429 | PA      | $39903.25      | 0.00%             | 2044-03-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ1662 FN 12/47 FIXED 3.5                      | CUSIP: 3140H2Z43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126644 | PA      | $118018.64     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RASC TRUST 2006-EMX6                                                          | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX6 A4         | CUSIP: 754065AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1927363 | PA      | $1724276.41    | 0.07%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-8358.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-364.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300812                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $16401.45      | 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        |        8761 | PA      | $8744.12       | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                    | AMETEK INC DISC COML 04/26 ZCP                           | CUSIP: 03111CDT7<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      350000 | PA      | $348948.08     | 0.01%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A        | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800387 | PA      | $511884.98     | 0.02%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-82.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-19057.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7          | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     2450000 | PA      | $2470592.25    | 0.09%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-525.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 890765 FN 09/46 FIXED VAR                      | CUSIP: 31410LTW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1266099 | PA      | $1189237.08    | 0.05%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-243158.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 870732 FN 09/36 FIXED 6.5                      | CUSIP: 31409GLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8017 | PA      | $8403.20       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1040000 | PA      | $1040000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      158333 | PA      | $158551.83     | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | 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        |      660380 | PA      | $209531.57     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                        | FREDDIEMAC STRIP FHS 365 C55                             | CUSIP: 31325XWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4112492 | PA      | $739138.43     | 0.03%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $135.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MV CREDIT EURO CLO III DAC 3A                                                 | MV CREDIT EURO CLO MVCLO 3A AR 144A                      | CUSIP: ACI35DCS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2700000 | PA      | $3120743.79    | 0.12%             | 2038-02-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 03/27 2.5                                | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6300000 | PA      | $6226580.87    | 0.24%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B          | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10088 | PA      | $9186.43       | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      909000 | PA      | $909000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 878999 FN 02/36 FLOATING VAR                   | CUSIP: 31409URU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19507 | PA      | $19960.99      | 0.00%             | 2036-02-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| OLIN CORPORATION                                                              | OLIN CORP SR UNSECURED 02/30 5                           | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Short            | DBT              | CORP              | US        |    -2500000 | PA      | $-2396426.70   | -0.09%            | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1       | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1779 | PA      | $1799.38       | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 2A1          | CUSIP: 61748HBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2810 | PA      | $2713.34       | 0.00%             | 2034-08-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 4A1          | CUSIP: 61749LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      227436 | PA      | $221657.16     | 0.01%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                                          | ANGLIAN WATER OSPREY FIN SR SECURED REGS 08/31 6.75      | CUSIP: ACI2ZR540<br>LEI: 21380072JDZ74GW9ZY87 | Long             | DBT              | CORP              | GB        |     3325000 | PA      | $4448023.02    | 0.17%             | 2031-08-27      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88400 03/25/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14106.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-11032.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                         | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1            | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28795 | PA      | $27854.66      | 0.00%             | 2035-10-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260408                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-56125.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260811                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $122313.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $27604.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-5Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-459268.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                                | EPH FIN INTERNATIONAL AS COMPANY GUAR REGS 11/28 6.651   | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |     2850000 | PA      | $3486768.61    | 0.13%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-234.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY PREFERRED STOCK 7.5                | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        3500 | NS      | $4042500.00    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                 | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                  | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342277 | PA      | $110726.43     | 0.00%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-13                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 13 A           | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17027 | PA      | $13430.83      | 0.00%             | 2046-11-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      395500 | PA      | $395500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-8740.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.84200 09/19/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5442503.35    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 S3 1A13              | CUSIP: 46629AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1411565 | PA      | $458732.92     | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                        | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 M1          | CUSIP: 86358EAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35907 | PA      | $37163.55      | 0.00%             | 2033-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY MTGE TRUST 2006-2                                                 | HOME EQUITY MORTGAGE TRUST HEMT 2006 2 1A1               | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129810 | PA      | $10983.68      | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                    | FIDELITY NATL INFORMATION SVCS                           | CUSIP: 31622GDQ7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249332.53     | 0.01%             | 2026-04-24      | None          | 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      | $37085.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6885.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS LLC                                                    | AMNEAL PHARMACEUTICALS L SR SECURED 144A 08/32 6.875     | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Short            | DBT              | CORP              | US        |    -1125000 | PA      | $-1159535.25   | -0.04%            | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35         | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1306983 | PA      | $1265038.52    | 0.05%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0 | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    34905000 | PA      | $3243170.15    | 0.12%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 1A12      | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      225368 | PA      | $189229.64     | 0.01%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      607500 | PA      | $607500.00     | 0.02%             |  |  |  | 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        |     4102728 | PA      | $3980525.47    | 0.15%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $722.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A     | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6812537 | PA      | $6548759.75    | 0.25%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20260507                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $3508.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A          | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5775 | PA      | $5679.45       | 0.00%             | 2034-05-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                 | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                  | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      807288 | PA      | $261159.41     | 0.01%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                 | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS             | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      315091 | PA      | $410381.20     | 0.02%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1         | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1226 | PA      | $1211.95       | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3         | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      927944 | PA      | $210795.08     | 0.01%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/32 4.05              | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      700000 | PA      | $671000.25     | 0.03%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-6074.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-5258.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 06/29 6.625          | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |    -3675000 | PA      | $-3737500.73   | -0.14%            | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      605250 | PA      | $605250.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $106.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                   | PHILLIPS 66                                              | CUSIP: 71855BDE9<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249608.58     | 0.01%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                               | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307442 | PA      | $278721.30     | 0.01%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $22736.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13599.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      510825 | PA      | $510825.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 03/28 VAR                | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     5000000 | PA      | $4978828.25    | 0.19%             | 2028-03-24      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1101375 | PA      | $1101375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-12112.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260526                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $84137.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/30 5.15    | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     2000000 | PA      | $2008108.42    | 0.08%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ICBC STANDARD BANK PLC                                                        | ICBC STANDARD BANK PLC SR UNSECURED 144A 12/29 20        | CUSIP: ACI37D938<br>LEI: F01VVKN4DRF2NWKGQ283 | Long             | DBT              | CORP              | GB        | 14960000000 | PA      | $1226811.74    | 0.05%             | 2029-12-13      | Fixed         | 20.00%                | No            |                  3 | 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        |       10916 | PA      | $10642.40      | 0.00%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 07/30 1.75                        | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     3600000 | PA      | $3666560.33    | 0.14%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6326 FN 12/45 FIXED 3.5                      | CUSIP: 3138WGA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72047 | PA      | $67429.86      | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/32 VAR                      | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4400000 | PA      | $3933208.18    | 0.15%             | 2032-11-24      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260409                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $25551.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GVT ILB BONDS REGS 09/30 3                   | CUSIP: ACI06Z1N0<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     5920696 | PA      | $3604365.62    | 0.14%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1112375 | PA      | $1112375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 47CB A11       | CUSIP: 12668AAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177842 | PA      | $88164.70      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 03/28 VAR                      | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     3500000 | PA      | $3484347.58    | 0.13%             | 2028-03-28      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                  | ALAMO RE LTD SR UNSECURED 144A 06/26 VAR                 | CUSIP: 011395AJ9<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |      750000 | PA      | $760125.00     | 0.03%             | 2026-06-07      | Floating      | 12.59%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5948.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3            | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $979573.45     | 0.04%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                               | GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A4                  | CUSIP: 3622MPAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307075 | PA      | $176788.48     | 0.01%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1        | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2270207 | PA      | $1916843.34    | 0.07%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2004 A2 4A1               | CUSIP: 466247CL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24806 | PA      | $24426.99      | 0.00%             | 2034-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $119.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20260423                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-672.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                 | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3000000 | PA      | $2936007.51    | 0.11%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 07/32 7.379        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |    -2862000 | PA      | $-2989885.61   | -0.11%            | 2032-07-15      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A10       | CUSIP: 12668BXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      885944 | PA      | $319620.52     | 0.01%             | 2036-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER                                  | CUSIP: 40412DEJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1839136.80    | 0.07%             | 2026-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-96                                                     | FANNIE MAE FNR 2021 96 GI                                | CUSIP: 3136BKYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5256828 | PA      | $918764.21     | 0.04%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7284.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                  | BAYOU RE LTD UNSECURED 144A 05/30 VAR                    | CUSIP: 07304LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      365000 | PA      | $370657.50     | 0.01%             | 2030-05-26      | Floating      | 15.94%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SEU5 PIMCO FXVAN PUT USD BRL 5.32000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10750000 | NC      | $317565.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90750 03/04/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-20638.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR11                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR11 A          | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44824 | PA      | $42094.91      | 0.00%             | 2034-10-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14518.25     | -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      | $20628.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                        | FREDDIEMAC STRIP FHS 408 C51                             | CUSIP: 3142G6F92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6421873 | PA      | $1077342.98    | 0.04%             | 2053-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20260916                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $75366.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNIGEL (STICHTING ADMINISTRATIEKANTOOR UNIGEL CREDITORS)                      | STICHTING ADMINISTRATIEKAN DEPOSITORY RECEIPT NPV        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | NL        |       11319 | NS      | $0.01          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/35 FIXED 3.501  | CUSIP: 88880LAS2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      400000 | PA      | $344786.36     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                    | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1181000000 | PA      | $5157912.67    | 0.20%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS REV REPO EUR                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -2388970 | PA      | $-2764507.10   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ABILENE DC 1 LLC/ABILENE DC 2 LLC                                             | PROJECT FLASH DELAYED DRAW TERM LOAN                     | CUSIP: BA000GR85<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1000000 | PA      | $992830.03     | 0.04%             | 2028-01-09      | Floating      | 5.34%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-20428.17     | -0.00%            |  |  |  | No            |                  2 | 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        |        8588 | PA      | $8022.39       | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5058                                                       | FREDDIE MAC FHR 5058 JX                                  | CUSIP: 3137F8DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4283166 | PA      | $345968.91     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-10768.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                    | DAVITA INC COMPANY GUAR 144A 09/32 6.875                 | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Short            | DBT              | CORP              | US        |    -2800000 | PA      | $-2870844.96   | -0.11%            | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B        | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9343 | PA      | $8764.98       | 0.00%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1591875 | PA      | $1591875.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5            | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $170766.52     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-75                                                     | FANNIE MAE FNR 2021 75 BI                                | CUSIP: 3136BJR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8800027 | PA      | $1532993.70    | 0.06%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C         | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9238042 | PA      | $4513694.54    | 0.17%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1               | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1060 | PA      | $1036.35       | 0.00%             | 2033-11-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/9.65000 12/17/25-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-5450.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                  | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                 | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $998018.40     | 0.04%             | 2039-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1           | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167087 | PA      | $164763.63     | 0.01%             | 2034-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CLEAR CHANNEL OUTDOOR HO COMPANY GUAR 144A 06/29 7.5     | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Short            | DBT              | CORP              | US        |    -2620000 | PA      | $-2632562.90   | -0.10%            | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                          | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR            | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      600000 | PA      | $635190.00     | 0.02%             | 2031-05-27      | Floating      | 21.46%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 3R 1A11 144A      | CUSIP: 12640HAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1150331 | PA      | $1069335.04    | 0.04%             | 2037-07-27      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     4506250 | PA      | $4506250.00    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                         | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 10/31 5.75     | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     1900000 | PA      | $1946100.90    | 0.07%             | 2031-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-752.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/9.82000 11/14/25-9Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $-271298.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $98745.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KENNEDY LEWIS CLO 8 LTD 8A                                                    | KENNEDY LEWIS CLO LTD KLLM 8A A1R2 144A                  | CUSIP: 37148EAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6000000 | PA      | $6013908.96    | 0.23%             | 2038-01-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1123375 | PA      | $1123375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-0.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       49468 | PA      | $49467.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $32546.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      297750 | PA      | $297750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $16066.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 5A9          | CUSIP: 93934FFK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76468 | PA      | $62947.03      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1        | CUSIP: 02147LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350579 | PA      | $184327.60     | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-360820.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6871.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2900000 | NC      | $-16425.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                                | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                   | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6995182 | PA      | $7002322.75    | 0.27%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $362.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | GENERAL MOTORS COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $22369.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3280000 | PA      | $3280000.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260406                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $14779.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                 | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         994 | PA      | $972.39        | 0.00%             | 2034-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5072                                                       | FREDDIE MAC FHR 5072 EI                                  | CUSIP: 3137F96T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10962859 | PA      | $428984.36     | 0.02%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                           | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 1A3A       | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4755756 | PA      | $1513636.83    | 0.06%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A4         | CUSIP: 17311YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4261289 | PA      | $1537202.88    | 0.06%             | 2037-03-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC SR UNSECURED 05/32 4.75         | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      300000 | PA      | $297861.45     | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1        | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1465936 | PA      | $1418307.53    | 0.05%             | 2035-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                           | NCL CORPORATION LTD SR UNSECURED 144A 09/33 6.25         | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Short            | DBT              | CORP              | BM        |    -3625000 | PA      | $-3519996.08   | -0.14%            | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      749000 | PA      | $749000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH T-31                                            | FHLMC STRUCTURED PASS THROUGH FSPC T 31 A6               | CUSIP: 3133TR7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         406 | PA      | $400.34        | 0.00%             | 2030-11-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1081684.27    | 0.04%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                            | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR            | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6095499.85    | 0.23%             | 2027-08-13      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      323906 | PA      | $323906.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A4              | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      777500 | PA      | $385287.29     | 0.01%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP DISC COML PAPER                                 | CUSIP: 00809KDH8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      400000 | PA      | $399214.80     | 0.02%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/33 VAR                      | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1800000 | PA      | $2013497.26    | 0.08%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | ZA        |   301577532 | PA      | $17822414.54   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX5                                          | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX5 A4         | CUSIP: 74924QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10188169 | PA      | $9278614.04    | 0.36%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | BONOS TESORERIA PESOS BONDS 03/35 5                      | CUSIP: BZ8VHWII9<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   180000000 | PA      | $187674.09     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1106875 | PA      | $1106875.00    | 0.04%             |  |  |  | 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        |        6685 | PA      | $6765.30       | 0.00%             | 2044-09-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      827000 | PA      | $827000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20260407                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $5145.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2         | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         744 | PA      | $715.59        | 0.00%             | 2034-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $22890.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $24859.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260430                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10438.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260408                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-102324.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  JUN26 XEUR 20260608                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -165 | NC      | $412901.65     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP UAG                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $16209.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                     | ROGERS COMMUNICATIONS                                    | CUSIP: 77511MD99<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      700000 | PA      | $699295.73     | 0.03%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                   | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   149700000 | PA      | $8751937.30    | 0.34%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1734.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H060648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2992000 | PA      | $3042751.65    | 0.12%             | 2056-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1752750 | PA      | $1752750.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A3         | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2934018 | PA      | $1058996.72    | 0.04%             | 2037-03-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LIMITED                                                    | SIRIUS REAL ESTATE LTD SR UNSECURED REGS 06/26 1.125     | CUSIP: ACI1YMJ56<br>LEI: 213800NURUF5W8QSK566 | Long             | DBT              | CORP              | GG        |     1900000 | PA      | $2186322.84    | 0.08%             | 2026-06-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260428                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-21239.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      784688 | PA      | $784687.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SOFR/2.06000 10/27/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8202414.20    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | LETRA TESOURO NACIONAL BILLS 07/26 0.00000               | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   209900000 | PA      | $39243480.39   | 1.51%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8        | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161875 | PA      | $78282.15      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 08/34 6.2              | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1947958.68    | 0.07%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-67883.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-4                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 4 A2C                | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2792739 | PA      | $1077097.08    | 0.04%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| ARBYS RESTAURANT (IRB HOLDING CORP)                                           | IRB HOLDING CORP 2025 TERM LOAN B                        | CUSIP: 44988LAM9<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |     6137245 | PA      | $6129573.43    | 0.24%             | 2030-12-16      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $78320.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA JR SUBORDINA REGS 12/99 VAR          | CUSIP: ACI0RSP49<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     1700000 | PA      | $2007761.53    | 0.08%             | 2027-01-11      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP2                                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A        | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24231 | PA      | $22638.87      | 0.00%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                                        | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1A1D         | CUSIP: 68383NCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1192866 | PA      | $1186685.42    | 0.05%             | 2035-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4          | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      646141 | PA      | $376044.00     | 0.01%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1192844 | PA      | $1192843.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC                                     | CUSIP: 37790BE49<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     2550000 | PA      | $2540332.95    | 0.10%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                          | ERAC USA FINANCE LLC                                     | CUSIP: 26882SDQ6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1146830.14    | 0.04%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 959604 FN 11/37 FIXED 6.5                      | CUSIP: 31413YRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17819 | PA      | $18742.66      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      571406 | PA      | $571406.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LLC                                                          | EMERA US FINANCE LLC COMPANY GUAR 04/29 4.5              | CUSIP: 29103HAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1198808.99    | 0.05%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   149000000 | PA      | $147281493.60  | 5.66%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 2 DAC 2A                                                    | TORO EUROPEAN CLO TCLO 2A ARRE 144A                      | CUSIP: ACI37WPZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4300000 | PA      | $4969188.75    | 0.19%             | 2034-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      219938 | PA      | $219937.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 06/18/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-4411635.65   | -0.17%            |  |  |  | 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        |        8717 | PA      | $8695.76       | 0.00%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12445.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A2          | CUSIP: 25151AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      939240 | PA      | $873013.31     | 0.03%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260422                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-118334.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $118507.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W2                                                  | FANNIEMAE WHOLE LOAN FNW 2001 W2 AF6                     | CUSIP: 313920XZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         890 | PA      | $888.82        | 0.00%             | 2031-10-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $41428.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                       | KODIAK GAS SERVICES LLC COMPANY GUAR 144A 10/35 6.75     | CUSIP: 50012LAE4<br>LEI: 549300ZQBRWEUOVOM131 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1118322.70   | -0.04%            | 2035-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260602                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $47333.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3604.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAITEREK NATIONAL INVESTMENT HOLDING JSC                                      | BAITEREK NATL INV HOLD SR UNSECURED REGS 04/31 16.95     | CUSIP: ACI396GZ2<br>LEI: 984500B4F78F04253804 | Long             | DBT              | NUSS              | KZ        |   201000000 | PA      | $421931.57     | 0.02%             | 2031-04-02      | Fixed         | 16.95%                | No            |                  3 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 09/18/24-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-3996171.84   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080119 G2 10/27 FLOATING VAR                | CUSIP: 36225CDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2141 | PA      | $2144.21       | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                              | PROJECT CASHMERE CLASS A1 144A                           | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    39600000 | PA      | $27322027.35   | 1.05%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS5999 FN 10/40 FIXED 3.5                      | CUSIP: 3138WFUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140393 | PA      | $133275.75     | 0.01%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4820                                                              | FREDDIE MAC FHR 4820 JI                                  | CUSIP: 3137FHJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      210253 | PA      | $40956.29      | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIL3 PIMCO FXVAN PUT USD ZAR 17.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -31542000 | NC      | $-1009312.46   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | REPUBLIC OF COLOMBIA SR UNSECURED 01/31 6.125            | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1100000 | PA      | $1083500.00    | 0.04%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-52565.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $114043.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $105.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                          | EDISON INTERNATIONAL                                     | CUSIP: 28103BDH2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249508.18     | 0.01%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | GOLDMAN SACHS GROUP INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1305.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         643 | NC      | $-2649635.18   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                                      | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A2C         | CUSIP: 84751YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3584382 | PA      | $1209262.92    | 0.05%             | 2037-09-25      | Floating      | 4.09%                 | 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        |        8809 | PA      | $8614.32       | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1145375 | PA      | $1145375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                | GRAY MEDIA INC COMPANY GUAR 144A 10/30 4.75              | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Short            | DBT              | CORP              | US        |    -2800000 | PA      | $-2163523.32   | -0.08%            | 2030-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-3490.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      123375 | PA      | $123375.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $26176.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95           | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      600000 | PA      | $437129.32     | 0.02%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1063750 | PA      | $1063750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/56 4.75                               | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $97546.88      | 0.00%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-117323.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1         | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164941 | PA      | $130854.09     | 0.01%             | 2036-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260429                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6896.25      | -0.00%            |  |  |  | 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        |      548067 | PA      | $222960.21     | 0.01%             | 2036-02-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J1                                                | COUNTRYWIDE HOME LOANS CWHL 2006 J1 3A1                  | CUSIP: 126694XX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      298006 | PA      | $89593.05      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $16735.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                              | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1                | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40254 | PA      | $34970.38      | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $9380.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000      | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     4800000 | PA      | $3758592.00    | 0.14%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG        | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $1785000.00    | 0.07%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 07/29 7.33         | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |    -1771000 | PA      | $-1849818.36   | -0.07%            | 2029-07-15      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-7                                                 | GSAA HOME EQUITY TRUST GSAA 2007 7 A5                    | CUSIP: 36249BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31411890 | PA      | $17222065.06   | 0.66%             | 2037-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                               | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                 | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5888 | PA      | $5881.60       | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.87000 03/05/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5094.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-561.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                | NRG ENERGY INC COMPANY GUAR 144A 02/33 6                 | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Short            | DBT              | CORP              | US        |    -2600000 | PA      | $-2602327.00   | -0.10%            | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A3              | CUSIP: 31394PPS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11274 | PA      | $12136.13      | 0.00%             | 2043-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                                | FREMONT HOME LOAN TRUST FHLT 2006 A 2A4                  | CUSIP: 35729RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7699197 | PA      | $5071160.86    | 0.19%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 790460 FN 09/34 FLOATING VAR                   | CUSIP: 31405JE91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2173 | PA      | $2220.69       | 0.00%             | 2034-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $16043.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                                            | BOSTON GAS COMPANY SR UNSECURED 144A 03/32 3.757         | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1782472.90    | 0.07%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A               | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53277 | PA      | $47647.12      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC                                                          | INEOS US FINANCE LLC 2023 USD TERM LOAN B                | CUSIP: G4768PAN1<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |     3780682 | PA      | $3315185.65    | 0.13%             | 2030-02-18      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-521.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A3          | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178352 | PA      | $163875.52     | 0.01%             | 2034-11-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      513750 | PA      | $513750.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA1                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A21         | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      941270 | PA      | $631243.62     | 0.02%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2220000 | PA      | $2220000.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD UZS BOUGHT USD 20261218                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1256.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCI INC                                                                      | MSCI INC COMPANY GUAR 144A 08/33 3.25                    | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      500000 | PA      | $435810.46     | 0.02%             | 2033-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6VXA0 PIMCO FPPSWAPTION 3.255 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    31900000 | NC      | $816617.67     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      309375 | PA      | $309375.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                         | HALEON US CAPITAL LLC COMPANY GUAR 03/27 3.375           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2971732.08    | 0.11%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260713                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1419.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY46 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1502195.58    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-8                                           | CITICORP MORTGAGE SECURITIES, CMSI 2007 8 1A3            | CUSIP: 17312DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46590 | PA      | $47638.13      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2381250 | PA      | $2381250.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                       | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567           | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1400000 | PA      | $1403597.05    | 0.05%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | BONOS TESORERIA PESOS BONDS 144A REGS 04/33 6            | CUSIP: ACI2FK1C3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   475000000 | PA      | $527676.35     | 0.02%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1131625 | PA      | $1131625.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1102750 | PA      | $1102750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 535341 FN 09/39 FLOATING VAR                   | CUSIP: 31384VWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5807 | PA      | $5884.96       | 0.00%             | 2039-09-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20260413                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1466.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-27198.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                      | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3760000 | PA      | $3173035.80    | 0.12%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B             | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48697 | PA      | $21321.56      | 0.00%             | 2037-02-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-144                                                    | FANNIE MAE FNR 2011 144 LS                               | CUSIP: 3136A23W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3275858 | PA      | $448776.49     | 0.02%             | 2042-01-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 9 1A1           | CUSIP: 86361PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259820 | PA      | $124125.66     | 0.00%             | 2036-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | VENTURE GLOBAL PLAQUE SR SECURED 144A 05/33 7.5          | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3739282.60    | 0.14%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2006-1X                                                          | EUROSAIL PLC ESAIL 2006 1X C1A REGS                      | CUSIP: G3299JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     3859428 | PA      | $4440637.24    | 0.17%             | 2044-06-10      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 06/33 7.25           | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |    -1047000 | PA      | $-1073794.82   | -0.04%            | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.97500 03/21/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-36118.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                                | COUNTRYWIDE HOME LOANS CWHL 2007 10 A2                   | CUSIP: 12545CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      392237 | PA      | $152331.81     | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A2         | CUSIP: 92990GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17937 | PA      | $15483.39      | 0.00%             | 2037-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A            | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      260000 | PA      | $338749.70     | 0.01%             | 2049-12-21      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.71199 06/30/26-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $15159.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20260424                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-7223.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH6574 FN 08/47 FIXED 4                        | CUSIP: 3140GVJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2849 | PA      | $2734.25       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC                                     | CUSIP: 37790BDW8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2690977.41    | 0.10%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 06/30 2.1               | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      700000 | PA      | $630220.63     | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | 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        |        2437 | PA      | $2483.04       | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2200000 | PA      | $2105065.64    | 0.08%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A1           | CUSIP: 576449AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49498 | PA      | $14120.82      | 0.00%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         207 | PA      | $204.86        | 0.00%             | 2035-06-20      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1        | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375615 | PA      | $363737.45     | 0.01%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-56                                                            | FANNIE MAE FNR 2006 56 CA                                | CUSIP: 31395NWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5016 | PA      | $5149.37       | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $65497.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP/THE                                                        | HOWARD HUGHES CORP SR UNSECURED 144A 03/34 6.125         | CUSIP: 44267DAH0<br>LEI: 549300BVHY25JZC1KI49 | Short            | DBT              | CORP              | US        |    -1200000 | PA      | $-1153445.88   | -0.04%            | 2034-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1010000 | PA      | $1010000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC                                                         | NESCO HOLDINGS II INC SECURED 144A 04/29 5.5             | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Short            | DBT              | CORP              | US        |    -4305000 | PA      | $-4214178.28   | -0.16%            | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-W12                                                           | FANNIEMAE WHOLE LOAN FNW 2002 W12 AF5                    | CUSIP: 31392GSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30427 | PA      | $30710.65      | 0.00%             | 2033-02-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A           | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2128 | PA      | $2114.58       | 0.00%             | 2034-04-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 885667 FN 10/36 FIXED 6.5                      | CUSIP: 31410C6C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         780 | PA      | $816.24        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      289875 | PA      | $289875.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -126000000 | PA      | $-101464452.18 | -3.90%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                  | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00     | 0.01%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4.93         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                       | GSG BIDCO LTD SR SECURED 144A 06/36 5.375                | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     2700000 | PA      | $3099355.73    | 0.12%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $173.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-5762.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                        | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/27 4.4            | CUSIP: 62954HBE7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     1800000 | PA      | $1800002.36    | 0.07%             | 2027-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2          | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13998 | PA      | $13853.92      | 0.00%             | 2034-02-25      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                                          | AMKOR TECHNOLOGY INC COMPANY GUAR 144A 10/33 5.875       | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1096874.79   | -0.04%            | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -5479940 | NC      | $-4378.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3898125 | PA      | $3898125.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 11/28 6.85         | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -593000 | PA      | $-617037.48    | -0.02%            | 2028-11-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2       | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210689 | PA      | $194721.82     | 0.01%             | 2045-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7552.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SUBORDINATED 05/28 4.836                    | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      350000 | PA      | $350089.41     | 0.01%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     7211375 | PA      | $7211375.00    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP/CANADAS WONDERLAND CO/MILLENNIUM OPERATIONS LLC  | SIX FLAGS/CAN WON/MILLEN COMPANY GUAR 144A 01/32 8.625   | CUSIP: 83003AAA8<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1102528.17   | -0.04%            | 2032-01-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/31 2.222        | CUSIP: 86562MCJ7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     4800000 | PA      | $4204835.95    | 0.16%             | 2031-09-17      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260519                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-14837.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/1.7* 12/21/16-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2925081.87    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                          | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A3          | CUSIP: 45660LXM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78947 | PA      | $32357.54      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     2782500 | PA      | $2782500.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 487821 GN 03/39 FIXED 5                        | CUSIP: 36210B4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100239 | PA      | $101961.37     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A1         | CUSIP: 02151AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467405 | PA      | $210826.96     | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA2578 FN 04/46 FIXED 3.5                      | CUSIP: 31418B2L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69524 | PA      | $65213.27      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2275.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                                 | ARGENT SECURITIES INC. ARSI 2004 W3 A3                   | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      364665 | PA      | $394888.90     | 0.02%             | 2034-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1529894 | PA      | $1529893.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO XII LLC                                                  | KKR GROUP FINAN CO XII COMPANY GUAR 144A 05/32 4.85      | CUSIP: 48255GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000000 | PA      | $983805.14     | 0.04%             | 2032-05-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      595125 | PA      | $595125.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 21A1               | CUSIP: 07386HE98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99000 | PA      | $80542.12      | 0.00%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     3348250 | PA      | $3348250.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHETARD INC                              | CUSIP: 01626VDA8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      250000 | PA      | $249717.88     | 0.01%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20260420                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $765.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20260518                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3.22          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A         | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10115 | PA      | $10020.89      | 0.00%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260610                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-11604.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4             | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    42200000 | PA      | $11521658.67   | 0.44%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A1          | CUSIP: 939336Z30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57281 | PA      | $55796.75      | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      195750 | PA      | $195750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2           | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211647 | PA      | $178906.20     | 0.01%             | 2033-01-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XII DAC 12A                                            | CORDATUS CLO PLC CORDA 12A ARR 144A                      | CUSIP: ACI378M42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1500000 | PA      | $1731456.75    | 0.07%             | 2039-01-23      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375       | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1998602.97    | 0.08%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8251.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                   | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62809 | PA      | $61107.37      | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1113750 | PA      | $1113750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-13722.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                              | FREDDIE MAC FHR 2411 FJ                                  | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8033 | PA      | $8015.26       | 0.00%             | 2029-12-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC               | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5      | CUSIP: 91327BAA8<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1200000 | PA      | $-1166524.25   | -0.04%            | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25100000 | PA      | $22012890.26   | 0.85%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH2712 FN 04/47 FIXED 3.5                      | CUSIP: 3140GRAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      223121 | PA      | $208008.79     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                   | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                  | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2201683.24    | 0.08%             | 2034-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7          | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23302 | PA      | $23368.53      | 0.00%             | 2033-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20260415                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $44513.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-1428.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-111548.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS7316 FN 06/46 FIXED 3.5                      | CUSIP: 3138WHDW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48279 | PA      | $45190.40      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11629.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95    | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      800000 | PA      | $779496.75     | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-985.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20260417                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3507.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-15059.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -120 | NC      | $1169528.37    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888596 FN 07/37 FIXED VAR                      | CUSIP: 31410GGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1930 | PA      | $2046.54       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                   | EQUINIX INC SR UNSECURED 03/27 0.25                      | CUSIP: ACI1W3KV1<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1577199.40    | 0.06%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LIMITED                                                     | MINERAL RESOURCES LTD SR UNSECURED 144A 04/31 7          | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Short            | DBT              | CORP              | AU        |    -1000000 | PA      | $-1022819.41   | -0.04%            | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260720                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $122746.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20260416                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-668.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                                                            | MURPHY OIL USA INC COMPANY GUAR 09/29 4.75               | CUSIP: 626738AE8<br>LEI: N32S6DTR2ZZ5222WHV58 | Short            | DBT              | CORP              | US        |    -1100000 | PA      | $-1085667.55   | -0.04%            | 2029-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6        | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     4100000 | PA      | $1203031.12    | 0.05%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                    | AMETEK INC DISC COML                                     | CUSIP: 03111CD67<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249834.05     | 0.01%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UC50A6 PIMCO SWAPTION 2.54 CALL EUR 2026041           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2300000 | NC      | $-352.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2A             | CUSIP: 617538AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2722561 | PA      | $1369019.65    | 0.05%             | 2036-12-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-70128.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1010000 | PA      | $1010000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                      | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5          | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1985286.64    | 0.08%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260916                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $32497.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260618                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-216.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR             | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      600000 | PA      | $620370.00     | 0.02%             | 2032-06-07      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C             | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8783750 | PA      | $3014798.07    | 0.12%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                 | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A     | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000259.59    | 0.04%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      186245 | PA      | $186245.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2          | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2328872 | PA      | $1300241.66    | 0.05%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | ORGANON + CO/ORGANON FOR SR UNSECURED 144A 04/31 5.125   | CUSIP: 68622TAB7<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -5375000 | PA      | $-4385918.84   | -0.17%            | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                          | THAMES WATER SUPER SENIOR ISSU 10/27 9.75                | CUSIP: ACI3915T9<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       64369 | PA      | $93808.61      | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A       | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1016973.00    | 0.04%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      456125 | PA      | $456125.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      100228 | PA      | $100227.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20261002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-60053.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1051250 | PA      | $1051250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1130250 | PA      | $1130250.00    | 0.04%             |  |  |  | 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        |    26500000 | PA      | $27266656.93   | 1.05%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     1078594 | PA      | $1078593.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer