# EDGAR Filing Document

**Accession Number:** 0000916183
**File Stem:** 0001099263-26-003042
**Filing Date:** 2026-3
**Character Count:** 307986
**Document Hash:** d1741268d17139a257542836dae22fcd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003042.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003042

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08216
- **FILM NUMBER:** 26705851

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1132893789.53

**Total Liabilities:** $911557904.39

**Net Assets:** $221335885.14

**Cash Not Reported:** $6580133.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5099.865300 | **1-Year:** 79313.901200 | **5-Year:** 28647.615800 | **10-Year:** 3866.593100 | **30-Year:** 432.637100

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

- **3-Month:** 10906.159600 | **1-Year:** 10613.639700 | **5-Year:** 16094.186800 | **10-Year:** 4902.029000 | **30-Year:** 57.938800

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -4.58%               | -6.63%               | -16.01%              |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $637942.57               | $331863.26                                 |
| Month 2  | $-8652759.75             | $9581165.45                                |
| Month 3  | $790794.46               | $-1022628.34                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITY OF DETROIT                                                            | DETROIT MI DET 04/44 ADJUSTABLE VAR                           | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |    2982954 | PA      | $2338880.84   | 1.06%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15                | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2365597.22   | 1.07%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                   | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2924671.68   | 1.32%             | 2041-10-25      | Floating      | 11.37%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 771196 FN 04/34 FIXED 6.5                           | CUSIP: 31404KXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3567 | PA      | $3702.70      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 498247 FN 06/29 FIXED 6.5                           | CUSIP: 31383BP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        458 | PA      | $475.64       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                        | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 VAR           | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     665000 | PA      | $661091.42    | 0.30%             | 2027-09-13      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 18A3 144A           | CUSIP: 75524MCS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2123921 | PA      | $1049495.51   | 0.47%             | 2037-02-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD                                                         | ELMWOOD CLO II LTD. ELMW2 2019 2A SUB 144A                    | CUSIP: 29001RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1212500 | PA      | $509404.08    | 0.23%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 702022 FN 05/33 FIXED 6.5                           | CUSIP: 31400Y4F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $919.00       | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                                 | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        219 | NS      | $616.19       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1               | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2766 | PA      | $2697.82      | 0.00%             | 2035-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS                | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10140113 | PA      | $1230011.94   | 0.56%             | 2049-09-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 583498 FN 05/31 FIXED 8                             | CUSIP: 31387GGF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10983 | PA      | $11226.10     | 0.01%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 398916 FN 09/27 FIXED 8                             | CUSIP: 31378HDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $86.29        | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C36310 FG 02/30 FIXED 7.5                   | CUSIP: 31294DAK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.67         | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 791804 FN 08/34 FIXED 6.5                           | CUSIP: 31405KU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6112 | PA      | $6343.20      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                 | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1                | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     513329 | PA      | $492969.76    | 0.22%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253184 FN 04/30 FIXED 8                             | CUSIP: 31371JFZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $782.23       | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2087359.74   | 0.94%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627727 GN 07/37 FIXED 6                             | CUSIP: 36291GLG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74760 | PA      | $77383.03     | 0.03%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                          | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1300000 | PA      | $1339533.00   | 0.61%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -932275 | PA      | $-934287.16   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-3                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 1A3                 | CUSIP: 57645DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180894 | PA      | $91432.02     | 0.04%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A         | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $734274.27    | 0.33%             | 2036-03-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                   | FANNIE MAE FNR 2022 3 YS                                      | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  101650703 | PA      | $156115.15    | 0.07%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 742880 FN 10/33 FIXED 6.5                           | CUSIP: 31403AJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $353.63       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $85.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 02/36 5.625                 | CUSIP: ACI309M21<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1000000 | PA      | $1104276.67   | 0.50%             | 2036-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                   | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5336000 | PA      | $188537.42    | 0.09%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D72941 FG 07/26 FIXED 7.5                   | CUSIP: 3128FEHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $133.87       | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627597 GN 12/37 FIXED 6                             | CUSIP: 36291GGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4637 | PA      | $4812.30      | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5                   | CUSIP: 31283HAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32334 | PA      | $32717.22     | 0.01%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20260818                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $253.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A                 | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $991034.30    | 0.45%             | 2032-04-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 729682 FN 08/33 FIXED 6.5                           | CUSIP: 31402HUF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18692 | PA      | $19406.65     | 0.01%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                             | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     121860 | NS      | $4720226.14   | 2.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2492609 | PA      | $-2497930.55  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     262000 | PA      | $261358.76    | 0.12%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-15315.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                    | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     878140 | PA      | $907206.52    | 0.41%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-88                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 88 SA                 | CUSIP: 38380FRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4207546 | PA      | $530122.66    | 0.24%             | 2047-06-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AA8656 FN 10/36 FIXED 6                             | CUSIP: 31416STN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34517 | PA      | $35424.60     | 0.02%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254144 FN 11/31 FIXED 8                             | CUSIP: 31371KHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $1050.18      | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -600000 | PA      | $-507328.13   | -0.23%            | 2055-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1860089 | PA      | $-1866109.41  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                       | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1801264.47  | -0.81%            | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5               | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |  130400000 | PA      | $2223872.12   | 1.00%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 750859 FN 10/32 FIXED 6.5                           | CUSIP: 31403KE82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        426 | PA      | $442.12       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                  | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1315419.30   | 0.59%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 08/29 11                           | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1023700000 | PA      | $256205.48    | 0.12%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $4700611.87   | 2.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 781808 FN 11/34 FIXED 6.5                           | CUSIP: 31404XR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18624 | PA      | $19833.97     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 422120 GN 05/27 FIXED 7.5                           | CUSIP: 36206U4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $99.73        | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A              | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22811 | PA      | $23727.57     | 0.01%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 699270 GN 09/38 FIXED 6                             | CUSIP: 36296R2B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63219 | PA      | $65910.49     | 0.03%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG             | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     600000 | PA      | $177000.00    | 0.08%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 06/15/22-30Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1254903.41  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL                | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     217947 | PA      | $170361.71    | 0.08%             | 2027-12-31      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-79.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 1998-1                                           | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A                 | CUSIP: 36228FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237665 | PA      | $233419.94    | 0.11%             | 2027-09-19      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260306                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4220.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1460756 | PA      | $-1472546.16  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 08/17/23-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $207665.23    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST-1996-1                                               | VENDEE MORTGAGE TRUST VENDE 1996 1 1Z                         | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2364 | PA      | $2360.26      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 10/30 4.75                   | CUSIP: ACI30QTM2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     847110 | PA      | $938580.45    | 0.42%             | 2030-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN        | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3801597 | PA      | $3915644.53   | 1.77%             | 2028-09-15      | Fixed         | 11.86%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260312                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6561.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75                   | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     350000 | PA      | $375452.50    | 0.17%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SCRIPPS (E.W. SCRIPPS COMPANY)                                             | EW SCRIPPS CO SECURED 144A 08/30 9.875                        | CUSIP: 811054AH8<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199893.64    | 0.09%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | AT&T INC SNR S* ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7113.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1                | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199764 | PA      | $795.36       | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-952.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2947                                                           | FREDDIE MAC FHR 2947 OZ                                       | CUSIP: 31395R6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20606 | PA      | $20907.13     | 0.01%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735861 FN 09/33 FIXED VAR                           | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14383 | PA      | $14776.27     | 0.01%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 07/28 2.45                          | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     900000 | PA      | $843411.78    | 0.38%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE TRUST                                               | DIVERSIFIED HEALTHCARE T SR SECURED 144A 10/30 7.25           | CUSIP: 25525PAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $818990.40    | 0.37%             | 2030-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5555051.44   | 2.51%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                    | FREDDIE MAC FHR 5060 IP                                       | CUSIP: 3137F87A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7265816 | PA      | $1315168.69   | 0.59%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-706.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447399 GN 07/27 FIXED 7.5                           | CUSIP: 36208C7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.82        | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2040                                                           | FREDDIE MAC FHR 2040 PE                                       | CUSIP: 3133TD3W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2218 | PA      | $2255.90      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3871                                                           | FREDDIE MAC FHR 3871 JB                                       | CUSIP: 3137AC7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     821861 | PA      | $861667.35    | 0.39%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 768504 FN 01/34 FIXED 6.5                           | CUSIP: 31404GX97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2752 | PA      | $2856.43      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2290                                                           | FREDDIE MAC FHR 2290 ZD                                       | CUSIP: 3133TRE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15264 | PA      | $15597.75     | 0.01%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AD0938 FN 04/39 FIXED VAR                           | CUSIP: 31418NBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221665 | PA      | $234553.91    | 0.11%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | US 10YR NOTE (CBT)MAR26 XCBT 20260320                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         18 | NC      | $-6492.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1               | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186917 | PA      | $171385.24    | 0.08%             | 2034-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8              | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     174763 | PA      | $109879.34    | 0.05%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80397 FG 04/26 FIXED 7.5                   | CUSIP: 31335GNN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $51.22        | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                       | CUSIP: 01F060626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -300000 | PA      | $-307889.33   | -0.14%            | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-76                                                         | FANNIE MAE FNR 2010 76 ZC                                     | CUSIP: 31398TFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     313290 | PA      | $313273.94    | 0.14%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2359                                                           | FREDDIE MAC FHR 2359 PZ                                       | CUSIP: 3133TV6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99635 | PA      | $103642.31    | 0.05%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29547.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2507866 | PA      | $-3385994.59  | -1.53%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                        | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261288 | PA      | $270531.07    | 0.12%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 526692 FN 12/29 FIXED 6.5                           | CUSIP: 31384LC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        730 | PA      | $757.59       | 0.00%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/45 4.875                                   | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     197000 | PA      | $198970.00    | 0.09%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV5                | CUSIP: 126673JX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2296723 | PA      | $2027167.71   | 0.92%             | 2034-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.2* 9/16/23-27Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2872517.54   | 1.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260206                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $60.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2                 | CUSIP: 03072SDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39319 | PA      | $27735.02     | 0.01%             | 2032-11-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875             | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     616643 | PA      | $552666.29    | 0.25%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                    | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     630930 | PA      | $33175.43     | 0.01%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FANNIEMAE STRIP-385                                                        | FANNIEMAE STRIP FNS 385 7                                     | CUSIP: 3136FEW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     329455 | PA      | $45688.11     | 0.02%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-118                                                 | FANNIE MAE FNR 2007 118 AC                                    | CUSIP: 31396YCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1504053 | PA      | $1542854.93   | 0.70%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                       | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   57400000 | PA      | $1335651.27   | 0.60%             | 2028-09-06      | Fixed         | 41.72%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 748116 FN 10/33 FIXED 6.5                           | CUSIP: 31403GDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        622 | PA      | $645.61       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625                | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |    1453900 | PA      | $1246719.25   | 0.56%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                             | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A           | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2558000 | PA      | $2417485.73   | 1.09%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                    | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  107400000 | PA      | $68042.87     | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P51301 FG 07/37 FIXED 6.5                   | CUSIP: 3128C6NS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50861 | PA      | $51699.69     | 0.02%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 888215 FN 12/36 FIXED VAR                           | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73885 | PA      | $78112.74     | 0.04%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.30000 01/17/24-2Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14353.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-20Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $93070.86     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                       | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $697457.03    | 0.32%             | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25                 | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     171000 | PA      | $57071.25     | 0.03%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-1855.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                               | FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2                          | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13889 | PA      | $14430.85     | 0.01%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                    | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR           | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |    1300000 | NS      | $1300962.00   | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -622341 | PA      | $-628986.07   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MORGAN STANLEY SNR S* ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6291.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A            | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1568900.00   | 0.71%             | 2036-12-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2770727 | PA      | $-2777192.03  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | X CORP 2025 FIXED TERM LOAN                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     500000 | PA      | $499195.00    | 0.23%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                              | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                        | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     561983 | PA      | $494646.10    | 0.22%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 445792 GN 01/28 FIXED 7.5                           | CUSIP: 36207YF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3741 | PA      | $3786.78      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 SE                                       | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12648523 | PA      | $1619508.05   | 0.73%             | 2048-04-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                     | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     964114 | PA      | $1055892.06   | 0.48%             | 2050-12-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BE3702 FN 06/47 FIXED 4                             | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4893 | PA      | $4733.73      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -734842 | PA      | $-735939.61   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 01/36 8.375                         | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      80000 | PA      | $82383.26     | 0.04%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 SUPER PRTY NEW MONEY TL A | CUSIP: 65131PAB5<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |     120302 | PA      | $113460.26    | 0.05%             | 2029-04-30      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 712129 FN 06/33 FIXED 6.5                           | CUSIP: 31401MEA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $68.51        | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP BRC                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9896.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR COMMON STOCK UNIT                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       1202 | NS      | $572753.00    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A            | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732039 | PA      | $681758.86    | 0.31%             | 2046-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6               | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35660 | PA      | $35321.53     | 0.02%             | 2035-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP JPM                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1519.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  DEC25 XCME 20260317                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -5 | NC      | $19103.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 783390 FN 09/34 FIXED 6.5                           | CUSIP: 31405AKB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        332 | PA      | $344.43       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3843294 | PA      | $-3884494.11  | -1.76%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                                  | FANNIE MAE FNR 2016 40 IO                                     | CUSIP: 3136ASD86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1975729 | PA      | $176228.73    | 0.08%             | 2036-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80408 FG 06/26 FIXED 7.5                   | CUSIP: 31335GNZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $129.76       | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORPORATION                                                    | HF SINCLAIR CORP SR UNSECURED 01/35 6.25                      | CUSIP: 403949AS9<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1043746.82   | 0.47%             | 2035-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6                | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |     560111 | PA      | $539958.84    | 0.24%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/20/23-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-684362.04   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                     | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1380000 | PA      | $1234598.92   | 0.56%             | 2038-12-15      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE      | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     722700 | PA      | $268142.22    | 0.12%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      33000 | PA      | $32941.77     | 0.01%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                           | FREDDIE MAC FHR 2104 ZM                                       | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11864 | PA      | $12133.38     | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 446811 GN 06/27 FIXED 7.5                           | CUSIP: 36208CKY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1083 | PA      | $1089.63      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1585.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2034                                                           | FREDDIE MAC FHR 2034 Z                                        | CUSIP: 3133TCV70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8220 | PA      | $8363.21      | 0.00%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | OIS CAD CAONREPO/3.5000 06/20/14-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $3101.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SW (FINANCE) I PLC                                                         | SW (FINANCE) I PLC SR SECURED REGS 03/27 1.625                | CUSIP: ACI1WPQH7<br>LEI: 549300BHN1HB5BNG2R96 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $1030890.21   | 0.47%             | 2027-03-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A                  | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16569 | PA      | $17215.46     | 0.01%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A               | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2202762.32   | 1.00%             | 2035-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B                | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |    1971789 | PA      | $1978365.40   | 0.89%             | 2030-12-18      | Floating      | 9.95%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                       | CUSIP: 01F070625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20800000 | PA      | $21894328.98  | 9.89%             | 2055-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                                           | FREDDIE MAC FHR 2415 ZA                                       | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8456 | PA      | $8863.05      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2811641.67   | 1.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 97 SB                 | CUSIP: 38381YHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8817929 | PA      | $1061387.67   | 0.48%             | 2049-08-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-79                                                         | FANNIE MAE FNR 2001 79 BA                                     | CUSIP: 31392BMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133603 | PA      | $138397.01    | 0.06%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                           | FREDDIE MAC FHR 2322 KZ                                       | CUSIP: 3133TUHY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158652 | PA      | $166032.85    | 0.08%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 747686 FN 11/33 FIXED 6.5                           | CUSIP: 31403FUK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4173 | PA      | $4331.68      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                         | FANNIE MAE FNR 2001 46 ZL                                     | CUSIP: 313920XQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28612 | PA      | $29455.43     | 0.01%             | 2031-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $398.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                         | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A         | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1993816 | PA      | $1117799.41   | 0.51%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A            | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $966311.40    | 0.44%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C38907 FG 06/29 FIXED 6.5                   | CUSIP: 31294F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1003 | PA      | $1041.58      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                                 | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     503894 | PA      | $467380.21    | 0.21%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                        | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |    1650000 | PA      | $2228989.16   | 1.01%             | 2031-11-28      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| ALTICE SA                                                                  | ALTICE HOLDINGS 1 12/99 0                                     | CUSIP: 000000000<br>LEI: 549300LA7PKCH18B3S39 | Long             | EC               | CORP              | LU        |       3582 | NS      | $59460.12     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780580 GN 06/27 FIXED 7.5                           | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.85        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                                   | FANNIE MAE FNR 2019 1 HS                                      | CUSIP: 3136B3ZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48041 | PA      | $5250.44      | 0.00%             | 2049-02-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-3                                               | VENDEE MORTGAGE TRUST VENDE 2000 3 2Z                         | CUSIP: 911760PM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417714 | PA      | $438889.04    | 0.20%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260211                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1308.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1325486 | PA      | $-1337178.16  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743468 FN 10/33 FIXED 6.5                           | CUSIP: 31403A6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10850 | PA      | $11265.01     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G02472 FG 01/36 FIXED 7                     | CUSIP: 3128M4CH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21499 | PA      | $22607.35     | 0.01%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -814690 | PA      | $-817020.22   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                              | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1                      | CUSIP: 31393XFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     390016 | PA      | $407442.80    | 0.18%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL1779 GN 03/52 FIXED 4                             | CUSIP: 3617Y86Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36504 | PA      | $34820.44     | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                       | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     192582 | NS      | $8649572.68   | 3.91%             |  |  |  | Yes           |                  3 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0      | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   25300000 | PA      | $2440617.63   | 1.10%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2138                                                           | FREDDIE MAC FHR 2138 KC                                       | CUSIP: 3133TJTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142580 | PA      | $145312.62    | 0.07%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447328 GN 06/27 FIXED 7.5                           | CUSIP: 36208C4M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $112.40       | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $86.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 02/30 3.375                         | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92180.94     | 0.04%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5              | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2307756.77   | 1.04%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $93.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -706887 | PA      | $-711250.41   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260129                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5802.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| X CORPORATION                                                              | X CORP TERM LOAN                                              | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2873201 | PA      | $2829082.60   | 1.28%             | 2029-10-26      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000              | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      11376 | PA      | $11172.53     | 0.01%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR                 | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     172062 | PA      | $169381.15    | 0.08%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A               | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $62400.00     | 0.03%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A        | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3193437 | PA      | $487024.73    | 0.22%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5427599 | PA      | $-5463255.30  | -2.47%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253398 FN 08/30 FIXED 8                             | CUSIP: 31371JNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1190 | PA      | $1232.96      | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254881 FN 07/33 FIXED 6.5                           | CUSIP: 31371LCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7595 | PA      | $7885.10      | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R2                              | MORGAN STANLEY REREMIC TRUST MSRR 2014 R2 2B 144A             | CUSIP: 61763LBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5574019 | PA      | $5181374.79   | 2.34%             | 2046-12-26      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-115877.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260326                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $55.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EQUINIX INC SNR S* SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $32224.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-70                                                         | FANNIE MAE FNR 2002 70 QZ                                     | CUSIP: 31392FCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     813193 | PA      | $837316.63    | 0.38%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 2.50000 03/18/26-5Y LCH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-16775.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1924934.12  | -0.87%            | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-2                          | FREDDIE MAC   SCRT SCRT 2025 2 M 144A                         | CUSIP: 35563VCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1504812.60   | 0.68%             | 2065-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                         | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      63446 | PA      | $62435.07     | 0.03%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5           | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     615000 | PA      | $650971.35    | 0.29%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 04/29 11.75          | CUSIP: 650929AC6<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    1024343 | PA      | $985930.14    | 0.45%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535597 FN 10/30 FIXED VAR                           | CUSIP: 31384V7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.91        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                                    | FREDDIE MAC FHR 4324 IO                                       | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     458227 | PA      | $32298.48     | 0.01%             | 2036-08-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| SEVITA (NATIONAL MENTOR HOLDINGS INC)                                      | NATIONAL MENTOR HOLDINGS SR SECURED 144A 12/30 10.5           | CUSIP: 63688RAF4<br>LEI: 5493004QULJVJP3CNZ62 | Long             | DBT              | CORP              | US        |     400000 | PA      | $402491.29    | 0.18%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8               | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $43519.67     | 0.02%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -692669 | PA      | $-694224.37   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/20/23-7Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7239.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743965 FN 11/33 FIXED 6.5                           | CUSIP: 31403BQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $361.91       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A         | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     987342 | PA      | $944383.71    | 0.43%             | 2035-02-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535283 FN 05/30 FIXED VAR                           | CUSIP: 31384VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2426 | PA      | $2522.27      | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B                  | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |    2000000 | PA      | $2227015.73   | 1.01%             | 2032-04-26      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-18                                            | FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A1                      | CUSIP: 31392GFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63833 | PA      | $66161.33     | 0.03%             | 2042-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-60                                                         | FANNIE MAE FNR 2001 60 ZM                                     | CUSIP: 3139213J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3837 | PA      | $4019.08      | 0.00%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                         | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1581971 | PA      | $2008876.75   | 0.91%             | 2045-09-13      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 681706 GN 12/38 FIXED 6                             | CUSIP: 36295VKT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1748 | PA      | $1833.65      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 443108 FN 01/29 FIXED 6.5                           | CUSIP: 31380LGR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1823 | PA      | $1891.80      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                   | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2944511.36   | 1.33%             | 2041-11-25      | Floating      | 11.67%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 677569 FN 02/33 FIXED 6                             | CUSIP: 31391UW68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1075.63      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN               | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    3969615 | PA      | $3748805.45   | 1.69%             | 2028-06-28      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -4 | NC      | $13495.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                         | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     411893 | PA      | $268004.93    | 0.12%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2690200 | PA      | $-2718283.80  | -1.23%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 463328 GN 01/28 FIXED 7.5                           | CUSIP: 36208WVV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $119.39       | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000              | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      33568 | PA      | $29737.94     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                        | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      68102 | NS      | $283304.32    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-2                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 2 3A1                  | CUSIP: 225470YJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731395 | PA      | $76192.74     | 0.03%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20260105                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-237.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 747151 FN 10/33 FIXED 6.5                           | CUSIP: 31403FBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25664 | PA      | $26642.10     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 6.5 JUMBOS                                  | CUSIP: 21H062628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $619617.19    | 0.28%             | 2055-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80401 FG 05/26 FIXED 7.5                   | CUSIP: 31335GNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.06        | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.70 7/12/23-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-487820.76   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8549.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 763726 FN 01/34 FIXED 6.5                           | CUSIP: 31404BPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        684 | PA      | $710.18       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 09/28 3.75                  | CUSIP: ACI309MY1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1000000 | PA      | $1166668.04   | 0.53%             | 2028-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 407308 FN 11/28 FIXED 6.5                           | CUSIP: 31378SNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1058 | PA      | $1098.11      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                           | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      29358 | PA      | $26547.68     | 0.01%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 3.5 JUMBOS                                  | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1638139.50   | 0.74%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                      | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1686056 | PA      | $16423876.12  | 7.42%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                       | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -200000 | PA      | $-185218.75   | -0.08%            | 2040-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                  | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2600000 | PA      | $2452841.87   | 1.11%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A4                       | CUSIP: 31359SY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     469084 | PA      | $489083.10    | 0.22%             | 2041-06-19      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                         | FANNIE MAE FNR 1997 79 PL                                     | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $843.32       | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| GSMPS MTGE LOAN TRUST 1998-5                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 5 A 144A                 | CUSIP: 36228FAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9444 | PA      | $9386.32      | 0.00%             | 2027-06-19      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-49                                                         | FANNIE MAE FNR 2001 49 Z                                      | CUSIP: 313921AG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41140 | PA      | $42958.14     | 0.02%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4044449 | PA      | $-4054385.17  | -1.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 8/24/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24880.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 632024 GN 12/36 FIXED 6                             | CUSIP: 36291MD59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3231 | PA      | $3352.37      | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 09/32 5                     | CUSIP: ACI309N04<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     800000 | PA      | $902769.83    | 0.41%             | 2032-09-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                         | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/36 6.75              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     700000 | PA      | $717332.24    | 0.32%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-33                                                         | FANNIE MAE FNR 1997 33 PA                                     | CUSIP: 31359PQJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $219.64       | 0.00%             | 2027-06-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1559687 | PA      | $-1564843.44  | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735504 FN 04/35 FIXED VAR                           | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119166 | PA      | $123798.51    | 0.06%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 704395 FN 05/33 FIXED 6.5                           | CUSIP: 31401CRQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8791 | PA      | $9124.14      | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 01/35 11.75                        | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  974100000 | PA      | $240179.26    | 0.11%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                                  | FANNIE MAE FNR 2020 40 IO                                     | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     947351 | PA      | $176531.31    | 0.08%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1               | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |     207627 | NS      | $86424.49     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260205                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $165.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A              | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        441 | PA      | $435898.44    | 0.20%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 918263 FN 04/37 FIXED 6.5                           | CUSIP: 31411YFC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102124 | PA      | $104046.33    | 0.05%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CIBC                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6044067 | PA      | $-6059321.47  | -2.74%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6             | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2738000 | PA      | $2549454.64   | 1.15%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01324 FG 10/31 FIXED 7                     | CUSIP: 31283HPH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28241 | PA      | $29700.53     | 0.01%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1A7                         | CUSIP: 31393UNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     557990 | PA      | $558444.48    | 0.25%             | 2043-08-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 4 JUMBOS                                    | CUSIP: 21H040624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3494476.58   | 1.58%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260304                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1263.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W1                                               | FANNIEMAE WHOLE LOAN FNW 2002 W1 2A                           | CUSIP: 31392CMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178657 | PA      | $179692.21    | 0.08%             | 2042-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254463 FN 08/32 FIXED 6.5                           | CUSIP: 31371KTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1425 | PA      | $1468.88      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                     | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |     323500 | NS      | $3444367.01   | 1.56%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                               | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |      33427 | NS      | $939967.24    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE 2005-7                                                          | FANNIE MAE FNR 2005 7 ZY                                      | CUSIP: 31394B5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12410 | PA      | $12899.55     | 0.01%             | 2035-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 491153 GN 01/29 FIXED 7.5                           | CUSIP: 36210FTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $274.96       | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                               | FANNIEMAE WHOLE LOAN FNW 2004 W2 5A                           | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18027 | PA      | $18748.98     | 0.01%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W3                                               | FANNIEMAE WHOLE LOAN FNW 2003 W3 1A3                          | CUSIP: 31392JYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        862 | PA      | $912.40       | 0.00%             | 2042-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-19523.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                 | FANNIE MAE FNR 2012 138 AI                                    | CUSIP: 3136AAEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152495 | PA      | $2108.57      | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -750422 | PA      | $-751797.58   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-51                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 51 1A                    | CUSIP: 31392W7B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31812 | PA      | $33080.54     | 0.01%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL3                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4               | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4360 | PA      | $1959.44      | 0.00%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84                   | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $203225.33    | 0.09%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                   | F+G ANNUITIES + LIFE INC COMPANY GUAR 06/29 6.5               | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $730248.53    | 0.33%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO260626                                    | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1706060000 | PA      | $1072145.60   | 0.48%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                         | FANNIE MAE FNR 2008 67 ZW                                     | CUSIP: 31397MCX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41601 | PA      | $42444.86     | 0.02%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 543927 GN 02/31 FIXED 8.5                           | CUSIP: 36212UHC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4106 | PA      | $4268.12      | 0.00%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T2                                            | FANNIEMAE GRANTOR TRUST FNGT 2004 T2 1A3                      | CUSIP: 31393X7C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40755 | PA      | $42131.40     | 0.02%             | 2043-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 596686 FN 11/31 FIXED 6.5                           | CUSIP: 31387W2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        872 | PA      | $890.90       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                  | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6816 | PA      | $0.00         | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1747.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                       | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559212 | PA      | $441497.78    | 0.20%             | 2046-03-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CK2706 GN 02/52 FIXED 4                             | CUSIP: 3617XXAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     914357 | PA      | $869748.54    | 0.39%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A                    | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31195 | PA      | $31357.59     | 0.01%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                                  | FANNIE MAE FNR 2020 47 SA                                     | CUSIP: 3136BATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     767936 | PA      | $92448.09     | 0.04%             | 2050-07-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $19.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -274455 | PA      | $-274994.08   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4496                                                    | FREDDIE MAC FHR 4496 BI                                       | CUSIP: 3137BKS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4735960 | PA      | $256603.32    | 0.12%             | 2038-11-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C64701 FG 03/32 FIXED 7                     | CUSIP: 31287QGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1443.54      | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                   | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |    1227622 | PA      | $1026218.74   | 0.46%             | 2029-06-01      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-60                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A1                   | CUSIP: 31394XVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985562 | PA      | $997397.62    | 0.45%             | 2044-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                         | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1129979 | PA      | $1374106.06   | 0.62%             | 2045-09-13      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                    | XBP GLOBAL HOLDINGS INC COMMON STOCK                          | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |        371 | NS      | $2526.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     784000 | PA      | $782396.89    | 0.35%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2004-AR2                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2004 AR2 5A2             | CUSIP: 36185N4A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13233 | PA      | $11978.65     | 0.01%             | 2034-08-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-22                                                         | FANNIE MAE FNR 2005 22 DB                                     | CUSIP: 31394DBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     417895 | PA      | $433311.21    | 0.20%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 676839 FN 01/33 FIXED 6                             | CUSIP: 31391T4Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $271.57       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-89                                                         | FANNIE MAE FNR 2003 89 IO                                     | CUSIP: 31393TFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2011484 | PA      | $32559.89     | 0.01%             | 2042-12-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 NS                                       | CUSIP: 3137FPYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4772870 | PA      | $616831.90    | 0.28%             | 2049-11-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                              | FANNIEMAE WHOLE LOAN FNW 2003 W4 4A                           | CUSIP: 31393AQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122798 | PA      | $126119.61    | 0.06%             | 2042-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.6* 8/24/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-73148.50    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 533972 GN 05/32 FIXED 6.5                           | CUSIP: 36212HFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70556 | PA      | $73033.28     | 0.03%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BM2006 FN 01/48 FIXED VAR                           | CUSIP: 3140J6GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60484 | PA      | $58505.01     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 04/07/21-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1681384.67   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-3.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                    | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    2100280 | PA      | $2035545.59   | 0.92%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2000-T6                                           | FANNIEMAE GRANTOR TRUST FNGT 2000 T6 A1                       | CUSIP: 31358SR37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24925 | PA      | $25037.56     | 0.01%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CK0445 GN 02/52 FIXED 4                             | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215304 | PA      | $204878.49    | 0.09%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 257030 FN 11/47 FIXED 6.5                           | CUSIP: 31371NPP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2730 | PA      | $2823.83      | 0.00%             | 2047-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -393300 | PA      | $-394164.93   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W3                                               | FANNIEMAE WHOLE LOAN FNW 2001 W3 A                            | CUSIP: 3139216F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122452 | PA      | $123592.73    | 0.06%             | 2041-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P00029 FG 03/33 FIXED 6                     | CUSIP: 31283NA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22252 | PA      | $22687.06     | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW UNITY COMMON STOCKK                                       | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      33629 | NS      | $226639.62    | 0.10%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260113                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 602008 FN 08/31 FIXED 8                             | CUSIP: 31388DYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        944 | PA      | $964.08       | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                                   | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    1132846 | NS      | $1099283.05   | 0.50%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL H00437 FG 12/36 FIXED 7                     | CUSIP: 3128MSPW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24342 | PA      | $24536.16     | 0.01%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C00489 FG 12/26 FIXED 7.5                   | CUSIP: 31292GRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3911 | PA      | $3927.66      | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                              | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 VAR               | CUSIP: 345397G80<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1910906.91   | 0.86%             | 2028-03-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                       | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A            | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1948890 | PA      | $1254561.96   | 0.57%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 540909 FN 05/31 FIXED 6.5                           | CUSIP: 31385C3S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1320.23      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-906.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                                               | VENDEE MORTGAGE TRUST VENDE 1998 3 E                          | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14431 | PA      | $14518.31     | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W2                                              | FANNIEMAE WHOLE LOAN FNW 2003 W2 1A3                          | CUSIP: 31392JAD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $539.85       | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                       | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25                  | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104629.90    | 0.05%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       5040 | NS      | $655.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 255001 FN 11/33 FIXED 6.5                           | CUSIP: 31371LGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17585 | PA      | $18506.09     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-70                                                  | FANNIE MAE FNR 2019 70 IO                                     | CUSIP: 3136B7KN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69162 | PA      | $14126.57     | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 503022 FN 06/29 FIXED 6.5                           | CUSIP: 31383GYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1090.04      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $368817.55    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | SES S A COMMON STOCK                                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      98888 | NS      | $1536867.85   | 0.69%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780798 GN 12/27 FIXED 7.5                           | CUSIP: 36225A3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1008 | PA      | $1021.34      | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.8* 8/07/23-27Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $555225.07    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C37903 FG 04/30 FIXED 7.5                   | CUSIP: 31294EX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.89        | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                          | CI FINANCIAL CORP SR UNSECURED 144A 05/29 7.5                 | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    1300000 | PA      | $1383465.80   | 0.63%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                         | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |     957000 | PA      | $876200.49    | 0.40%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                             | COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A                   | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87608 | PA      | $89830.67     | 0.04%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 10/30 3                             | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     900000 | PA      | $805876.16    | 0.36%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                        | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                      | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    1000000 | PA      | $424752.53    | 0.19%             | 2030-11-30      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL3208 GN 03/52 FIXED 4                             | CUSIP: 3617YAR59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     755749 | PA      | $721098.19    | 0.33%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO TORONTO DOMINIO                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1137695 | PA      | $-1140283.26  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                     | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196302 | PA      | $87693.73     | 0.04%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 04/32 6.5                    | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     251409 | PA      | $241173.36    | 0.11%             | 2032-04-15      | Fixed         | 6.50%                 | 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        |      11461 | PA      | $11571.62     | 0.01%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                                         | FANNIE MAE FNR 2020 38 QI                                     | CUSIP: 3136BADX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482064 | PA      | $90887.42     | 0.04%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 758557 FN 07/34 FIXED 6.5                           | CUSIP: 31403UWS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4759 | PA      | $4940.22      | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2230                                                     | FREDDIE MAC FHR 2230 Z                                        | CUSIP: 3133TNSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5881 | PA      | $6107.48      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 786574 FN 07/34 FIXED 6.5                           | CUSIP: 31405D2F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18305 | PA      | $19002.63     | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL MA3183 FN 11/47 FIXED 4                             | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34301 | PA      | $33173.33     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A          | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     939275 | PA      | $928354.66    | 0.42%             | 2037-04-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 750674 FN 10/33 FIXED 6.5                           | CUSIP: 31403J6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39975 | PA      | $41495.77     | 0.02%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260223                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2971.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $54810.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 494976 FN 06/29 FIXED 6.5                           | CUSIP: 31382W2H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $184.46       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260202                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6845.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-1996-46                                                         | FANNIE MAE FNR 1996 46 ZA                                     | CUSIP: 31359KF85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.20         | 0.00%             | 2026-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1828.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-3                                          | MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 8A1                 | CUSIP: 576434PB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12814 | PA      | $13411.49     | 0.01%             | 2034-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 190328 FN 12/32 FIXED VAR                           | CUSIP: 31368HLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42064 | PA      | $43558.04     | 0.02%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -817105 | PA      | $-819778.03   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOEING CO/THE SNR S* ICE                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3574.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260220                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $127.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 569341 GN 04/32 FIXED 6.5                           | CUSIP: 36200QP24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47848 | PA      | $49569.77     | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 447529 GN 04/27 FIXED 7.5                           | CUSIP: 36208DEA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.46        | 0.00%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                              | BGC GROUP INC SR UNSECURED 06/29 6.6                          | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1044380.20   | 0.47%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 54 3A                    | CUSIP: 31393LFM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     224051 | PA      | $233406.57    | 0.11%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-50                                                         | FANNIE MAE FNR 2001 50 BA                                     | CUSIP: 31392AJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8370 | PA      | $8643.30      | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BURBERRY GROUP PLC                                                         | BURBERRY GROUP PLC COMPANY GUAR REGS 06/30 5.75               | CUSIP: ACI2PKL89<br>LEI: 213800PE1KEFCNFR1R50 | Long             | DBT              | CORP              | GB        |    2627000 | PA      | $3624237.42   | 1.64%             | 2030-06-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 448600 GN 06/27 FIXED 7.5                           | CUSIP: 36208EKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3524 | PA      | $3574.66      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                           | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A                | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1087488 | PA      | $1149188.63   | 0.52%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 491193 FN 03/29 FIXED 6.5                           | CUSIP: 31382SUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $282.77       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                    | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                         | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84160 | PA      | $70353.62     | 0.03%             | 2036-07-26      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                            | MAREX GROUP PLC SR UNSECURED 11/29 6.404                      | CUSIP: 566539AA0<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1037535.82   | 0.47%             | 2029-11-04      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 793441 FN 08/34 FIXED 6.5                           | CUSIP: 31405MP27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20623 | PA      | $21647.84     | 0.01%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 743878 FN 11/33 FIXED 6.5                           | CUSIP: 31403BM34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12287 | PA      | $12754.75     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $13.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260220                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5092.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                   | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |     298500 | PA      | $280091.51    | 0.13%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                                         | APLD COMPUTECO LLC SR SECURED 144A 12/30 9.25                 | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $132526.18    | 0.06%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A3 144A            | CUSIP: 62951MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1092204 | PA      | $1008818.70   | 0.46%             | 2034-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                       | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2734289 | PA      | $4266513.69   | 1.93%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260115                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-834.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                            | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       2103 | PA      | $893.86       | 0.00%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD MXN BOUGHT USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                      | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    5060570 | PA      | $4707241.02   | 2.13%             | 2028-02-01      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 929119 FN 02/38 FIXED 6.5                           | CUSIP: 31412MG44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16375 | PA      | $17444.54     | 0.01%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1                                    | ALTICE FRAN LUX 3/HOLD 1 SR UNSECURED 144A 01/33 10           | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     856784 | PA      | $786852.09    | 0.36%             | 2033-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1578908 | PA      | $-1582508.72  | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                           | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1300000 | PA      | $1293584.50   | 0.58%             | 2030-12-19      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-432961.56   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25           | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $42442.30     | 0.02%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AL0152 FN 06/40 FIXED VAR                           | CUSIP: 3138EGE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     584909 | PA      | $618965.68    | 0.28%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D72907 FG 07/26 FIXED 7.5                   | CUSIP: 3128FEGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $72.12        | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $278.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL CA0709 FN 09/47 FIXED 4                             | CUSIP: 3140Q7YF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4089137 | PA      | $3954715.84   | 1.79%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                  | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     109766 | PA      | $78372.96     | 0.04%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2311                                                           | FREDDIE MAC FHR 2311 Z                                        | CUSIP: 3133TSDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9230 | PA      | $9541.79      | 0.00%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                           | FREDDIE MAC FHR 2322 PZ                                       | CUSIP: 3133TUKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138847 | PA      | $145120.75    | 0.07%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 596712 FN 06/32 FIXED 6.5                           | CUSIP: 31387W3V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        828 | PA      | $855.95       | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -205764 | PA      | $-206614.20   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                            | MAREX GROUP PLC SR UNSECURED 05/28 5.829                      | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $203422.44    | 0.09%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 713298 FN 06/33 FIXED 6.5                           | CUSIP: 31401NNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        534 | PA      | $554.51       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725034 FN 12/33 FIXED VAR                           | CUSIP: 31402CPT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3517 | PA      | $3651.43      | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                           | FREDDIE MAC FHR 2417 CJ                                       | CUSIP: 31339D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     244097 | PA      | $254518.23    | 0.11%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878        | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $325013.74    | 0.15%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1980612 | PA      | $-1999643.74  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20260203                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-497.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2991976 | PA      | $-2999306.01  | -1.36%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA ROMANIA                                               | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1900000 | PA      | $2284236.22   | 1.03%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253973 FN 08/31 FIXED 6.5                           | CUSIP: 31371KCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        590 | PA      | $598.84       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1                 | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24507 | PA      | $24721.82     | 0.01%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 763753 FN 01/34 FIXED 6.5                           | CUSIP: 31404BQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1677 | PA      | $1740.97      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-7Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-266570.01   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 489119 FN 07/29 FIXED 6.5                           | CUSIP: 31382QK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5778 | PA      | $5996.39      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20261118                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $298.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                       | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581              | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4441116.29   | 2.01%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 755211 FN 10/33 FIXED 6.5                           | CUSIP: 31403RAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1092 | PA      | $1133.09      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-7Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-716576.66   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-41                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 41 3A                    | CUSIP: 31392MEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51004 | PA      | $47281.44     | 0.02%             | 2032-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SECURED 144A 04/29 11.75             | CUSIP: 650929AD4<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |    1091671 | PA      | $764169.70    | 0.35%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                               | FANNIEMAE WHOLE LOAN FNW 2003 W6 3A                           | CUSIP: 31393BU94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271524 | PA      | $280507.52    | 0.13%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $244.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.00 7/15/23-27Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1663659.03   | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A            | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1137418 | PA      | $1075331.16   | 0.49%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 09/31 5.125                         | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2800000 | PA      | $3369335.98   | 1.52%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T16                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T16 A1                      | CUSIP: 31392FDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     633462 | PA      | $667465.90    | 0.30%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1357232.02   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CE4252 GN 10/51 FIXED 4                             | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3341331 | PA      | $3173595.50   | 1.43%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL MA3306 FN 03/48 FIXED 4                             | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62123 | PA      | $60182.40     | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                            | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     542526 | PA      | $670181.40    | 0.30%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                               | FANNIEMAE WHOLE LOAN FNW 2004 W8 3A                           | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85558 | PA      | $88037.24     | 0.04%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 683892 FN 01/33 FIXED 6                             | CUSIP: 31400CXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12630 | PA      | $12965.09     | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1829                                                           | FREDDIE MAC FHR 1829 ZB                                       | CUSIP: 3133T6J36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.54         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                              | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918             | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     700000 | PA      | $716675.95    | 0.32%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260305                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-165.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 503001 GN 02/29 FIXED 7.5                           | CUSIP: 36210UX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2849 | PA      | $2899.65      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 421282 GN 04/27 FIXED 7.5                           | CUSIP: 36206T6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16678 | PA      | $16782.51     | 0.01%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT BRL SOLD USD 20260303                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-967.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A3                      | CUSIP: 31392GVS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10157 | PA      | $10968.87     | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-218752.68   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                           | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2                      | CUSIP: 31392GVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16366 | PA      | $17443.44     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/3.00 9/19/23-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-957837.33   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A2 144A            | CUSIP: 62951MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364068 | PA      | $330728.94    | 0.15%             | 2034-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 03/18/26-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $46679.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 04/30 6.875                         | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2860000 | PA      | $2903324.45   | 1.31%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735394 FN 02/35 FIXED VAR                           | CUSIP: 31402Q7F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5906 | PA      | $6163.76      | 0.00%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT COP SOLD USD 20260102                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-78.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                      | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2947132.32   | 1.33%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                                | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |   50000000 | PA      | $3786669.10   | 1.71%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   58800000 | PA      | $61123423.79  | 27.62%            | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 535951 FN 03/31 FIXED VAR                           | CUSIP: 31384WL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $418.12       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 831551 FN 06/36 FIXED 6.5                           | CUSIP: 31407HZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31069 | PA      | $33046.00     | 0.01%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     435402 | PA      | $462248.00    | 0.21%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 10/30 6.875                  | CUSIP: 02090DAB4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     154020 | PA      | $149525.21    | 0.07%             | 2030-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 430603 GN 02/28 FIXED 7.5                           | CUSIP: 36207FKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $640.16       | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE      | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    6547330 | PA      | $2686623.02   | 1.21%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-5                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A           | CUSIP: 74928WBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5178820 | PA      | $1690728.97   | 0.76%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 02/33 13.25                        | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  893700000 | PA      | $239778.42    | 0.11%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 807392 FN 10/31 FIXED 8                             | CUSIP: 31406D7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4704 | PA      | $4781.90      | 0.00%             | 2031-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                      | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3558000 | PA      | $3453047.50   | 1.56%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260218                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $778.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 08/25/23-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $635269.51    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                         | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     429319 | PA      | $468307.78    | 0.21%             | 2046-06-21      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOEING CO/THE SNR S* ICE                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $19355.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16765.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260225                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $10713.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO260629                                    | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2311830000 | PA      | $1450485.78   | 0.66%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 454351 GN 01/28 FIXED 7.5                           | CUSIP: 36208LWL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12274 | PA      | $12495.41     | 0.01%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $86030.62     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1                | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91515 | PA      | $90829.44     | 0.04%             | 2035-08-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1353.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                    | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     215371 | PA      | $192541.67    | 0.09%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-42                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 42 A5                    | CUSIP: 31392MH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14325 | PA      | $15493.01     | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C00450 FG 03/26 FIXED 7.5                   | CUSIP: 31292GQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.10         | 0.00%             | 2026-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-366255.92   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 254497 FN 09/32 FIXED 6.5                           | CUSIP: 31371KUW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2728 | PA      | $2810.15      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NEW WINDSTREAM WARRANTS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       6551 | NC      | $44090.27     | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 802206 FN 10/34 FIXED 6.5                           | CUSIP: 31405XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1967 | PA      | $2042.17      | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-47                                                         | FANNIE MAE FNR 2003 47 PE                                     | CUSIP: 31393CRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6167 | PA      | $6435.68      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A              | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     551383 | PA      | $493349.75    | 0.22%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.00000 06/21/23-7Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $164664.76    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20G                                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1                 | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2131 | PA      | $2152.64      | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 569853 FN 11/27 FLOATING VAR                        | CUSIP: 31386QBW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2841 | PA      | $2866.67      | 0.00%             | 2027-11-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                        | ANTARES HOLDINGS SR UNSECURED 144A 10/29 6.35                 | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1531940.49   | 0.69%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G06623 FG 04/39 FIXED 5.5                   | CUSIP: 3128M8VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662840 | PA      | $691772.73    | 0.31%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  199000000 | PA      | $207042077.55 | 93.54%            | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                       | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                       | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1950000 | PA      | $-1576750.05  | -0.71%            | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1                 | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1666 | PA      | $1682.44      | 0.00%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 496602 GN 04/29 FIXED 6                             | CUSIP: 36210MU33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2240 | PA      | $2287.15      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1206232.15   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     373000 | PA      | $369026.01    | 0.17%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 06/32 8.625         | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $98584.10     | 0.04%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1                    | CUSIP: 46628BCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     564698 | PA      | $434687.98    | 0.20%             | 2036-10-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735741 FN 07/35 FIXED VAR                           | CUSIP: 31402RLW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1531 | PA      | $1589.38      | 0.00%             | 2035-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                              | FANNIEMAE WHOLE LOAN FNW 2003 W4 2A                           | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4696 | PA      | $4771.29      | 0.00%             | 2042-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW WINDSTREAM PREFERRED STOCK                                | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |        215 | NS      | $213239.36    | 0.10%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4867104 | PA      | $-4917448.39  | -2.22%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                             | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     321000 | PA      | $338718.12    | 0.15%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 752997 FN 10/33 FIXED 6.5                           | CUSIP: 31403MRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5362 | PA      | $5565.04      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2569333 | PA      | $-2597000.27  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                         | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     960482 | PA      | $1281274.88   | 0.58%             | 2045-09-13      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                     | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     964114 | PA      | $1090954.70   | 0.49%             | 2050-12-15      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260316                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $10507.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                  | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4388387 | PA      | $3418553.47   | 1.54%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8              | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     149797 | PA      | $94182.29     | 0.04%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2                   | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22455 | PA      | $23634.80     | 0.01%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 995050 FN 09/37 FIXED VAR                           | CUSIP: 31416BL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133938 | PA      | $141727.47    | 0.06%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 323328 FN 09/28 FLOATING VAR                        | CUSIP: 31374TD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        946 | PA      | $956.07       | 0.00%             | 2028-09-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $11241.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260102                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $656.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                       | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4089441 | PA      | $167814.71    | 0.08%             | 2048-11-15      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-92                                                         | FANNIE MAE FNR 2004 92 BW                                     | CUSIP: 31394BRK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115141 | PA      | $118205.45    | 0.05%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 453008 GN 01/28 FIXED 7.5                           | CUSIP: 36208KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4367 | PA      | $4397.79      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                          | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A3 144A            | CUSIP: 57643QBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1029017 | PA      | $672228.85    | 0.30%             | 2035-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 498356 GN 02/29 FIXED 7.5                           | CUSIP: 36210PTM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5463 | PA      | $5575.27      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 906353 FN 01/47 FIXED 7                             | CUSIP: 31411E5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24158 | PA      | $25386.17     | 0.01%             | 2047-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                        | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1                   | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104566 | PA      | $107956.75    | 0.05%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                    | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  107700000 | PA      | $68196.01     | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR                | CUSIP: 31336SNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $353.04       | 0.00%             | 2033-04-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                    | FREDDIE MAC FHR 4923 QS                                       | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5224131 | PA      | $675924.17    | 0.31%             | 2049-11-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL 785735 FH 12/26 FLOATING VAR                | CUSIP: 31348SLQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        471 | PA      | $471.07       | 0.00%             | 2026-12-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7723415 | PA      | $-7781389.58  | -3.52%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 627708 GN 09/36 FIXED 6                             | CUSIP: 36291GKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8422 | PA      | $8775.93      | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | UNITI GROUP INC COMMON STOCK USD.0001                         | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      32871 | NS      | $230425.71    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A        | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $591040.00    | 0.27%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 888743 FN 01/36 FIXED VAR                           | CUSIP: 31410GLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162537 | PA      | $171844.53    | 0.08%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C62910 FG 01/32 FIXED 7                     | CUSIP: 31287NGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $179.73       | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260226                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1141.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                             | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    2231126 | PA      | $26494.62     | 0.01%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II TBA 30 YR 4.5 JUMBOS                                  | CUSIP: 21H042620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $97347.66     | 0.04%             | 2056-02-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL               | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      27523 | PA      | $23119.40     | 0.01%             | 2027-06-30      | Floating      | 6.83%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                        | LUXCO3 SHARES COMMON STOCK                                    | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |      63923 | NS      | $1127714.99   | 0.51%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $321671.33    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 749783 FN 11/33 FIXED 6.5                           | CUSIP: 31403H6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10014 | PA      | $10394.66     | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C62740 FG 01/32 FIXED 7                     | CUSIP: 31287NBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24719 | PA      | $25993.01     | 0.01%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR              | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3870592 | PA      | $3870592.00   | 1.75%             | 2030-01-31      | Fixed         | 12.22%                | No            |                  3 | On Loan: No      |
| ILLINOIS ST                                                                | ILLINOIS ST ILS 04/35 FIXED 6.725                             | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      11538 | PA      | $12229.11     | 0.01%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3422361 | PA      | $-3430315.63  | -1.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260209                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5340.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                               | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                           | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57547 | PA      | $59053.43     | 0.03%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL2                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4               | CUSIP: 7609856D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110902 | PA      | $101950.03    | 0.05%             | 2031-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST C 144A         | CUSIP: 46652DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $62510.70     | 0.03%             | 2036-12-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS B COMMON STOCK                        | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      52880 | NS      | $193583.10    | 0.09%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.6* 04/08/21-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-941906.02   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-10422.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                   | F+G ANNUITIES + LIFE INC COMPANY GUAR 10/34 6.25              | CUSIP: 30190AAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $407103.70    | 0.18%             | 2034-10-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN     | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |    5052105 | PA      | $5838913.56   | 2.64%             | 2029-12-31      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL A54878 FG 12/30 FIXED 7.5                   | CUSIP: 3128KHM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56719 | PA      | $58270.67     | 0.03%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 448605 GN 07/27 FIXED 7.5                           | CUSIP: 36208EKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4114 | PA      | $4136.40      | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 253585 FN 01/31 FIXED 8                             | CUSIP: 31371JUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $816.88       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 451321 GN 07/27 FIXED 7.5                           | CUSIP: 36208HLA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.06        | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1              | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47116 | PA      | $47468.47     | 0.02%             | 2034-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 616975 GN 02/36 FIXED 6                             | CUSIP: 36290TMY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4356 | PA      | $4586.36      | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1881796 | PA      | $-1886322.76  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2135.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-126                                                 | FANNIE MAE FNR 2012 126 PI                                    | CUSIP: 3136A9ZM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209519 | PA      | $16425.42     | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-40.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVANTI SECURITY HOLDINGS LLC                                               | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                      | CUSIP: 46583VAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     164476 | PA      | $170198.87    | 0.08%             | 2029-06-01      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY                | CUSIP: 38381YVM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20161974 | PA      | $2600568.06   | 1.17%             | 2049-09-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                         | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         69 | NS      | $39.08        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-7320.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $261.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260130                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $810.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1980                                                           | FREDDIE MAC FHR 1980 Z                                        | CUSIP: 3133TAG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9691 | PA      | $9753.43      | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260223                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-197.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC      | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    4780633 | PA      | $826914.71    | 0.37%             | 2026-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                                  | FANNIE MAE FNR 2014 47 BI                                     | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2855206 | PA      | $152959.68    | 0.07%             | 2054-08-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                                 | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |   17707907 | NS      | $20.81        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 800224 FN 12/34 FIXED 6.5                           | CUSIP: 31405VAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5809 | PA      | $6056.64      | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                     | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $139.63       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL4384 GN 02/52 FIXED 4                             | CUSIP: 3617YB2R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     866746 | PA      | $826764.36    | 0.37%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 685192 GN 10/38 FIXED 6                             | CUSIP: 36296AF90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32325 | PA      | $33490.94     | 0.02%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 503901 FN 07/29 FIXED 6.5                           | CUSIP: 31383HX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $194.78       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 01/30 7                | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1444716.54   | 0.65%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                              | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    2472284 | PA      | $1100166.38   | 0.50%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO SARL SR SECURED 01/31 6.25                 | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |    5074400 | PA      | $1099616.18   | 0.50%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/35 4.25                                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     197000 | PA      | $198446.72    | 0.09%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $17693.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-59                                                  | FANNIE MAE FNR 2019 59 HS                                     | CUSIP: 3136B6MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5243204 | PA      | $724149.90    | 0.33%             | 2049-10-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4066                                                    | FREDDIE MAC FHR 4066 SA                                       | CUSIP: 3137ARFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1380880 | PA      | $123095.61    | 0.06%             | 2038-05-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A                | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1237584 | PA      | $1270133.40   | 0.57%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 410324 GN 03/26 FIXED 7.5                           | CUSIP: 36206FYV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1018.13      | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                    | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     339867 | PA      | $17870.82     | 0.01%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2012-43                                                  | FANNIE MAE FNR 2012 43 SI                                     | CUSIP: 3136A5YM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156581 | PA      | $5371.28      | 0.00%             | 2041-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 687742 FN 02/33 FIXED 6                             | CUSIP: 31400HBK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4842 | PA      | $4969.07      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AI9192 FN 08/41 FIXED 4.5                           | CUSIP: 3138APGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44663 | PA      | $44986.30     | 0.02%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -294011 | PA      | $-297180.47   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A              | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53417 | PA      | $54149.52     | 0.02%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ORACLE CORPORATION SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-31795.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 353706 GN 06/27 FIXED 7.5                           | CUSIP: 36203M3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        837 | PA      | $843.39       | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3                       | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50463 | PA      | $52478.72     | 0.02%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                             | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                         | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        179 | PA      | $180.47       | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                       | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    1609857 | PA      | $1611531.22   | 0.73%             | 2031-05-31      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                             | COUNTRYWIDE HOME LOANS CWHL 2004 12 16A1                      | CUSIP: 12669FP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96543 | PA      | $94501.27     | 0.04%             | 2034-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C01086 FG 11/30 FIXED 7.5                   | CUSIP: 31292HF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $65.78        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                           | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                       | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118345 | PA      | $122346.04    | 0.06%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                         | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |     906702 | NS      | $1.07         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260521                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1054.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D73735 FG 08/26 FIXED 7.5                   | CUSIP: 3128FFEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $449.65       | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1105564 | PA      | $-1109483.11  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $158.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                           | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1091480 | PA      | $928074.50    | 0.42%             | 2029-07-06      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260319                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-175.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                             | EPR PROPERTIES SR UNSECURED 08/29 3.75                        | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97032.36     | 0.04%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 684200 FN 01/33 FIXED 6                             | CUSIP: 31400DDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        808 | PA      | $828.76       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A        | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3193488 | PA      | $442968.72    | 0.20%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-1                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1                | CUSIP: 22541SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34942 | PA      | $35108.00     | 0.02%             | 2034-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625        | CUSIP: L4191BAB9<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    1710000 | PA      | $1410750.00   | 0.64%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                        | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487       | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1000000 | PA      | $850006.60    | 0.38%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C42995 FG 12/26 FIXED 8                     | CUSIP: 31298BKG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2498 | PA      | $2506.38      | 0.00%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 748671 FN 10/33 FIXED 6.5                           | CUSIP: 31403GW81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10914 | PA      | $11328.08     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                       | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   10000000 | PA      | $232787.38    | 0.11%             | 2028-05-17      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 11/40 12.75                        | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1032300000 | PA      | $268017.83    | 0.12%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A6               | CUSIP: 760985W72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     596051 | PA      | $217282.45    | 0.10%             | 2031-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5           | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1634323.54   | 0.74%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 701432 GN 11/38 FIXED 6                             | CUSIP: 36296UHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101507 | PA      | $105870.26    | 0.05%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                              | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     135441 | PA      | $141002.73    | 0.06%             | 2043-03-22      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PANAMA LA SP BOA                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9277.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                  | HA SUSTAINABLE INF CAP COMPANY GUAR 07/34 6.375               | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1019138.41   | 0.46%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.50 7/12/23-6Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $149870.94    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2325                                                           | FREDDIE MAC FHR 2325 ZN                                       | CUSIP: 3133TU5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72688 | PA      | $76210.52     | 0.03%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/20/23-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28604.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 662051 FN 08/32 FIXED 6.5                           | CUSIP: 31391BQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1674 | PA      | $1700.04      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 09/17/25-7Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-92.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                       | EDISON INTERNATIONAL SR UNSECURED 11/28 5.25                  | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3345444.14   | 1.51%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                          | CUSIP: 00401BAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2015634.00   | 0.91%             | 2033-05-20      | Floating      | 12.23%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.25000 06/15/22-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5746598.82   | 2.60%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-7Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4835333.07  | -2.18%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 456586 GN 08/27 FIXED 7.5                           | CUSIP: 36208PF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2900 | PA      | $2914.37      | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725851 FN 07/34 FIXED VAR                           | CUSIP: 31402DL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1571 | PA      | $1576.59      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A              | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4500 | PA      | $1034731.77   | 0.47%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 2484                                                           | FREDDIE MAC FHR 2484 LZ                                       | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161385 | PA      | $169892.81    | 0.08%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1                | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94172 | PA      | $90399.19     | 0.04%             | 2035-07-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-199525.99   | -0.09%            |  |  |  | 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      | $73922.99     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-93                                                         | FANNIE MAE FNR 2002 93 A1                                     | CUSIP: 31392GRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128267 | PA      | $131695.07    | 0.06%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                       | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27113 | PA      | $25746.67     | 0.01%             | 2034-12-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 780518 GN 06/26 FIXED 7                             | CUSIP: 36225ASF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $84.44        | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL BJ3524 FN 11/47 FIXED 4                             | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111609 | PA      | $107923.03    | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                        | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |    4732245 | PA      | $4583107.85   | 2.07%             | 2027-05-13      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 TERM LOAN                             | CUSIP: BA000SL02<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    2260000 | PA      | $2214800.00   | 1.00%             | 2030-09-25      | Floating      | 9.72%                 | No            |                  3 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 12/27 4.25                          | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     500000 | PA      | $497366.19    | 0.22%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1277992 | PA      | $-1278477.64  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| BROOKS AUTOMATION (ALTAR BIDCO INC)                                        | ALTAR BIDCO, INC. 2ND LIEN TL                                 | CUSIP: 02090CAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     700000 | PA      | $666456.00    | 0.30%             | 2030-02-01      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                         | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/34 6.5               | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     700000 | PA      | $717325.02    | 0.32%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260112                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $998.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A               | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $121785.05    | 0.06%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-524248.78   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/28 2.375        | CUSIP: ACI2B1W92<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $345068.05    | 0.16%             | 2028-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                       | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     486706 | PA      | $59764.14     | 0.03%             | 2050-05-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 DELAYED DRAW TERM LOAN                | CUSIP: BA000SL28<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     282500 | PA      | $279675.00    | 0.13%             | 2030-09-25      | Floating      | 1.50%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL CL5027 GN 03/52 FIXED 4                             | CUSIP: 3617YCSQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178759 | PA      | $169568.40    | 0.08%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL P50545 FG 03/37 FIXED 7.5                   | CUSIP: 31288LTA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25305 | PA      | $25741.45     | 0.01%             | 2037-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL C80453 FG 12/26 FIXED 7.5                   | CUSIP: 31335GQE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $248.42       | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                                           | FREDDIE MAC FHR 2457 PE                                       | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33069 | PA      | $34735.58     | 0.02%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.7* 7/22/23-27Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1709828.42   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 730754 FN 08/33 FIXED 6.5                           | CUSIP: 31402JZT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $73.11        | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 2173 REMIC                                                           | FREDDIE MAC FHR 2173 Z                                        | CUSIP: 3133TLM62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9199 | PA      | $9463.17      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 725246 FN 01/34 FIXED VAR                           | CUSIP: 31402CWF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9619 | PA      | $9985.78      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260126                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-62.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -494448 | PA      | $-495375.39   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $86043.98     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01381 FG 04/32 FIXED 7                     | CUSIP: 31283HRA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1820 | PA      | $1914.53      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-46059.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5691975 | PA      | $-5705784.03  | -2.58%            |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY SR SECURED 144A 09/31 9.875           | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     623000 | PA      | $628193.46    | 0.28%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260114                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-402.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL D76893 FG 12/26 FIXED 7.5                   | CUSIP: 3128FJUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        780 | PA      | $783.94       | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 745112 FN 10/35 FIXED VAR                           | CUSIP: 31403CYH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5466 | PA      | $5709.42      | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | OIS CAD CAONREPO/3.5000 06/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $48250.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA II POOL 004261 G2 10/38 FIXED 6.5                        | CUSIP: 36202EWW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        375 | PA      | $375.67       | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260206                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $581.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20260318                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-734.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2152                                                           | FREDDIE MAC FHR 2152 BZ                                       | CUSIP: 3133TKXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19607 | PA      | $19825.30     | 0.01%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G01227 FG 03/31 FIXED 7                     | CUSIP: 31283HLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4240 | PA      | $4459.43      | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                  | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1416635 | PA      | $257021.82    | 0.12%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T4                                            | FANNIEMAE GRANTOR TRUST FNGT 2002 T4 A1                       | CUSIP: 31392B6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128444 | PA      | $133188.23    | 0.06%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260320                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6968.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 11/29 7.25                   | CUSIP: ACI30QTN0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     231030 | PA      | $270581.00    | 0.12%             | 2029-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 739477 FN 10/33 FIXED 6.5                           | CUSIP: 31402VQ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6692 | PA      | $6961.60      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-275570.56   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD MXN BOUGHT USD 20260129                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-4630.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-7Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32520.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL AI1162 FN 04/41 FIXED 4.5                           | CUSIP: 3138AEJG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41748 | PA      | $42076.70     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                     | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     291816 | NS      | $644913.36    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                      | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                     | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1375 | PA      | $1428.59      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260302                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1002.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 257154 FN 03/28 FIXED 4.5                           | CUSIP: 31371NTK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1761 | PA      | $1759.39      | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 07/32 6.875                  | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     271109 | PA      | $260156.03    | 0.12%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                        | CENTENE CORP SR UNSECURED 12/29 4.625                         | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     250000 | PA      | $242660.93    | 0.11%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 02/26 0.00000                                   | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $99688.77     | 0.05%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 735487 FN 04/35 FIXED VAR                           | CUSIP: 31402RCY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4242 | PA      | $4423.16      | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                       | GNMA POOL 557681 GN 08/31 FIXED 6                             | CUSIP: 36213LRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1073 | PA      | $1098.53      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A             | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $944042.30    | 0.43%             | 2038-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                                | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1054 | NS      | $52700.00     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-CW1                                            | GSAA HOME EQUITY TRUST GSAA 2004 CW1 2A1                      | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275529 | PA      | $273271.48    | 0.12%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                       | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A          | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42453 | PA      | $41905.57     | 0.02%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ISRAEL GOVT EM SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1519.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1027613.64  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5065                                                    | FREDDIE MAC FHR 5065 IG                                       | CUSIP: 3137F8RG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416218 | PA      | $73375.25     | 0.03%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                                    | FREDDIE MAC FHR 4976 DI                                       | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     438982 | PA      | $82673.73     | 0.04%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 255071 FN 01/34 FIXED 6.5                           | CUSIP: 31371LJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2224 | PA      | $2308.78      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                        | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85        | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      45000 | PA      | $41150.79     | 0.02%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-71                                                         | FANNIE MAE FNR 2003 71 TA                                     | CUSIP: 31393EJT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15735 | PA      | $16753.26     | 0.01%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.00000 06/15/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-527174.26   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1996-2                                               | VENDEE MORTGAGE TRUST VENDE 1996 2 1Z                         | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2109 | PA      | $2113.60      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260227                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $410.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $604382.80    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 01/26 0.00000                                   | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     319000 | PA      | $318815.61    | 0.14%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                       | FNMA POOL 450811 FN 11/28 FIXED 6.5                           | CUSIP: 31380UYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $282.31       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $561560.84    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-7160.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer