# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004421
**Filing Date:** 2025-11
**Character Count:** 172177
**Document Hash:** ea17b23b0fcfedabdf0ff02031985312
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004421.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004421

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**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:** 251528228

**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 Low Duration ESG Fund (Series ID: S000009693)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026584 | Institutional | PLDIX           |
| C000066770 | I-2           | PLUPX           |

## 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 Low Duration ESG Fund

- **b. EDGAR series identifier (if any):** S000009693

- **c. LEI of Series:** J3HDCJQLI0Z3MYG73Z14

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

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

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $398652596.53

**Total Liabilities:** $59767378.93

**Net Assets:** $338885217.60

**Delayed Delivery Securities:** $1700000.00

**Cash Not Reported:** $4297591.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13171.029800 | **1-Year:** 7684.502500 | **5-Year:** 32225.337200 | **10-Year:** 6064.002700 | **30-Year:** 3.813700

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

- **3-Month:** 7.601800 | **1-Year:** 205.178000 | **5-Year:** 241.202800 | **10-Year:** 1.609500 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066770 | -0.03%               | 0.97%                | 0.29%                |
| Class ID C000026584 | -0.03%               | 0.98%                | 0.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $29349.42                | $-820639.05                                |
| Month 2  | $40436.82                | $1575325.84                                |
| Month 3  | $-495880.55              | $1046695.18                                |

**Designated Index Information**

- **Index Name:** 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index

- **Index Identifier:** G1O2, LUICTRUU

### Schedule of Portfolio Investments

| Name                                                                     | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2346.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  18800000 | NC      | $16662.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $-557.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-12511.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                         | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12308 | PA      | $10746.96     | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.59900 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $68.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -300000 | NC      | $-72.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF           | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    212992 | PA      | $206413.05    | 0.06%             | 2043-10-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QG8791 FR 08/53 FIXED 5               | CUSIP: 3133C9XU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    568128 | PA      | $564502.25    | 0.17%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 918103 FN 05/37 FIXED 6                       | CUSIP: 31411YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       337 | PA      | $355.60       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2022-1A                                                        | FIRST HELP FINANCIAL LLC FHF 2022 1A A 144A             | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157460 | PA      | $157439.86    | 0.05%             | 2028-01-18      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BY9171 FN 09/53 FIXED 5                       | CUSIP: 3140NSFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1080406 | PA      | $1077394.17   | 0.32%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37901 | PA      | $35528.01     | 0.01%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                     | NORINCHUKIN BANK SR UNSECURED 144A 10/29 5.094          | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $511840.09    | 0.15%             | 2029-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/26 FIXED 1.123  | CUSIP: 64972EUB3<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    250000 | PA      | $242780.83    | 0.07%             | 2026-11-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-57.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                            | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2139223.02   | 0.63%             | 2043-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAI6A4 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $88.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QH2697 FR 10/53 FIXED 5               | CUSIP: 3133CE7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1477487 | PA      | $1476301.07   | 0.44%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                                   | ASIAN DEVELOPMENT BANK SR UNSECURED 02/26 6             | CUSIP: ACI1VFRX4<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | N/A       |  11000000 | PA      | $2004377.85   | 0.59%             | 2026-02-05      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                   | MORGAN STANLEY BANK NA SR UNSECURED 01/29 VAR           | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    800000 | PA      | $814508.31    | 0.24%             | 2029-01-12      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM1355 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    154581 | PA      | $143010.07    | 0.04%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                      | DEVELOPMENT BK OF JAPAN SR UNSECURED REGS 10/25 0.875   | CUSIP: BFZP0NII4<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    680000 | PA      | $798146.88    | 0.24%             | 2025-10-10      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-2501.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $299.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                            | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    487609 | PA      | $488906.32    | 0.14%             | 2033-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                                   | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT        | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16154 | PA      | $15958.14     | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL DA0566 FN 09/53 FIXED 5                       | CUSIP: 3140A0TY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1021978 | PA      | $1015914.92   | 0.30%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1955.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                                   | FREDDIEMAC STRIP FHS 332 V1                             | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91846 | PA      | $96274.04     | 0.03%             | 2044-08-15      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-13.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1918.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         2 | NC      | $79.98        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-134.63      | -0.00%            |  |  |  | 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      | $-6499.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2641 | PA      | $2533.55      | 0.00%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY UNLIMITED COMPANY                                 | SMURFIT KAPPA TREASURY COMPANY GUAR REGS 09/27 1.5      | CUSIP: ACI1FB085<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    800000 | PA      | $923120.36    | 0.27%             | 2027-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-17.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS VIII ISSUER 2022-A                                        | SUNNOVA HELIOS VIII ISSUER, LL SNVA 2022 A A 144A       | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1970180 | PA      | $1671719.90   | 0.49%             | 2049-02-22      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| GEMGARTO PLC 2021-1A                                                     | GEMGARTO GMG 2021 1A A 144A                             | CUSIP: ACI1VNV95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     90079 | PA      | $121217.32    | 0.04%             | 2067-12-16      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABFA9 PIMCO SWAPTION 3.507 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-31.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA          | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    167113 | PA      | $167494.36    | 0.05%             | 2066-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF          | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4108457 | PA      | $4184645.86   | 1.23%             | 2072-11-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                             | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2143 | PA      | $2153.04      | 0.00%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BV5376 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3456576 | PA      | $3042547.11   | 0.90%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A14613 FG 10/33 FIXED 5               | CUSIP: 31296PDS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1789 | PA      | $1796.06      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BX3483 FN 10/53 FIXED 5                       | CUSIP: 3140N72R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1175126 | PA      | $1171546.79   | 0.35%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-81.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.65000 08/14/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1568.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $-281.77      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                              | BANK OF AMERICA CORP SR UNSECURED 05/29 VAR             | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    700000 | PA      | $708804.47    | 0.21%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                                  | FREDDIE MAC FHR 4678 AF                                 | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275132 | PA      | $272785.70    | 0.08%             | 2042-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                       | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001250.00   | 0.30%             | 2035-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                     | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1020063.55   | 0.30%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140 | PA      | $1153.53      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.50000 12/18/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $33882.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1              | FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1             | CUSIP: 3137FXLY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13664350 | PA      | $606408.81    | 0.18%             | 2030-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL 1L0174 FH 08/35 FLOATING VAR          | CUSIP: 3128Q2FP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3426 | PA      | $3515.19      | 0.00%             | 2035-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| DENSO CORPORATION                                                        | DENSO CORP SR UNSECURED 144A 09/29 4.42                 | CUSIP: 24872BAB6<br>LEI: 549300RYPA10CQM3QK38 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $503011.12    | 0.15%             | 2029-09-11      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                 | SNAM SPA SR UNSECURED 144A 05/30 5                      | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    700000 | PA      | $710300.47    | 0.21%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                              | EUROSAIL PLC ESAIL 2007 4X A3 REGS                      | CUSIP: BTGD2JII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    235040 | PA      | $316258.29    | 0.09%             | 2045-06-13      | Floating      | 5.04%                 | 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        |   2334780 | PA      | $2210616.00   | 0.65%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $822917.10    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  66000000 | PA      | $66000000.00  | 19.48%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                    | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    388174 | PA      | $456221.34    | 0.13%             | 2034-10-21      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-393.02      | -0.00%            |  |  |  | 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        |      6174 | PA      | $5191.63      | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $2349.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                           | MORGAN STANLEY SR UNSECURED 10/26 VAR                   | CUSIP: 61747YEX9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1601035.26   | 0.47%             | 2026-10-16      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                 | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434258 | PA      | $438156.71    | 0.13%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $57.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-61.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 05/26 FIXED 1.023  | CUSIP: 64972EUA5<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    650000 | PA      | $639617.94    | 0.19%             | 2026-05-01      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-27.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H13                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H13 FT          | CUSIP: 38376RUS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1926 | PA      | $1929.59      | 0.00%             | 2066-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-8.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3 | NC      | $-669.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                             | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $785756.90    | 0.23%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2485.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H31 FT          | CUSIP: 38376RMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21826 | PA      | $21875.76     | 0.01%             | 2065-11-20      | Floating      | 5.12%                 | 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        |   2168900 | PA      | $2102839.12   | 0.62%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM          | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19079 | PA      | $19075.83     | 0.01%             | 2065-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5             | CUSIP: 3133KR3D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2745547 | PA      | $2670396.12   | 0.79%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING LLC 2025-1                      | GREAT AMERICA LEASING RECEIVAB GALC 2025 1 A2 144A      | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1105532.12   | 0.33%             | 2027-10-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $3125.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       238 | PA      | $244.23       | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QH2698 FR 09/53 FIXED 5               | CUSIP: 3133CE7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1249803 | PA      | $1249945.90   | 0.37%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                     | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1100000 | PA      | $1102332.18   | 0.33%             | 2033-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                               | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                  | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4435 | PA      | $4352.16      | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 04/28 VAR          | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    800000 | PA      | $809542.84    | 0.24%             | 2028-04-23      | Floating      | 4.94%                 | 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      | $-3568.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                          | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10858 | PA      | $10411.28     | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5035.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                           | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE A 144A   | CUSIP: 865592AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1622241.00   | 0.48%             | 2041-02-12      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BY4733 FN 06/53 FIXED 5                       | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    481045 | PA      | $478423.95    | 0.14%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2004-AA6                   | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA6 A1        | CUSIP: 32051GCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41996 | PA      | $41529.15     | 0.01%             | 2035-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $2367.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $77.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-53.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                         | CALIFORNIA ST HLTH FACS FING A CASMED 06/26 FIXED 1.168 | CUSIP: 13032UXN3<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $982379.00    | 0.29%             | 2026-06-01      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-10.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-336.63      | -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      | $-36754.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1813773.67   | 0.54%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                              | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $604798.43    | 0.18%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $984.51       | 0.00%             |  |  |  | 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        |    600000 | PA      | $708667.32    | 0.21%             | 2027-02-23      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.23100 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2869.68      | 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      | $546.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                             | BARCLAYS PLC SR UNSECURED 11/26 VAR                     | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $801859.79    | 0.24%             | 2026-11-02      | Floating      | 7.33%                 | 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      | $-1888.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-69.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                         | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1186 | PA      | $1194.82      | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2021-2GS LTD                                          | LOANPAL SOLAR LOAN LTD. LPSLT 2021 2GS A 144A           | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    709942 | PA      | $579469.07    | 0.17%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                         | DEUTSCHE BANK NY DEUTSCHE BANK NY                       | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $608768.38    | 0.18%             | 2030-09-11      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                        | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222934 | PA      | $224628.98    | 0.07%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  11300000 | PA      | $11300000.00  | 3.33%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-31                                                | FANNIE MAE FNR 2013 31 HI                               | CUSIP: 3136ADGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116857 | PA      | $3893.43      | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-26.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    586348 | PA      | $586760.78    | 0.17%             | 2036-10-16      | Floating      | 5.33%                 | 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      | $-892.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-87.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $2839.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA STATIC CLO I DAC 1A                                                | AVOCA STATIC CLO AVOST 1A AR 144A                       | CUSIP: ACI2S1S08<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    446547 | PA      | $523775.72    | 0.15%             | 2035-01-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB          | CUSIP: 38375UUZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    281739 | PA      | $281880.63    | 0.08%             | 2065-03-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9795 FR 09/53 FIXED 4               | CUSIP: 3133KR3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    711334 | PA      | $671319.45    | 0.20%             | 2053-09-01      | Fixed         | 4.00%                 | 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        |      3856 | PA      | $3912.56      | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                                      | FANNIE MAE FNR 2009 111 EZ                              | CUSIP: 31398GRQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34621 | PA      | $35352.56     | 0.01%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL DA2947 FN 10/53 FIXED 5                       | CUSIP: 3140A3HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1211090 | PA      | $1205465.61   | 0.36%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2           | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678512 | PA      | $664005.19    | 0.20%             | 2034-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BP1523 G2 08/49 FIXED 3.5                  | CUSIP: 3617L7VQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    466522 | PA      | $429854.72    | 0.13%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1942.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-223.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                  | EQUITABLE FINANCIAL LIFE SECURED 144A 07/26 1.3         | CUSIP: 29449W7M3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1664424.10   | 0.49%             | 2026-07-12      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6275.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14325 | PA      | $13942.24     | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1527.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -700000 | PA      | $-694324.07   | -0.20%            | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12520 | PA      | $12899.30     | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FE          | CUSIP: 38376R5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164346 | PA      | $166287.42    | 0.05%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                      | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/26 5.464       | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1200000 | PA      | $1204361.47   | 0.36%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3602125 | PA      | $3666077.24   | 1.08%             | 2072-11-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-84.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         1 | NC      | $891.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QH2457 FR 10/53 FIXED 5               | CUSIP: 3133CEWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    946342 | PA      | $940483.38    | 0.28%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA3029 FN 06/32 FIXED 3                       | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    491135 | PA      | $479179.05    | 0.14%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG          | CUSIP: 38376R4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    248618 | PA      | $251897.11    | 0.07%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-80578.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $134.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                     | NORINCHUKIN BANK SR UNSECURED 144A 09/26 1.284          | CUSIP: 656029AG0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   2200000 | PA      | $2138948.94   | 0.63%             | 2026-09-22      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0046 FR 10/53 FIXED 4               | CUSIP: 3142GQBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    993399 | PA      | $937208.84    | 0.28%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-905.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM8966 G2 06/49 FIXED 3.5                  | CUSIP: 3617K06B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195826 | PA      | $181129.32    | 0.05%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/25 FIXED 0.923  | CUSIP: 64972ETZ2<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    250000 | PA      | $249375.25    | 0.07%             | 2025-11-01      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/26 3.625                             | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37300000 | PA      | $37251130.66  | 10.99%            | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                     | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1404188 | PA      | $1406063.58   | 0.41%             | 2047-12-26      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 845052 FN 11/35 FLOATING VAR                  | CUSIP: 31407YZR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2224 | PA      | $2261.34      | 0.00%             | 2035-11-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                                 | COOPERAT RABOBANK UA/NY 08/26 VAR                       | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $501307.81    | 0.15%             | 2026-08-28      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                       | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/28 5.5    | CUSIP: 86563VBH1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $412928.16    | 0.12%             | 2028-03-09      | Fixed         | 5.50%                 | 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      | $-3940.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $289.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                             | UBS GROUP AG SR UNSECURED 144A 01/27 VAR                | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1300000 | PA      | $1304684.34   | 0.38%             | 2027-01-12      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $556.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-49439.03    | -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      | $147886.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                     | FREDDIE MAC NOTES 10/25 0.65                            | CUSIP: 3134GW5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   4100000 | PA      | $4090204.08   | 1.21%             | 2025-10-27      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                     | NORINCHUKIN BANK SR UNSECURED 144A 03/28 5.43           | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $614505.98    | 0.18%             | 2028-03-09      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-B                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 B 2A2         | CUSIP: 06050HD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54008 | PA      | $52017.76     | 0.02%             | 2033-03-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-2839.20     | -0.00%            |  |  |  | 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      | $-595.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-2888.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                          | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5341 | PA      | $2920.60      | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2542.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-78                                                | FANNIE MAE FNR 2010 78 PE                               | CUSIP: 31398TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38426 | PA      | $39478.67     | 0.01%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                  | BPCE SA 144A 10/27 VAR                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $818299.75    | 0.24%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                       | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75         | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    430000 | PA      | $436403.19    | 0.13%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4597847.64   | 1.36%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6830 FN 07/53 FIXED 4.5                     | CUSIP: 3140QSSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5526712 | PA      | $5380573.51   | 1.59%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2298.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QG2351 FR 05/53 FIXED 5               | CUSIP: 3133C2TG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147614 | PA      | $147137.56    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | 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        |       452 | PA      | $430.32       | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                     | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1700000.00   | 0.50%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                      | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $180.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.64500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-548.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-9.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-93.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-62.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE EXPERTS ISSUER 2021-1A LLC                                       | SERVICE EXPERTS ISSUER SE 2021 1A A 144A                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367636 | PA      | $361161.72    | 0.11%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAM2A9 PIMCO SWAPTION 3.55 CALL USD 2025102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-697.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT SGD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-135.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                                  | FREDDIE MAC FHR 3376 FD                                 | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17181 | PA      | $17211.50     | 0.01%             | 2037-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                          | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $300485.80    | 0.09%             | 2029-09-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 303742 FN 08/29 FLOATING VAR                  | CUSIP: 31373ULX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       940 | PA      | $930.21       | 0.00%             | 2029-08-01      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                           | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE B 144A   | CUSIP: 865592AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $257500.44    | 0.08%             | 2041-02-12      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-35.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBN CO LIMITED                                                           | NBN CO LTD NBN CO LTD                                   | CUSIP: 62878U2H4<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $298851.53    | 0.09%             | 2027-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-84                                                       | FANNIE MAE FNR 2005 84 XM                               | CUSIP: 31394FN50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1816 | PA      | $1868.00      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-G                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 G 2A7         | CUSIP: 05949ALH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9129 | PA      | $9142.10      | 0.00%             | 2034-08-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                     | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1328751.63   | 0.39%             | 2028-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1420.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                               | FANNIE MAE FNR 2012 146 QA                              | CUSIP: 3136ABFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3263 | PA      | $2841.79      | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8481 FR 07/53 FIXED 4.5             | CUSIP: 3133KQM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2756819 | PA      | $2681360.86   | 0.79%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-19.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3863686.09   | 1.14%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA2970 FR 07/50 FIXED 2.5             | CUSIP: 3133KJJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1461814 | PA      | $1245410.26   | 0.37%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       367 | NC      | $35410.57     | 0.01%             |  |  |  | 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        |   1100000 | PA      | $1267642.10   | 0.37%             | 2026-09-27      | Fixed         | 0.62%                 | 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      | $-1047.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BE4276 G2 06/48 FIXED 4                    | CUSIP: 3617BXXD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500265 | PA      | $472580.23    | 0.14%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 815195 FN 05/35 FLOATING VAR                  | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       530 | PA      | $536.18       | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A               | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1502250.39   | 0.44%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $12572.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) | INTL BK RECON + DEVELOP SR UNSECURED 02/26 5.31         | CUSIP: ACI1VGLL4<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | N/A       |  26000000 | PA      | $1499147.65   | 0.44%             | 2026-02-05      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8480 FR 07/53 FIXED 4               | CUSIP: 3133KQM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2282848 | PA      | $2154904.86   | 0.64%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AB3968 FN 12/26 FIXED 3                       | CUSIP: 31417AMS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100791 | PA      | $99978.42     | 0.03%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL          | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21025 | PA      | $21025.81     | 0.01%             | 2065-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD BRL BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-5521.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-26.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4          | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654041 | PA      | $652424.66    | 0.19%             | 2035-03-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA          | CUSIP: 38383KGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    648638 | PA      | $654384.21    | 0.19%             | 2073-08-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-630.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       434 | PA      | $442.54       | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-1260.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                | BANQUE FED CRED MUTUEL BANQUE FED CRED MUTUEL           | CUSIP: 06675DCM2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $408882.15    | 0.12%             | 2028-02-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                         | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10995 | PA      | $10604.78     | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -150 | NC      | $-74015.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.24800 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5477.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2128.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6531.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2008-RR1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A  | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17631 | PA      | $15758.29     | 0.00%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QH1419 FR 08/53 FIXED 5               | CUSIP: 3133CDSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1224401 | PA      | $1220292.98   | 0.36%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA5189 FN 11/53 FIXED 5                       | CUSIP: 31418EXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1431109 | PA      | $1424094.38   | 0.42%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                    | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A         | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1570 | PA      | $666.48       | 0.00%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB3364 FN 04/52 FIXED 3                       | CUSIP: 3140QNW24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4221088 | PA      | $3717879.65   | 1.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                    | TORONTO DOMINION BANK SR UNSECURED 12/26 5.264          | CUSIP: 89115A2V3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1200000 | PA      | $1216968.65   | 0.36%             | 2026-12-11      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                  | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A     | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3152845 | PA      | $2999458.96   | 0.89%             | 2038-08-15      | Floating      | 5.22%                 | 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      | $-5051.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $35.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                   | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A     | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782852 | PA      | $789117.49    | 0.23%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                                 | HANA BANK HANA BANK                                     | CUSIP: 48723RAE5<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |   1500000 | PA      | $1530354.90   | 0.45%             | 2027-04-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $-211.33      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                          | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A         | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    928590 | PA      | $930867.15    | 0.27%             | 2033-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                             | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19858 | PA      | $19792.03     | 0.01%             | 2042-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-2193.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003                     | FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A1        | CUSIP: 3137FWHY9<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |   2170016 | PA      | $1957447.24   | 0.58%             | 2031-02-25      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1219.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $110.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6909 | PA      | $6692.63      | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-181.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-1179.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA/NEW YORK BRANCH                                   | GOLDMAN SACHS BANK USA SR UNSECURED 05/27 VAR           | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    800000 | PA      | $802908.93    | 0.24%             | 2027-05-21      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC                                                           | WEIR GROUP PLC (THE) SR UNSECURED 144A 05/26 2.2        | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2460610.13   | 0.73%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QH2700 FR 10/53 FIXED 5               | CUSIP: 3133CE7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1364705 | PA      | $1358451.37   | 0.40%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-110.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                          | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440601 | PA      | $1242912.69   | 0.37%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080579 G2 02/32 FLOATING VAR               | CUSIP: 36225CUD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2455 | PA      | $2491.67      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.51400 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $707.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $2230.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  25000000 | PA      | $25000000.00  | 7.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $171.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BO7890 G2 07/49 FIXED 3.5                  | CUSIP: 3617KPXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    279996 | PA      | $257641.57    | 0.08%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER COMPANY                                                   | SOUTHERN POWER CO SR UNSECURED 01/26 0.9                | CUSIP: 843646AW0<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $990515.93    | 0.29%             | 2026-01-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1283 | NC      | $157920.15    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $6031.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                 | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4016 | PA      | $4026.41      | 0.00%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-11.97       | -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      | $-5316.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA5071 FN 07/53 FIXED 5                       | CUSIP: 31418ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    274636 | PA      | $273317.23    | 0.08%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $126.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $454.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1859.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                            | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2494381 | PA      | $2246938.23   | 0.66%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-101.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2194.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-553.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8 | PA      | $8.84         | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-2282.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                          | TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/26 4.55        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201127.35    | 0.06%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080086 G2 06/27 FLOATING VAR               | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $812.90       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-2347.51     | -0.00%            |  |  |  | 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        |    200000 | PA      | $201470.44    | 0.06%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-720.51      | -0.00%            |  |  |  | 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        |  22000000 | NC      | $19498.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                          | SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR         | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1203595.81   | 0.36%             | 2026-11-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                 | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001184.18   | 0.30%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BY5837 FN 07/53 FIXED 5                       | CUSIP: 3140NNPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74260 | PA      | $73997.10     | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H08                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H08 FT          | CUSIP: 38376RTW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17746 | PA      | $17798.91     | 0.01%             | 2066-02-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                    | BBCCRE TRUST BBCCR 2015 GTP A 144A                      | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2033900.00   | 0.60%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                             | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 04/29 5.875  | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |   1000000 | PA      | $1055973.56   | 0.31%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA5106 FN 08/53 FIXED 5                       | CUSIP: 31418EU81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1657659 | PA      | $1651243.08   | 0.49%             | 2053-08-01      | Fixed         | 5.00%                 | 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        |      2431 | PA      | $2284.80      | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                              | OCEAN TRAILS CLO OCTR 2020 10A AR2 144A                 | CUSIP: 67516CAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001855.27   | 0.30%             | 2034-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01        | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A10            | CUSIP: 3137FMCZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1829180.16   | 0.54%             | 2029-04-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $135.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-31780.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FH          | CUSIP: 38376RAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147577 | PA      | $147533.64    | 0.04%             | 2065-04-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A   | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2136690.60   | 0.63%             | 2038-06-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BY4128 FN 06/53 FIXED 5                       | CUSIP: 3140NLSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1614206 | PA      | $1603465.32   | 0.47%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $142.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                       | BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05         | CUSIP: 05565ECE3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    670000 | PA      | $686443.85    | 0.20%             | 2028-08-11      | Fixed         | 5.05%                 | 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        |     19949 | PA      | $18369.72     | 0.01%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $199.27       | 0.00%             |  |  |  | No            |                  2 | 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        |     23037 | PA      | $21525.08     | 0.01%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                           | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    800000 | PA      | $804300.00    | 0.24%             | 2028-04-13      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AJ8540 FN 01/27 FIXED 3                       | CUSIP: 3138E1P27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15585 | PA      | $15436.54     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL J17884 FG 01/27 FIXED 3               | CUSIP: 3128PXXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5438 | PA      | $5390.80      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BX9727 FN 04/53 FIXED 5                       | CUSIP: 3140NEYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    514233 | PA      | $512319.38    | 0.15%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                     | FREDDIE MAC NOTES 10/25 0.65                            | CUSIP: 3134GWZV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   4100000 | PA      | $4091917.67   | 1.21%             | 2025-10-22      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                   | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1       | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3480 | PA      | $2860.22      | 0.00%             | 2035-11-19      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 04/26 4.875                             | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2011833.48   | 0.59%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL DA0936 FN 10/53 FIXED 5                       | CUSIP: 3140A1BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1248710 | PA      | $1245035.38   | 0.37%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01        | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A7             | CUSIP: 3137FMD25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1888803.28   | 0.56%             | 2026-04-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                               | OCEAN TRAILS CLO OCTR 2020 8A ARR                       | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502286.27   | 0.44%             | 2034-07-15      | Floating      | 5.61%                 | 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      | $-7685.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4                 | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    767420 | PA      | $769286.96    | 0.23%             | 2036-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UADXA5 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-21.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB2786 FN 01/52 FIXED 3                       | CUSIP: 3140QNCY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3963469 | PA      | $3497808.86   | 1.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    710339 | PA      | $721454.24    | 0.21%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                          | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $701365.00    | 0.21%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -8 | NC      | $-1101.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR          | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7485 | PA      | $7742.07      | 0.00%             | 2035-06-01      | Floating      | 6.51%                 | 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      | $-3804.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                     | FREDDIE MAC NOTES 10/26 0.8                             | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1700000 | PA      | $1648190.97   | 0.49%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5               | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1175769 | PA      | $1171823.68   | 0.35%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA5137 FN 09/53 FIXED 5                       | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1611355 | PA      | $1604287.48   | 0.47%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BK8838 FN 08/48 FIXED 4                       | CUSIP: 3140HNZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140130 | PA      | $135476.29    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $109.48       | 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        |     20837 | PA      | $8810.05      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                  | BPCE SA SR UNSECURED 144A 01/27 VAR                     | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $401530.20    | 0.12%             | 2027-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.30000 09/25/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $57.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 799940 FN 11/34 FLOATING VAR                  | CUSIP: 31405UV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1467 | PA      | $1481.92      | 0.00%             | 2034-11-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-12.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                           | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 10/25 3.625  | CUSIP: 268317AS3<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $499803.78    | 0.15%             | 2025-10-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SUNNOVA SOL V ISSUER LLC 2023-1A                                         | SUNNOVA SOL V ISSUER, LLC SNVA 2023 1A A 144A           | CUSIP: 86745XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471608 | PA      | $457687.32    | 0.14%             | 2058-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-109.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-216995.69   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1411 | PA      | $1472.41      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-2A                                  | HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A        | CUSIP: 42806MBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1031311.70   | 0.30%             | 2029-09-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM9250 G2 05/49 FIXED 3.5                  | CUSIP: 3617K1H30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113497 | PA      | $104716.87    | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4           | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32293 | PA      | $33907.48     | 0.01%             | 2034-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                        | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38988 | PA      | $8335.16      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8790 | PA      | $8851.56      | 0.00%             | 2041-09-01      | Floating      | 5.40%                 | 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        |      2072 | PA      | $2062.95      | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                                  | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1006159.80   | 0.30%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABEA0 PIMCO SWAPTION 3.807 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-26.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-126.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-114.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9128 FR 08/53 FIXED 5.5             | CUSIP: 3133KRD92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    775292 | PA      | $784610.69    | 0.23%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                     | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2841089.69   | 0.84%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA5164 FN 10/53 FIXED 5                       | CUSIP: 31418EW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    635702 | PA      | $632913.57    | 0.19%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.70000 08/13/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3602.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                             | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000706.75   | 0.30%             | 2035-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5             | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4272978 | PA      | $4149397.22   | 1.22%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                 | AMERICAN EXPRESS CO SR UNSECURED 04/27 VAR              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007920.68   | 0.30%             | 2027-04-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3121.68     | -0.00%            |  |  |  | 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      | $-1649.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                      | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27909 | PA      | $29046.87     | 0.01%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $-1071.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-176.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-578.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-472.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-198.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)              | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 06/26 3.375    | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    183000 | PA      | $181252.60    | 0.05%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAM1A0 PIMCO SWAPTION 3.85 PUT USD 20251027          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-339.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS                       | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A     | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1518324 | PA      | $1214836.44   | 0.36%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-17.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-24.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP          | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7743 | PA      | $2797.78      | 0.00%             | 2036-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2791 | PA      | $2784.92      | 0.00%             | 2042-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7218 FN 10/53 FIXED 5                       | CUSIP: 3140QTAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2706821 | PA      | $2695646.59   | 0.80%             | 2053-10-01      | Fixed         | 5.00%                 | 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      | $-1379.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                            | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.375      | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1470593.10   | 0.43%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2651 | PA      | $2650.29      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $10.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-2376.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-5.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2183 | PA      | $2222.30      | 0.00%             | 2035-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -272 | NC      | $-247322.79   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LIMITED                                                 | JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125        | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |    781000 | PA      | $740458.29    | 0.22%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2839.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-1335.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $12.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                    | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34123 | PA      | $12991.29     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN          | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106611 | PA      | $106667.27    | 0.03%             | 2067-07-20      | Floating      | 4.97%                 | 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        |      8377 | PA      | $8076.46      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL Q56466 FG 06/48 FIXED 4               | CUSIP: 3132Y0FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350668 | PA      | $338065.11    | 0.10%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-25.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG          | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79890 | PA      | $79881.75     | 0.02%             | 2067-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1507.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                           | PACIFIC LIFE GF II SECURED 144A 04/26 1.375             | CUSIP: 6944PL2E8<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1873294.78   | 0.55%             | 2026-04-14      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QG6858 FR 07/53 FIXED 5               | CUSIP: 3133C7TP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    372980 | PA      | $371517.42    | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-505591.26   | -0.15%            | 2055-10-14      | Fixed         | 2.50%                 | 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      | $-3689.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                        | KOREA HOUSING FINANCE CO 08/27 4.875                    | CUSIP: 50065RAP2<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |    400000 | PA      | $406629.73    | 0.12%             | 2027-08-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-92.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6829 FN 07/53 FIXED 4                       | CUSIP: 3140QSST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1464468 | PA      | $1383152.13   | 0.41%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -14200000 | PA      | $-12475448.91 | -3.68%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -8 | NC      | $-1625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23486 | PA      | $23251.96     | 0.01%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                   | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9276 | PA      | $9002.73      | 0.00%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1868 | PA      | $1915.70      | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CA0241 FN 08/47 FIXED 4                       | CUSIP: 3140Q7HT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    327920 | PA      | $314539.11    | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A     | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1058661.01   | 0.31%             | 2038-12-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-587.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA2871 FN 01/32 FIXED 3                       | CUSIP: 31418CFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    324915 | PA      | $317232.90    | 0.09%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                         | FREDDIE MAC FHR 2266 F                                  | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.75         | 0.00%             | 2030-11-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                       | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2165812.44   | 0.64%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UADWA6 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-333.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                            | BSST MORTGAGE TRUST BSST 2021 1818 A 144A               | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1272117.15   | 0.38%             | 2036-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-198002.84   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                    | ARBOUR CLO ARBR 7A AR 144A                              | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $1058207.53   | 0.31%             | 2038-12-15      | Floating      | 3.19%                 | 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      | $-2027.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                     | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    730503 | PA      | $856725.21    | 0.25%             | 2033-08-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                         | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A1A               | CUSIP: 669884AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39512 | PA      | $39204.74     | 0.01%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BY5850 FN 07/53 FIXED 5                       | CUSIP: 3140NNQC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1147323 | PA      | $1143473.17   | 0.34%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                          | AES CORP/THE SR UNSECURED 06/28 5.45                    | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1024454.61   | 0.30%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM1356 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    223158 | PA      | $205480.85    | 0.06%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 128776 FN 02/31 FLOATING VAR                  | CUSIP: 31365H6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1067 | PA      | $1082.75      | 0.00%             | 2031-02-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer