# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004477
**Filing Date:** 2025-11
**Character Count:** 384885
**Document Hash:** 78fd0076031a4f1af50abb16280c59cf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004477.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004477

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528301

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

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

## Series and Classes Contracts Data

### PIMCO RAE Fundamental Advantage PLUS Fund (Series ID: S000021058)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000059899 | Institutional | PFATX           |
| C000066772 | Class A       | PTFAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO RAE Fundamental Advantage PLUS Fund

- **b. EDGAR series identifier (if any):** S000021058

- **c. LEI of Series:** 7QYFIQP34NJNMEYP7U11

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1233119938.83

**Total Liabilities:** $852485664.48

**Net Assets:** $380634274.35

**Delayed Delivery Securities:** $5342440.50

**Cash Not Reported:** $10626024.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 25625.006500 | **1-Year:** 73154.864600 | **5-Year:** 87430.050300 | **10-Year:** 3246.817800 | **30-Year:** 50.700300

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

- **3-Month:** 3460.829900 | **1-Year:** 5012.693700 | **5-Year:** 21024.613700 | **10-Year:** 4761.191200 | **30-Year:** 1.115600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066772 | -2.02%               | 3.99%                | 0.00%                |
| Class ID C000059899 | -1.94%               | 3.96%                | -0.00%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $861694.36               | $-3509470.25                               |
| Month 2  | $-9071.52                | $4868497.52                                |
| Month 3  | $2054115.25              | $165573.93                                 |

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                       | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $845.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3681 FN 10/40 FIXED VAR                     | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35319 | PA      | $37239.00     | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3707.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-58423.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-22.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-188.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                   | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A26        | CUSIP: 55274QBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106473 | PA      | $57614.40     | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                  | LEHMAN XS TRUST LXS 2006 GP4 3A5                        | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280559 | PA      | $288381.65    | 0.08%             | 2046-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                               | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1547889 | PA      | $1551870.00   | 0.41%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 05/28 4.751              | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2400000 | PA      | $2421070.32   | 0.64%             | 2028-05-12      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-553.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 9.39000 11/15/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-1254.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                  | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70608 | PA      | $46494.73     | 0.01%             | 2046-09-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $2486.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7243.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO10 A1        | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1303461 | PA      | $1177615.50   | 0.31%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RKA4 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1240000 | NC      | $-5391.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1           | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20314 | PA      | $20814.94     | 0.01%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3211.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2553 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3ZT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6716 | PA      | $6262.46      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-298811.29   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-227.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3592.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1384.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14840000 | PA      | $13952807.07  | 3.67%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-62489.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3515.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.52000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2554.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A      | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330101 | PA      | $333738.42    | 0.09%             | 2052-11-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     778260 | PA      | $736872.00    | 0.19%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1112.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1901.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A                 | CUSIP: 3622ECAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348762 | PA      | $150771.41    | 0.04%             | 2047-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1817.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     800000 | PA      | $814116.92    | 0.21%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4983.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1064.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1559.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19660000 | PA      | $18526845.96  | 4.87%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93300 01/06/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6411.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $112.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+60 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $2037340.28   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3033.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST2                                | UPSTART PASS THROUGH TRUST UPSPT 2022 ST2 A 144A        | CUSIP: 91680UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36480 | PA      | $36438.86     | 0.01%             | 2030-04-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190175.00    | 0.05%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-927.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $103.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX EM36 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2814.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-18765.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-298650.29   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 1A2                    | CUSIP: 52520QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169381 | PA      | $77375.29     | 0.02%             | 2036-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-B                                                 | CENTEX HOME EQUITY CXHE 2004 B M1                       | CUSIP: 152314JV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63373 | PA      | $63000.41     | 0.02%             | 2034-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                  | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     937269 | PA      | $1263738.22   | 0.33%             | 2053-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-36287.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1        | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96624 | PA      | $85122.20     | 0.02%             | 2037-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-12232.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1680000 | PA      | $1475902.97   | 0.39%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3190.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $640741.94    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZCA1 PIMCO SWAPTION 4.082 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -12400000 | NC      | $-26.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 1A1A       | CUSIP: 92925CCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4084406 | PA      | $3657396.96   | 0.96%             | 2046-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166133 | PA      | $154038.69    | 0.04%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAM5A6 PIMCO SWAPTION 3.23 CALL USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4500000 | NC      | $35282.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8884.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $9834.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-126.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-22072.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05737 FG 05/35 FIXED 6.5             | CUSIP: 3128M7V60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16633 | PA      | $17481.50     | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $74370.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $53417.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -4 | NC      | $-10693.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $17670.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-17941.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                                 | FANNIE MAE FNR 2024 77 FM                               | CUSIP: 3136BTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1493178 | PA      | $1493556.23   | 0.39%             | 2054-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5             | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320617 | PA      | $327814.13    | 0.09%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3332 FN 04/48 FIXED 3.5                     | CUSIP: 31418CV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44767 | PA      | $41592.35     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3257.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-555.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 4 LP 2024-2                                         | PK ALIFT LOAN FUNDING PKAIR 2024 2 A 144A               | CUSIP: 69381EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1878832 | PA      | $1883363.67   | 0.49%             | 2039-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/43 3.875                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1500000 | PA      | $1359140.63   | 0.36%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $71.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/8.59000 09/02/25-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $1065.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/9.39000 12/12/25-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-30978.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3996 FN 02/48 FIXED 3.5                     | CUSIP: 3140H5NN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33233 | PA      | $30987.75     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-80.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                         | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5           | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674140 | PA      | $640408.82    | 0.17%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1                                    | COUNTRYWIDE PARTNERSHIP TRUST CPT 2004 EC1 M1           | CUSIP: 126673ML3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3007186 | PA      | $2990166.69   | 0.79%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                               | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A9         | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146233 | PA      | $121491.68    | 0.03%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $121.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                             | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A     | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81184 | PA      | $80891.32     | 0.02%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                           | DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375           | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $581285.60    | 0.15%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RJH1 PIMCO CDSOPT PUT USD 0.7 20251217             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -24600000 | NC      | $-10367.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR           | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $506087.25    | 0.13%             | 2031-07-08      | Floating      | 4.71%                 | 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        |     574000 | PA      | $74620.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $406.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2006-11                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 2A2          | CUSIP: 61749WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82603 | PA      | $33338.70     | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS ZAR 7.20500 08/26/25-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $-6078.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST MORTGAGE 02/51 2.95             | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $245038.00    | 0.06%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+50 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $3304318.46   | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8455 FN 08/53 FIXED VAR                     | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385097 | PA      | $393872.47    | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1         | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83737 | PA      | $41526.24     | 0.01%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3238 FN 01/48 FIXED 3.5                     | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49372 | PA      | $46013.45     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2662.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2725.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2C        | CUSIP: 59024LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2257301 | PA      | $636328.01    | 0.17%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.25000 11/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-23904.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902066 FN 12/36 FIXED 6                       | CUSIP: 31411AFF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12769 | PA      | $13167.05     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-20826.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5575                                                   | FREDDIE MAC FHR 5575 FC                                 | CUSIP: 3137HN2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4949287 | PA      | $4970370.12   | 1.31%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                         | VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A         | CUSIP: 924934AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636151 | PA      | $640866.39    | 0.17%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                    | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1        | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694347 | PA      | $716242.54    | 0.19%             | 2034-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 04/28 6                      | CUSIP: ACI05MPY0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 5888100000 | PA      | $1375551.09   | 0.36%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                  | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1582929 | PA      | $1586085.73   | 0.42%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR2                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A       | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53624 | PA      | $48730.37     | 0.01%             | 2046-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH7                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1        | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10601 | PA      | $10249.24     | 0.00%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $441.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $1996.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC                      | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     194594 | PA      | $194903.89    | 0.05%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1211.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D A 144A                        | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     632259 | PA      | $633252.38    | 0.17%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4            | CUSIP: 61744CSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399545 | PA      | $391855.54    | 0.10%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88000 01/13/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6740.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -9060000 | PA      | $-7304471.98  | -1.92%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1328880.06   | 0.35%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RDL8 OTC EPUT FN 5.5 OCT25 97.960938 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4100000 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -29060000 | PA      | $-26545790.70 | -6.97%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4750.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                             | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 03/30 2.4         | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     346000 | PA      | $312880.20    | 0.08%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7427.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $339.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/7.49800 11/25/24-3Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $33796.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.52000 03/27/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $209.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 906311 FN 01/37 FIXED 6                       | CUSIP: 31411E3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5182 | PA      | $5440.04      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                              | MMIFS RE LTD SECURED 144A 01/33 VAR                     | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $180660.34    | 0.05%             | 2033-01-10      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-48407.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.65000 01/08/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1706.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.66213 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-43275.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                        | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2             | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6845 | PA      | $6190.31      | 0.00%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13880000 | PA      | $13790132.97  | 3.62%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251106                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $398.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                      | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A      | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1105489 | PA      | $1115173.09   | 0.29%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA          | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     426183 | PA      | $431419.54    | 0.11%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5             | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260000 | PA      | $268912.59    | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01300 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11340.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-19.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5480                                                   | FREDDIE MAC FHR 5480 FG                                 | CUSIP: 3137HHUD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     762186 | PA      | $765371.12    | 0.20%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2345.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   63750000 | PA      | $2930211.35   | 0.77%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1850.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-94.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6996.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-17021.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7NKA1 PIMCO SWAPTION 5.85 PUT USD 20251121          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11200000 | NC      | $1.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $97.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A11          | CUSIP: 02660LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110782 | PA      | $55399.57     | 0.01%             | 2046-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN0508 FN 09/48 FIXED 3.5                     | CUSIP: 3140JGR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156375 | PA      | $146124.53    | 0.04%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $2134.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5201 FN 09/47 FIXED 3.5                     | CUSIP: 3140GTX70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15011 | PA      | $14045.98     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8129.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A1B         | CUSIP: 93935HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     461240 | PA      | $119227.43    | 0.03%             | 2036-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                     | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II         | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $101296.40    | 0.03%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1108871.91   | 0.29%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                                 | FANNIE MAE FNR 2025 16 FM                               | CUSIP: 3136BU5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2459457 | PA      | $2465968.65   | 0.65%             | 2055-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   51000000 | PA      | $8951597.81   | 2.35%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7105.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19                 | COUNTRYWIDE HOME LOANS CWHL 2006 19 1A7                 | CUSIP: 12543XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226737 | PA      | $104968.37    | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A          | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254122 | PA      | $198339.72    | 0.05%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $2149086.98   | 0.56%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3036.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     774429 | PA      | $792352.17    | 0.21%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 910669 FN 02/37 FIXED 6                       | CUSIP: 31411KW66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15832 | PA      | $16358.46     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $2318.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-13.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                              | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000      | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     600000 | PA      | $463327.50    | 0.12%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-495.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                            | LUMINENT MORTGAGE TRUST LUM 2006 3 22A1                 | CUSIP: 55027AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3059372 | PA      | $2016434.82   | 0.53%             | 2036-04-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59300000 | PA      | $60573200.06  | 15.91%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-57859.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-11714.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-8041.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-642.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $4897.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                  | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     389057 | PA      | $22665.41     | 0.01%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $208.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4983.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2758.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RDM6 OTC EPUT FN 5.5 OCT25 97.945313 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   20700000 | NC      | $0.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4         | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1370000 | PA      | $1334718.66   | 0.35%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1202.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2022 1A A 144A     | CUSIP: ACI23GLP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1046057 | PA      | $1228977.58   | 0.32%             | 2031-10-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                 | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   18700000 | PA      | $442586.94    | 0.12%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $109.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $116.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -7400000 | NC      | $-4839.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $340394.15    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1        | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282411 | PA      | $223880.50    | 0.06%             | 2036-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     976005 | PA      | $946277.61    | 0.25%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WF           | CUSIP: 38380VEU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56166 | PA      | $54744.20     | 0.01%             | 2047-08-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-64746.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2007-FF2                | FIRST FRANKLIN MTG LOAN ASSET FFML 2007 FF2 A1          | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1737084 | PA      | $908681.05    | 0.24%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $2975.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 917129 FN 06/37 FIXED 6                       | CUSIP: 31411W4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4972 | PA      | $5241.96      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $63256.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-463.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2022-B                                         | CPS AUTO TRUST CPS 2022 B D 144A                        | CUSIP: 12663BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1001672.00   | 0.26%             | 2028-08-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-23422.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $102.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                               | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     300000 | PA      | $238434.45    | 0.06%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH4                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH4 M3        | CUSIP: 17309SAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $2926175.56   | 0.77%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO VII BV 16-7A                                                    | CAIRN CLO BV CRNCL 2016 7A A1R 144A                     | CUSIP: ACI1G9KT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     685411 | PA      | $804822.14    | 0.21%             | 2030-01-31      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $3820.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAB9A6 PIMCO SWAPTION 4.01 PUT USD 20251107          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12000000 | NC      | $2566.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0461 FN 09/36 FIXED VAR                     | CUSIP: 31418MQP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20796 | PA      | $21515.41     | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5300000 | NC      | $92392.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAJDA4 PIMCO SWAPTION 3.677 PUT USD 2025122          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4900000 | NC      | $-22835.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 898930 FN 08/36 FIXED 6                       | CUSIP: 31410VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $259.42       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3224.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZYA7 PIMCO SWAPTION 4.0945 PUT USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9700000 | NC      | $-15.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $3384.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2331 FN 08/30 FIXED 4.86                    | CUSIP: 3140NWSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $723725.56    | 0.19%             | 2030-08-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                         | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3         | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1509000 | PA      | $1324338.24   | 0.35%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $2017.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4300.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2712 FN 04/47 FIXED 3.5                     | CUSIP: 3140GRAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31579 | PA      | $29444.93     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1513.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8756.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A APT1 144A     | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1189509 | PA      | $1087690.85   | 0.29%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-78223.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3SA3 PIMCO SWAPTION 4.131 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8400000 | NC      | $-657.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206317.74    | 0.05%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-133.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 02/49 1                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1283730 | PA      | $948207.93    | 0.25%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $23528.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-54.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM7579 FN 10/29 VARIABLE                      | CUSIP: 3140JCM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2412933.70   | 0.63%             | 2029-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                       | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A           | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1198979 | PA      | $1209304.35   | 0.32%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     800000 | PA      | $958335.29    | 0.25%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5             | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19556434 | PA      | $19741997.44  | 5.19%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A       | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     149999 | PA      | $148543.06    | 0.04%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH4101 FN 10/47 FIXED 3.5                     | CUSIP: 3140GSRX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     335113 | PA      | $312922.98    | 0.08%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25        | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7300000 | PA      | $417232.83    | 0.11%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   14500000 | PA      | $842645.63    | 0.22%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1281000 | PA      | $408648.61    | 0.11%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07100 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6671.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $312568.95    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-97.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905864 FN 11/36 FIXED 6                       | CUSIP: 31411EMM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43701 | PA      | $45741.60     | 0.01%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8880.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/9.00000 12/24/24-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-92589.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/18/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1235826.78   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-30529.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A2       | CUSIP: 07387YAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2646921.60   | 0.70%             | 2037-08-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-487.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1+24/9.4300 12/25/25-9Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-55365.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1782.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155501 | PA      | $144578.39    | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M2        | CUSIP: 17309QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27166 | PA      | $27172.05     | 0.01%             | 2036-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                         | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A         | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     918461 | PA      | $929684.83    | 0.24%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                            | FREMONT HOME LOAN TRUST FHLT 2006 D 1A1                 | CUSIP: 35729VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282064 | PA      | $167105.71    | 0.04%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.28000 03/04/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2990.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A        | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634964 | PA      | $589479.68    | 0.15%             | 2047-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RHG5 OTC EPUT FN 6.0 NOV25 99.546875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12600000 | NC      | $302.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                 | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/32 3.3         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     300000 | PA      | $276436.05    | 0.07%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3960 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36125 | PA      | $33451.35     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-10882.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                  | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 1A1       | CUSIP: 66988UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620457 | PA      | $222610.79    | 0.06%             | 2046-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    8600000 | PA      | $2399172.25   | 0.63%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52063 | PA      | $51950.53     | 0.01%             | 2036-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $19092.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $71.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32600000 | PA      | $32312741.84  | 8.49%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $328918.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6410000 | PA      | $6213644.33   | 1.63%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       5000 | PA      | $4808.32      | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $18.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RD46 OTC ECAL FN 4.5 OCT25 96.546875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5200000 | NC      | $-30699.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3MA9 PIMCO SWAPTION 4.75 PUT USD 20260218          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12200000 | NC      | $7826.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2700000 | NC      | $162804.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48195 | PA      | $44345.03     | 0.01%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-47.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1        | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27723 | PA      | $22174.23     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.28000 11/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-16450.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3804.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1309960 | PA      | $982635.09    | 0.26%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3       | CUSIP: 92922F4C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141495 | PA      | $134490.05    | 0.04%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY FEDL01+95*BULLET* JPM                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $9406974.80   | 2.47%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 916326 FN 04/37 FIXED 6                       | CUSIP: 31411WA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2142 | PA      | $2215.52      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A       | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     420685 | PA      | $566744.31    | 0.15%             | 2060-06-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-23969.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $3151.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 1 A1 144A           | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132759 | PA      | $131653.69    | 0.03%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1750000 | PA      | $-1763391.07  | -0.46%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A A2A1 144A     | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1264322 | PA      | $1253123.64   | 0.33%             | 2053-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                       | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5             | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4155173 | PA      | $3842174.59   | 1.01%             | 2035-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-16104.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3276 FN 02/48 FIXED 3.5                     | CUSIP: 31418CUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45416 | PA      | $42256.05     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-49067.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                       | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4             | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1208894.82   | 0.32%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ9279 FN 02/48 FIXED 3.5                     | CUSIP: 3140HBJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34928 | PA      | $32339.08     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5             | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2333271 | PA      | $2265789.19   | 0.60%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     851979 | PA      | $1000925.36   | 0.26%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-230.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3519.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1        | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33139 | PA      | $31295.45     | 0.01%             | 2035-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RLY1 OTC EPUT FN 5.5 DEC25 98.96875 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    8100000 | NC      | $7736.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3934 FN 12/47 FIXED 3.5                     | CUSIP: 3140H5LQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5920 | PA      | $5511.80      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-29771.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5             | CUSIP: 3133KR3D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1499213 | PA      | $1458176.36   | 0.38%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902110 FN 10/36 FIXED 6                       | CUSIP: 31411AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        908 | PA      | $940.78       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9073 FN 07/30 FIXED 4.54                    | CUSIP: 3140LLCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $507743.11    | 0.13%             | 2030-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-99                                                 | FANNIE MAE FNR 2010 99 CL                               | CUSIP: 31398T5D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     649000 | PA      | $640937.02    | 0.17%             | 2040-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $9357.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9751.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3928 FN 12/47 FIXED 3.5                     | CUSIP: 3140H5LJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48065 | PA      | $44949.78     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                   | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422   | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      18992 | PA      | $19170.30     | 0.01%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2681.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1569.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $7133.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-8808.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $88.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $7258.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2726.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219446 | PA      | $215419.82    | 0.06%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $714.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7300000 | PA      | $2344775.85   | 0.62%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-174778.23   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-31430.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 908588 FN 02/37 FIXED 6                       | CUSIP: 31411HND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2546 | PA      | $2600.70      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-1558.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                               | EQUINIX INC SR UNSECURED 03/28 1.55                     | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     500000 | PA      | $470196.38    | 0.12%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -227 | NC      | $-48632.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II2A          | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30088 | PA      | $29481.72     | 0.01%             | 2044-03-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1706.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                 | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   30700000 | PA      | $1701085.26   | 0.45%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  290000000 | PA      | $1708800.76   | 0.45%             | 2055-03-20      | Fixed         | 2.40%                 | 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      | $-190681.95   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $20.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-386.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4165.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G18659 FG 09/32 FIXED 3               | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1135592 | PA      | $1108935.74   | 0.29%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $33.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.93000 11/04/24-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $-44806.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6735.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $852.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9669 FN 10/28 FIXED 4.72                    | CUSIP: 3140LLW72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1224712.52   | 0.32%             | 2028-10-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A1          | CUSIP: 05950PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     421820 | PA      | $380894.24    | 0.10%             | 2046-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1653.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3940.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.46625 06/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $154414.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $410.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9479 FN 11/54 FIXED 5.5                     | CUSIP: 3140QVQ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1741604 | PA      | $1789310.98   | 0.47%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/53 4.125                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $904179.69    | 0.24%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $2342712.67   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   10600000 | NC      | $10653.00     | 0.00%             |  |  |  | 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      | $374594.08    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1281.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11000000 | NC      | $952131.40    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1389.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 908098 FN 12/36 FIXED 6                       | CUSIP: 31411G3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11631 | PA      | $12263.79     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $264.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -3700000 | NC      | $-2419.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810445 | PA      | $1714697.98   | 0.45%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6060000 | PA      | $6163575.64   | 1.62%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                        | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     441000 | PA      | $516591.17    | 0.14%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1             | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760230 | PA      | $297007.92    | 0.08%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                               | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1        | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |         19 | PA      | $24.01        | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 900134 FN 09/36 FIXED 6                       | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $122.24       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $80.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4000000 | NC      | $4020.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/8.27000 03/19/25-10Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $39724.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1902.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $20.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1792 FN 03/48 FIXED 3.5                     | CUSIP: 3140HE7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20562 | PA      | $19044.49     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                   | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1639231 | PA      | $1642032.97   | 0.43%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                                      | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     600000 | PA      | $444168.00    | 0.12%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.245 09/02/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $6564.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11867.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1840000 | PA      | $-1880008.81  | -0.49%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                         | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 AS 144A    | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4292308.72   | 1.13%             | 2038-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                                   | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $503079.90    | 0.13%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                       | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB       | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57111 | PA      | $54524.20     | 0.01%             | 2033-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3447.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $74352.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.32 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-117.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAD3A8 PIMCO SWAPTION 4.0275 PUT USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5800000 | NC      | $-12011.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6       | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15562 | PA      | $14294.55     | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.58         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2692 FN 04/48 FIXED 3.5                     | CUSIP: 3140H37E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190159 | PA      | $176674.31    | 0.05%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                      | IMPAC CMB TRUST IMM 2004 10 1A1                         | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87285 | PA      | $84972.36     | 0.02%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-146985.45   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $673.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.09000 01/22/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10531.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.55000 04/16/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1879.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $11462.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-17826.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3977 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5M32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15441 | PA      | $14346.21     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0245 FN 12/38 FIXED VAR                     | CUSIP: 31419AHX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7167 | PA      | $7556.42      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2862.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1771.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                             | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2B 144A   | CUSIP: 96043CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1043799 | PA      | $1044216.88   | 0.27%             | 2027-09-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $493.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $58844.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8558 FN 03/48 FIXED 3.5                     | CUSIP: 3140HAQL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2232 | PA      | $2077.96      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-34605.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1718.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  284300000 | NC      | $1296578.58   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-654.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-257.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1113.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2291.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-875.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2427.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-25976.38    | -0.01%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $471.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A      | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     577241 | PA      | $551608.77    | 0.14%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $132533.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1153538.57  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/20/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $51647.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                                   | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A        | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2247369.74   | 0.59%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-194.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-694.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-630.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR12                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR12 2A1      | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3133 | PA      | $3009.85      | 0.00%             | 2036-09-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M5        | CUSIP: 46629TAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6824000 | PA      | $6625291.26   | 1.74%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1          | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28764 | PA      | $23062.13     | 0.01%             | 2036-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.13600 09/30/25-4Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $3532.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.12800 12/04/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-13556.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                             | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                  | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185515 | PA      | $59341.31     | 0.02%             | 2036-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7875.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $53.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF4                 | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337048 | PA      | $75060.23     | 0.02%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12999.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7729.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAEA2 PIMCO SWAPTION 4.0075 PUT USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11800000 | NC      | $2336.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $12355.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M3         | CUSIP: 17309LAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $938055.80    | 0.25%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-134.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                 | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $4870.12      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                     | ARBOUR CLO ARBR 7A AR 144A                              | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $2233993.67   | 0.59%             | 2038-12-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $354.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX HY45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $15696.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-16765.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BNP PARIBAS SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $247.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7300000 | PA      | $7081673.21   | 1.86%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-366.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64960 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-28574.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1260.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B        | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2566352 | PA      | $1985196.90   | 0.52%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST-2006-2                                       | SAXON ASSET SECURITIES TRUST SAST 2006 2 M2             | CUSIP: 80556XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1439410.57   | 0.38%             | 2036-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $363.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8777 | PA      | $8125.05      | 0.00%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         15 | NC      | $19783.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2028 FN 04/48 FIXED 3.5                     | CUSIP: 3140Q9HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43947 | PA      | $41089.46     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -39 | NC      | $-1674.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | IRS CZK 3.76000 11/01/24-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-200.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7       | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     629999 | PA      | $329726.28    | 0.09%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $136.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9867 FN 11/30 FIXED 5.3                     | CUSIP: 3140LL6D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $2201992.74   | 0.58%             | 2030-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                              | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A             | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     730911 | PA      | $732212.44    | 0.19%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7222.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $861.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3894.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1         | CUSIP: 576433UF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419220 | PA      | $403027.56    | 0.11%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2700894.02   | 0.71%             | 2037-02-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-7918.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                                   | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4         | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218136 | PA      | $216260.38    | 0.06%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4882.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9899.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     303671 | PA      | $292382.43    | 0.08%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2017 BV 17-1A                                            | BNPP AM EURO CLO BNPAM 2017 1A AR 144A                  | CUSIP: ACI1G3M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     349947 | PA      | $411093.63    | 0.11%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2700000 | NC      | $148648.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-91159.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6000000 | NC      | $64413.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -10600000 | NC      | $-6741.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20C                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20C 1           | CUSIP: 83162CRR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2524 | PA      | $2562.23      | 0.00%             | 2028-03-01      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A        | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495749 | PA      | $450599.88    | 0.12%             | 2037-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                     | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45642 | PA      | $42375.13     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5119.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 06/20/24-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-19108.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1064.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1198000 | PA      | $1191634.63   | 0.31%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2018-1R                                     | NOMURA RESECURITIZATION TRUST NMRR 2018 1R 1A1 144A     | CUSIP: 65541JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2037120 | PA      | $1975847.78   | 0.52%             | 2036-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A2        | CUSIP: 74923HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63643 | PA      | $53173.14     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1514.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2019-14A                                       | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 14A BR 144A       | CUSIP: 04942CAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2506792.70   | 0.66%             | 2032-07-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 894959 FN 08/36 FIXED 6                       | CUSIP: 31410RJC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $51.16        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -102 | NC      | $-76536.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 917555 FN 04/37 FIXED 6                       | CUSIP: 31411XMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5646 | PA      | $5871.88      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-231817.71   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0179 FN 01/48 FIXED 3.5                     | CUSIP: 3140H1FV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6644 | PA      | $6149.32      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4116.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2696.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $632.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3356 FN 05/48 FIXED 3.5                     | CUSIP: 31418CWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40221 | PA      | $37341.59     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1057.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A      | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $718346.44    | 0.19%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9613 FN 10/28 FIXED 4.77                    | CUSIP: 3140LLVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1022024.00   | 0.27%             | 2028-10-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1           | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240448 | PA      | $41869.26     | 0.01%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                     | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1         | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     467240 | PA      | $350283.18    | 0.09%             | 2036-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A                      | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 3A A 144A       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      70917 | PA      | $70939.33     | 0.02%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $67.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $34557.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-193.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A    | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1379185 | PA      | $1381102.06   | 0.36%             | 2051-07-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZLA1 PIMCO SWAPTION 4.086 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15000000 | NC      | $-28.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-3884.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                    | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     901127 | PA      | $826642.06    | 0.22%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7897.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAJCA5 PIMCO SWAPTION 3.177 CALL USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4400000 | NC      | $14624.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.67000 04/03/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1536.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4813189.96   | 1.26%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECS CORP 2005-KS12                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS12 M4        | CUSIP: 753910AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5075000 | PA      | $4858555.82   | 1.28%             | 2036-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 870821 FN 10/36 FIXED 6                       | CUSIP: 31409GPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        729 | PA      | $753.94       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.35000 04/29/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-98.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 806513 FN 12/34 FLOATING VAR                  | CUSIP: 31406DAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21904 | PA      | $22492.64     | 0.01%             | 2034-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155750 | PA      | $152059.70    | 0.04%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   34600000 | PA      | $10564308.12  | 2.78%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5300000 | NC      | $49446.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-151888.91   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-717.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG       | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     500000 | PA      | $65000.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.42000 03/07/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-899.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0163 FN 12/47 FIXED 3.5                     | CUSIP: 3140H1FD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34910 | PA      | $32481.63     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6123.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1649.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $12238.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 190445 FN 03/55 FIXED VAR                     | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25077457 | PA      | $25937113.19  | 6.81%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5317.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 893641 FN 09/36 FIXED 6                       | CUSIP: 31410PZE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1253 | PA      | $1321.28      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $3858.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                 | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     100000 | PA      | $2434.29      | 0.00%             | 2026-08-19      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $2539.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 5.02000 11/05/24-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $-11705.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $858.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 11/28 4                          | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1154340 | PA      | $62858.23     | 0.02%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.10000 01/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7191.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $22.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 08/29 11                     | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 6881600000 | PA      | $1772857.27   | 0.47%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS BONDS 144A REGS 10/28 5           | CUSIP: ACI1YYXQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  705000000 | PA      | $732373.44    | 0.19%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $84456.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1029 FN 06/29 FIXED 4.93                    | CUSIP: 3140NVEB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1129990.76   | 0.30%             | 2029-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3693.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL V85233 FG 03/49 FIXED 4               | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73179 | PA      | $70357.82     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAM6A5 PIMCO SWAPTION 3.758 PUT USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2300000 | NC      | $17045.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                    | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M3        | CUSIP: 76110W7F7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1262528 | PA      | $1245550.41   | 0.33%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD ASHANTI HOLDINGS PLC                                            | ANGLOGOLD HOLDINGS PLC COMPANY GUAR 11/28 3.375         | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |     700000 | PA      | $677517.79    | 0.18%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3442 FN 08/48 FIXED 3.5                     | CUSIP: 31418CZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     719948 | PA      | $666955.31    | 0.18%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA2994 FN 05/47 FIXED 3.5                     | CUSIP: 31418CKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7693 | PA      | $7193.55      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-458.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-76760.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |       1638 | PA      | $15951.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                         | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     150655 | PA      | $153979.35    | 0.04%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1311.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -4180000 | NC      | $-108278.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274496 | PA      | $219755.80    | 0.06%             | 2037-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-121.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3548.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2017.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $4233.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL2935 FN 02/43 FIXED VAR                     | CUSIP: 3138EKHM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15155 | PA      | $14359.60     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.06300 12/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-12298.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1          | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103289 | PA      | $92949.71     | 0.02%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $398.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $863.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7NNA8 PIMCO SWAPTION 5.85 PUT USD 20251124          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4000000 | NC      | $0.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.46000 04/01/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3876.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 07/30 3.875                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6000000 | PA      | $6037031.28   | 1.59%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                         | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A         | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     926914 | PA      | $892960.52    | 0.23%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     638178 | PA      | $628587.91    | 0.17%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX HY44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $89231.99     | 0.02%             |  |  |  | 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      | $-104555.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3700000 | NC      | $3744.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    7400000 | NC      | $7488.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2023-3A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2023 3A A2 144A      | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1698487 | PA      | $1729920.04   | 0.45%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3527.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-119.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-5                                                   | MORTGAGEIT TRUST MHL 2005 5 A1                          | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135951 | PA      | $134940.68    | 0.04%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                               | TRINITY SQUARE TRINI 2021 1A AR 144A                    | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     459834 | PA      | $620027.65    | 0.16%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1278.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2485.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2865.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $457.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304516.54    | 0.08%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                           | AVON FINANCE AVON 4A A 144A                             | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1668345 | PA      | $2248805.23   | 0.59%             | 2049-12-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-439900.30   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4400000 | NC      | $281497.48    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $123090.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3999.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1877.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.30500 11/27/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-8465.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2975.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-22109.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B         | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2130713 | PA      | $500332.19    | 0.13%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5215907 | PA      | $272821.57    | 0.07%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-20333.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1284061 | PA      | $682413.15    | 0.18%             | 2046-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH9277 FN 02/48 FIXED 3.5                     | CUSIP: 3140GYJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117492 | PA      | $109397.16    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-15801.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A10        | CUSIP: 02151GAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99690 | PA      | $33083.84     | 0.01%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $220373.16    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $3011.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  284300000 | NC      | $1150675.82   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $397.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                      | GSAMP TRUST GSAMP 2007 FM2 A2B                          | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1364265 | PA      | $837294.80    | 0.22%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.46000 03/13/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-993.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $504.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                            | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                 | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     918085 | PA      | $283402.47    | 0.07%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $177.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1073377 | PA      | $1097224.11   | 0.29%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR6                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR6 A6         | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478662 | PA      | $417090.51    | 0.11%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $13759.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                        | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A               | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1450000 | PA      | $1455515.19   | 0.38%             | 2035-04-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-14923.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1090.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $827.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3622.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 05/07/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3399.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5         | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    9100000 | PA      | $485519.51    | 0.13%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98235 12/02/24-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $88418.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-737.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39617 | PA      | $36799.37     | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/26 4.389       | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199943.70    | 0.05%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                            | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A              | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1808239 | PA      | $276312.91    | 0.07%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                             | ARGENT SECURITIES INC. ARSI 2005 W3 M1                  | CUSIP: 040104PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014554 | PA      | $992636.95    | 0.26%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-8885.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 907746 FN 01/37 FIXED 6                       | CUSIP: 31411GP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9384 | PA      | $9833.74      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX EM40 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-307.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $660.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2357.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5000000 | NC      | $314202.50    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1033.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1900000 | NC      | $1922.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                       | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDY3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1000000 | PA      | $1011731.53   | 0.27%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7881.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                        | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45        | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     193104 | PA      | $199317.03    | 0.05%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                                      | GSAMP TRUST GSAMP 2006 HE8 A2D                          | CUSIP: 3622M8AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410000 | PA      | $357082.28    | 0.09%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    8900000 | NC      | $526183.13    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   35200000 | PA      | $2002445.86   | 0.53%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5         | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93172 | PA      | $87079.86     | 0.02%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-25022.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1B        | CUSIP: 939336X57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     452220 | PA      | $437385.28    | 0.11%             | 2045-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 2A1        | CUSIP: 74958XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134351 | PA      | $117312.15    | 0.03%             | 2037-04-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                         | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                 | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     931038 | PA      | $1094262.90   | 0.29%             | 2032-08-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1327.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UABKA3 PIMCO SWAPTION 3.16 CALL USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $2685.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SPTR TRS EQUITY FEDL01+76 *BULLET* BPS                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-21831965.75 | -5.74%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.38000 12/31/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2314.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/21/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $368344.65    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9210000 | PA      | $8929872.42   | 2.35%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-636.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     181807 | PA      | $183030.33    | 0.05%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85           | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     500000 | PA      | $516825.00    | 0.14%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AU0949 FN 08/43 FIXED 3.5                     | CUSIP: 3138X0BT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19432 | PA      | $18375.32     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $9236.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2713.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970853 FN 12/38 FIXED 6                       | CUSIP: 31414NBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6527 | PA      | $6800.95      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $9644.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1300.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000               | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2500000 | PA      | $138370.01    | 0.04%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1764.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     805001 | PA      | $782916.16    | 0.21%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4079                                                   | FREDDIE MAC FHR 4079 WZ                                 | CUSIP: 3137ARVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     825350 | PA      | $775671.43    | 0.20%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1973.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-7331.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                     | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033          | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1829699.78   | 0.48%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $166.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $388.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-49.99       | -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        |    2300000 | PA      | $2260900.23   | 0.59%             | 2036-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $76863.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 776488 FN 03/34 FLOATING VAR                  | CUSIP: 31404RUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5516 | PA      | $5663.74      | 0.00%             | 2034-03-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        291 | NC      | $3989.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $183025.07    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: ACI2Q2RG4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2662167.17   | 0.70%             | 2032-07-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                          | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 A1A               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281437 | PA      | $277723.39    | 0.07%             | 2037-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188738 | PA      | $175987.33    | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A6      | CUSIP: 12668AZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264325 | PA      | $188304.81    | 0.05%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX EM44 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-6499.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3382.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-94.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $88.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 124 HF          | CUSIP: 38381PHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2527846 | PA      | $2534871.29   | 0.67%             | 2055-07-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A   | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     765588 | PA      | $517208.55    | 0.14%             | 2037-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1063.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A       | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     753603 | PA      | $756980.33    | 0.20%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM7581 FN 09/31 VARIABLE                      | CUSIP: 3140JCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4700000 | PA      | $4792404.63   | 1.26%             | 2031-09-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.71000 08/06/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2744.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01500 12/30/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5685.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5063072.24   | 1.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5373.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-568.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3937 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5LT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29491 | PA      | $27321.05     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $52338.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1890.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J5                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J5 1A7        | CUSIP: 12667GHG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300024 | PA      | $239133.11    | 0.06%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RDK0 OTC EPUT FN 5.5 OCT25 97.976563 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   20700000 | NC      | $0.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1        | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106334 | PA      | $90731.82     | 0.02%             | 2036-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $482.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         67 | NC      | $19960.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $4266.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                          | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A     | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1336652.07   | 0.35%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5          | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23248 | PA      | $11162.77     | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $909.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                   | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5633091 | PA      | $5662708.79   | 1.49%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7403.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SPTR TRS EQUITY FEDL01+96 *BULLET* BOA                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-10943633.12 | -2.88%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A11      | CUSIP: 12668BZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45490 | PA      | $20829.42     | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-39566.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A    | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     467342 | PA      | $452373.34    | 0.12%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A2       | CUSIP: 12668AFH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78585 | PA      | $43443.32     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $358349.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    2090000 | NC      | $112657.27    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                        | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 1A          | CUSIP: 40430HCV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1448764 | PA      | $1367332.78   | 0.36%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-142839.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $249.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RK97 PIMCO FXVAN PUT USD BRL 5.50000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1240000 | NC      | $38022.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2391 G2 11/44 FLOATING VAR               | CUSIP: 36179QUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106529 | PA      | $109587.84    | 0.03%             | 2044-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $452.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6815.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $3197.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX9934 FR 04/55 FIXED 6.5             | CUSIP: 31426HBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $517285.82    | 0.14%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-84.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A      | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     857342 | PA      | $855812.15    | 0.22%             | 2053-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-908.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $101.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2854.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5484                                                   | FREDDIE MAC FHR 5484 FD                                 | CUSIP: 3137HHKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2207675 | PA      | $2216381.33   | 0.58%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2943.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RK89 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1240000 | NC      | $-2267.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3307000 | PA      | $3285717.54   | 0.86%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7105000 | PA      | $7026626.59   | 1.85%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5727.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2221.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 4.58000 09/12/25-3Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $1048.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-66.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5381.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2371.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1335.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                   | FREDDIE MAC FHR 5580 FC                                 | CUSIP: 3137HMXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6916197 | PA      | $6936777.85   | 1.82%             | 2055-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $11465.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                             | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A              | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1513526 | PA      | $1588706.53   | 0.42%             | 2041-10-15      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5         | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     406315 | PA      | $383678.61    | 0.10%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1764.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2472.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3383 FN 06/48 FIXED 3.5                     | CUSIP: 31418CXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35896 | PA      | $33302.03     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.97000 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2463.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $7320.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10247.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7138.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $72603.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                               | CITIBANK NA CITIBANK NA                                 | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |     800000 | PA      | $819630.90    | 0.22%             | 2029-08-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2                     | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2023 2 A2 144A      | CUSIP: 35104AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     309477 | PA      | $310869.48    | 0.08%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.2914 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-4039.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1900000 | NC      | $-1242.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.53000 04/23/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2272.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-56.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                             | HESTIA RE LTD UNSECURED 144A 03/32 VAR                  | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $255512.50    | 0.07%             | 2032-03-13      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $47708.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5420 FN 07/54 FIXED 5.5                     | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2074972 | PA      | $2095407.39   | 0.55%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5           | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2118000 | PA      | $1887820.55   | 0.50%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4686.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 9.43000 10/31/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-2966.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2459.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $154.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A       | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433066 | PA      | $364951.91    | 0.10%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190749 | PA      | $190076.21    | 0.05%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     881797 | PA      | $670406.80    | 0.18%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                   | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M3           | CUSIP: 00764MFT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4370000 | PA      | $3805628.05   | 1.00%             | 2035-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $954.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     700000 | NC      | $4397.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXIV DAC 24A                                       | CORDATUS CLO PLC CORDA 24A A 144A                       | CUSIP: ACI2N2L65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1151583 | PA      | $1354328.55   | 0.36%             | 2034-10-23      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $3532.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                                   | FREDDIE MAC FHR 5557 FM                                 | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     580439 | PA      | $581905.90    | 0.15%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2775.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                         | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     150655 | PA      | $156232.12    | 0.04%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-10533.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4370.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-73118.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $2377.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-127.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3241.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -227 | NC      | $-25302.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $67712.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 12/26 3                          | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     855067 | PA      | $46325.40     | 0.01%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $220255.03    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $283.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6034.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 04/35 FIXED 6.725                       | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     142308 | PA      | $151288.42    | 0.04%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                        | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1             | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1281 | PA      | $1260.64      | 0.00%             | 2036-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 A1 144A     | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1252818 | PA      | $1116423.30   | 0.29%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-33.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8355 FN 04/54 FIXED 6.5                     | CUSIP: 3140QUH90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1456820 | PA      | $1528164.49   | 0.40%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1A       | CUSIP: 92922F2G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2357165 | PA      | $2348177.74   | 0.62%             | 2045-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-17406.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 5A1         | CUSIP: 863579VV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24997 | PA      | $12388.84     | 0.00%             | 2035-08-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $57910.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                       | MFRA TRUST MFRA 2023 INV2 A1 144A                       | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     879282 | PA      | $889633.85    | 0.23%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40650000 | PA      | $41533890.35  | 10.91%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-4                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 4 3A            | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48212 | PA      | $47099.57     | 0.01%             | 2044-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1093.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   36400000 | PA      | $760543.20    | 0.20%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 A A1 144A      | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2364362 | PA      | $2371991.88   | 0.62%             | 2062-09-25      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $3767.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                         | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR              | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $250100.00    | 0.07%             | 2032-04-08      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-21930.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                 | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990414 | PA      | $396645.66    | 0.10%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3351 FN 04/41 FIXED VAR                     | CUSIP: 3138EKWM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16226 | PA      | $17266.66     | 0.00%             | 2041-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SPTR TRS EQUITY SOFR+67.5 BOA                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-1924476.44  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $102639.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-100.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6831.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-4563.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1526.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $31859.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 F1 2A6         | CUSIP: 59023YAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52562 | PA      | $16835.92     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2582 FN 12/29 FIXED 4.3                     | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1604000 | PA      | $1618666.62   | 0.43%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $85.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1018 | NC      | $-69570.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $3584.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $31768.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2021-CA                                         | NELNET STUDENT LOAN TRUST NSLT 2021 CA AFL 144A         | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     876638 | PA      | $874869.45    | 0.23%             | 2062-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $230.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-54.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2346.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8850000 | PA      | $9146828.47   | 2.40%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1487.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 892612 FN 09/36 FIXED 6                       | CUSIP: 31410NVD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.33        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3962.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2350.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    8900000 | NC      | $496995.58    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                                 | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A     | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     916932 | PA      | $925298.35    | 0.24%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3900000.00   | 1.02%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1971.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-12168.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3965 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43473 | PA      | $40419.02     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RE94 OTC EPUT FN 5.5 OCT25 98.0625 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   16300000 | NC      | $0.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1898.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5700000 | PA      | $5659699.23   | 1.49%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                       | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679            | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1491000 | PA      | $1370938.49   | 0.36%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $288430.44    | 0.08%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-655.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $17427.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4          | CUSIP: 251510DG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24626 | PA      | $24393.26     | 0.01%             | 2035-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                         | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1111819 | PA      | $1306296.33   | 0.34%             | 2031-10-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AJ7522 FN 01/27 FIXED 3                       | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130252 | PA      | $129160.95    | 0.03%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2B                          | CUSIP: 3622MGAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131261 | PA      | $65161.28     | 0.02%             | 2046-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375           | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     800000 | PA      | $848600.00    | 0.22%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $3892.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     800000 | PA      | $808333.19    | 0.21%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A3       | CUSIP: 83613FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387724 | PA      | $300739.99    | 0.08%             | 2037-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1050.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-114.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A       | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263776 | PA      | $209055.58    | 0.05%             | 2036-12-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A     | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230036 | PA      | $218876.56    | 0.06%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-31706.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3        | CUSIP: 92927XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93083 | PA      | $83823.03     | 0.02%             | 2037-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $188.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $272113.83    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   14300000 | NC      | $898619.15    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2808000 | PA      | $2801699.16   | 0.74%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                         | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $682706.43    | 0.18%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $403.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10316 | PA      | $10466.09     | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                           | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12292 | PA      | $11812.64     | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-38599.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.51000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2764.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                        | BX TRUST BX 2022 FOX2 A2 144A                           | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702944 | PA      | $702075.09    | 0.18%             | 2039-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -4000000 | NC      | $-2544.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                            | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A21                | CUSIP: 12544AAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223211 | PA      | $99480.21     | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1092485 | PA      | $1067997.68   | 0.28%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1347.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $2341.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 14.0087 05/12/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1861.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3389.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81170000 | PA      | $83939996.87  | 22.05%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $402.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $184.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226288 | PA      | $91147.26     | 0.02%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -12840000 | PA      | $-10819652.96 | -2.84%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $369.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4012 FN 02/48 FIXED 3.5                     | CUSIP: 3140H5N64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19768 | PA      | $18302.77     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3970 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1026 | PA      | $984.21       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1669.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0136 FR 12/53 FIXED 4.5             | CUSIP: 3142GQEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1177083 | PA      | $1142675.54   | 0.30%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $343.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -700000 | NC      | $-5352.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13062.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034         | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1286282 | PA      | $1223976.72   | 0.32%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7ICA1 PIMCO SWAPTION 6.05 PUT USD 20251030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9600000 | NC      | $0.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     770000 | PA      | $764671.08    | 0.20%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5678.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4581 FN 02/48 FIXED 3.5                     | CUSIP: 3140H6CT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3948 | PA      | $3670.68      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                        | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A     | CUSIP: 36361UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1204539.32   | 0.32%             | 2031-07-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1997.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1317.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.91000 12/29/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-9308.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.9255 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1696.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH9215 FN 01/48 FIXED 3.5                     | CUSIP: 3140GYGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6095 | PA      | $5675.35      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-271.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2010-16                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 16 B9 144A       | CUSIP: 12644WAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543682 | PA      | $494218.20    | 0.13%             | 2050-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A          | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1096533 | PA      | $1115843.72   | 0.29%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $3003.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   17700000 | PA      | $17700000.00  | 4.65%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1407.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY FEDL01+70 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $1446559.48   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-13976.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5761.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                          | TOWD POINT MORTGAGE TRUST TPMT 2017 6 B1 144A           | CUSIP: 89175JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1479000 | PA      | $1252489.97   | 0.33%             | 2057-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61226 | PA      | $57493.13     | 0.02%             | 2037-07-27      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2359.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4874.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $67.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG       | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     300000 | PA      | $39000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                     | IVORY COAST SR UNSECURED REGS 03/48 6.625               | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     600000 | PA      | $604429.46    | 0.16%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $4622.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A          | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290719 | PA      | $287690.34    | 0.08%             | 2036-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $15803.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6939000 | PA      | $6886380.24   | 1.81%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1          | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     251498 | PA      | $241106.65    | 0.06%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $416.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970785 FN 11/38 FIXED 6                       | CUSIP: 31414M6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        325 | PA      | $337.34       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2661000 | PA      | $2660703.14   | 0.70%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.22000 01/08/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5748.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $472.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $63.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX EM42 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1652.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 08/31 VAR                | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1569000 | PA      | $1420401.70   | 0.37%             | 2031-08-18      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7137.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 02/35 FIXED 6.63                        | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      65385 | PA      | $69241.31     | 0.02%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2076.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-789.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1226.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.59000 08/19/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $847.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4087.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1444.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1           | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        275 | PA      | $273.39       | 0.00%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3387000 | PA      | $3344591.00   | 0.88%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UADHA3 PIMCO SWAPTION 3.103 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5900000 | NC      | $210.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $164.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-9731.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-6188.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6140000 | PA      | $6182337.76   | 1.62%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                        | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1779376 | PA      | $2089077.27   | 0.55%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-390.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-17889.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-19875.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A1       | CUSIP: 23244GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     619160 | PA      | $558504.25    | 0.15%             | 2046-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745822 FN 09/36 FIXED VAR                     | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2500 | PA      | $2636.05      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                         | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A         | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     687978 | PA      | $690495.45    | 0.18%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1478.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1937.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                                         | CORDATUS CLO PLC CORDA 7A ARR 144A                      | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     906289 | PA      | $1062911.58   | 0.28%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -102 | NC      | $31523.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2              | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10940 | PA      | $4625.28      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A                          | AVIS BUDGET RENTAL CAR FUNDING AESOP 2022 5A A 144A     | CUSIP: 05377RFV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3300000 | PA      | $3320498.28   | 0.87%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-A                                            | FREMONT HOME LOAN TRUST FHLT 2005 A M3                  | CUSIP: 35729PHN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33960 | PA      | $33689.28     | 0.01%             | 2035-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                      | INTEGRITY RE III UNSECURED 144A 06/28 VAR               | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     250000 | PA      | $265987.50    | 0.07%             | 2028-06-06      | Floating      | 16.19%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.39000 10/01/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2062.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |    2100000 | PA      | $2133201.00   | 0.56%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     890409 | PA      | $875937.82    | 0.23%             | 2037-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3717.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UABUA2 PIMCO SWAPTION 3.907 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12600000 | NC      | $5638.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   37000000 | PA      | $2032364.79   | 0.53%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-72745.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89600 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5472.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SPTR TRS EQUITY FEDL01+78 JPM                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-1339844.31  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $84.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $49.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2187.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2162.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                           | BEAR STEARNS ALT A TRUST BALTA 2006 4 13A1              | CUSIP: 073871AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68066 | PA      | $60530.74     | 0.02%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7     | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        | 1225000000 | PA      | $1246583.99   | 0.33%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5866.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer